US TSYS: CURVE BEAR STEEPEN, CHINA TRADE RETALIATION COOLS?

US TSY SUMMARY: Tsys weaker, just off late session lows by the bell. Rates

extending lows from late morning, risk-on tone gelling as S&P futures recovered

early losses/traded higher w/DAX futures. Eq bid also partially tied to WSJ

article China looking to moderate trade threats "soothe relations w/US

multinationals". 

- Little react to data pick up (Redbook retail sales, wholesale inv's/sales,

JOLTS); Tsy held lows after $35B 3Y auction tailed slightly, awarded a 2.821%

rate vs. 2.820% WI.

- US$ volatility O/N, dollar index well off O/N lows DXY +.095, 95.245

(94.882L/95.353H), $/Eur -0.0007 at 1.1586, $/Yen +.47 111.60; equities

weak/near firm (emini +11.5, 2891.75 vs. 2867.25L); Gold (XAU +0.58, 1196.45);

West Texas crude surged as Hurricane Florence threatened Eastern seaboard (WTI

+1.96, 69.50). 

- Flow included fast- and real$ buyers on lows in 5s, 10s and 30s. Prop accts

2-way in short end, pre-auction and corp-deal-tied hedging in mix. Curve

steepeners via options and futures (2s10s). Tsy cash/ylds: 2Y 99-24.5 (2.744%),

5Y 99-14.25 (2.869%), 10Y 99-03.5 (2.977%), 30Y 97-18.5 (3.123%).

US TSY FUTURES CLOSE: Trades weaker into the bell, at or near session lows,

volume (TYU 1.25M), Curves mixed; update:

* 2s10s +1.289, 22.939 (21.595L/23.805H);

* 2s30s +0.943, 37.552 (36.092L/38.294H);

* 5s30s -0.356, 25.296 (24.498L/26.140H);

Current futures levels:

* Dec Ultra bonds down 1-00/32 at 156-06 (156-06L/157-12H)

* Dec 30-yr Bond futures down 25/32 at 141-30 (141-30L/142-27H)

* Dec 10-yr futures down 11/32 at 119-10 (119-9.5L/119-22.5H)

* Dec 5-yr futures down 6.75/32 at 112-24.25 (112-24L/112-31.5H)

* Dec 2-yr futures down 02/32 at 105-14.75 (105-14.5L/105-17H)

US EURODOLLAR FUTURES CLOSE: Trades weaker into the bell with EDU8 steady and

the rest of the strip mildly lower; At session lows across the strip. Current

White pack (Sep'18-Jun'19):

* Sep'18 0.0000 at 97.6450

* Dec'18 -0.015 at 97.335

* Jun'19 -0.025 at 97.160

* Jun'19 -0.040 at 97.025

* Red pack (Sep'19-Jun'20) -0.055-0.045

* Green pack (Sep'20-Jun'21) -0.055

* Blue pack (Sep'21-Jun'21) -0.050-0.045

* Gold pack (Sep'22-Jun'22) -0.045-0.040

US DOLLAR LIBOR: Latest settles,

* O/N -0.0040 at 1.9151% (-0.0036/wk)

* 1 Month +0.0090 to 2.1479% (+0.0169/wk)

* 3 Month +0.0000 to 2.3342% (+0.0030/wk)

* 6 Month +0.0055 to 2.5577% (+0.0162/wk)

* 1 Year  +0.0059 to 2.8685% (+0.0230/wk)

US TSYS: *** /REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): 1.94% vs. 1.94% prior, $816B

* Broad General Collateral Rate (BGCR): 1.92% vs. 1.91% prior, $432B

* Tri-Party General Collateral Rate (TGCR): 1.92% vs. 1.91% prior, $419B

PIPELINE: $3B BoC, Hong Kong 5NC5 priced, $2.25B 3M launched

Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:

09/11 $2.8B *IADB 10Y +12

09/11 $1.5B *KFW 2.75% 2020 Tap MS-5

09/11 $3B *Bank of China, Hong Kong 5NC5 5.9%

09/11 $2.25B #3M 5-part $400M 3Y +25, $300M 5Y fix +43, #300M 5Y FRN +30, $600M

10Y +65, $650M 30Y +95

09/11 $750M #Apicorp (Arab Petroleum Inv Corp) 5Y MS+117

09/11 $600M #Seven & I 3Y +53

09/11 $575M #Southwestern Electric Power WNG 10Y +112.5

09/11 $400M #PNC Bank 4.05% 2028 Tap +11

OUTLOOK: *** Data/speaker calendar (prior, estimate): 

- Sep 12 07-Sep MBA Mortgage Applications (-0.1%, --) 0700ET

- Sep 12 Aug Final Demand PPI (0.0%, 0.2%) 0830ET

- Sep 12 Aug PPI ex. food and energy (0.1%, 0.2%) 0830ET

- Sep 12 Aug PPI ex. food, energy, trade (0.3%, --) 0830ET

- Sep 12 Sep Atlanta Fed inflation (2.1%, --) 1000ET

- Sep 12 07-Sep crude oil stocks ex. SPR w/w 1030ET

- Sep 12 Aug Kansas City Fed LMCI (0.84, --) 1100ET

- Sep 12 Fed Brd of Gov's mem Lael Brainard, "Economic and Monetary Policy

Outlook", Detroit Econ Club Lunch, Detroit, audience Q&A. 1245ET

- Sep 12 US TSY $23B 10Y Note auction (9128284V9) 1300ET

- Sep 12 Federal Reserve Beige Book for upcoming FOMC meeting 1400ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen (Sep futures/options expire Friday):

Block, 13:36:51ET-13:37:40ET,

* -20,000 Green Sep 68 puts at 1.5 vs 9691.5/0.28%, -15k more/pit

* 10,000 Green Mar 66 puts at 7 vs 9694.5/0.24%

* 10,000 Green Jun 66 puts at 10.5 vs 9696/0.28%

* 4,500 Short Sep 68 puts at 0.5 vs 9695.5/0.13%

* 11,000 Long Green Dec 50/55 put sprd at 1.5 vs 9694.5/0.05%, +5k bought

earlier

* 5,000 Green Dec 66/67 put sprd at 3 vs 9691/0.12%

* 10,000 Green Sep 67 puts, cab on screen

* +4,000 short Sep 70 puts, 5.0 and well offered

* 8,500 Green Jun/Blue Mar 70 Straddles at 11

Block, 10:18:15ET,

* -12,000 Mar 68/71 put sprds vs. Short Mar 65/67 put sprd, 0.0 net

Above bear curve steepener adds to 20k in put/on screen

* 5,000 Short Dec 66/68 put sprd at 7

* 2,500 Short Oct 67/68 2x1 put sprd at 2

* 5,000 Long Green Dec 50/55 put sprd at 1.5 vs 9693/0.10%

* 9,000 Oct 71 puts at CAB vs 9733/0.10%

* 8,200 Dec 73/75 put sprd on screen

Tsy options, Pit/screen:

* +12,000 TYV 119.5/120 1x2 call spds, 4/64

* +5,000 FVV 113 calls at 5.5 vs 25/0.30%

* +4,000 TYV 119/119.5 2x1 put sprd at 6 vs 17/0.05%

* over 10,000 wk2 TY 119.25/119.5 c spds 8/64 vs. 119-12.5

* Update, over +6,000 TYV 119.5/120 1x2 call spds, 4/64 vs. 119-12 to -12.5

scale put seller on screen, looking for a pause after a September hike?

* over 14,000 USZ 141 puts from 63- to 1-5/64, 1-2/64 last; opener: OI only

1,007 coming into the session

* 4,000 TYV 119.25/119.50 put spds vs. 2,000 TYX 118.5 puts, Oct over 1/64 net

package vs. 119-19.5

* appr +15,000 TYV 119 puts, 5/64 on screen

* appr 15,000 TYV 119.25/119.5 put spds on screen, 6/64

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]