US TSYS: EARLY RISK-OFF BID TRIGGERS NEW 12Y LOW 2S10S YLD CRV

US TSY SUMMARY: Ongoing US/China trade tension, Hong Kong protests as well as

Argentina and Italian geopolitical concerns added to early risk-off bid in

rates. Rates continue to power higher into the close, yield curves bull

flattening albeit amid lighter volume w/TYU just over 1M after the bell. 

- Sources noting some steepener unwinds on the heels of 5s30s flattener block

late morning and a large 5s/ultra-bond flattener after the bell. real$ buying

long end, vs. light swap-tied selling. Decent deal-tied and option related

hedging volume while Sep/Dec Tsy roll gradually picks up.

- The 2-Yr yield is down 6.5bps at 1.5816%, 5-Yr is down 8.8bps at 1.4911%,

10-Yr is down 9.9bps at 1.6454%, and 30-Yr is down 11.9bps at 2.1395%.

US TSY FUTURES CLOSE: Well bid across the curve, just off late session highs

amid modest summer volume (TYU just over 1M), yld curves extended move flatter.

Note, while 3M10Y still off last Wed's 12year inverted lows, 2Y10Y flattened to

new 12Y lows (5.081) just a few minutes ago; update:

* 3M10Y  -8.805, -33.494 (L: -34.77 / H: -27.165)

* 2Y10Y  -3.709, 5.697 (L: 5.081 / H: 10.131)

* 2Y30Y  -6.272, 54.531 (L: 53.918 / H: 61.554)

* 5Y30Y  -3.702, 64.074 (L: 63.772 / H: 68.634)

Current futures levels:

* Sep 2-Yr futures up 2.625/32 at 107-24.375 (L: 107-20.875 / H: 107-25.12)

* Sep 5-Yr futures up 10.5/32 at 119-6.5 (L: 118-25.5 / H: 119-08.25)

* Sep 10-Yr futures up 21/32 at 130-11 (L: 129-19.5 / H: 130-14.5)

* Sep 30-Yr futures up 2-5/32 at 163-14 (L: 161-05 / H: 163-21)

* Sep Ultra futures up 4-2/32 at 191-19 (L: 187-09 / H: 191-29)

US TSY FUTURES: *** Sep/Dec 2Y leading roll volume Monday, plenty of time before

first notice date (Dec futures take lead) on August 30. Sep future's staggered

expiration on September 19 for 10s, 30s and Ultras, and September 30 for 2s and

5s. Update:

* TUU/TUZ appr 46,600 from -7.75 to -7.12, -7.25 last, 8% complete;

* FVU/FVZ appr 9,600 from -13.0 to -12.0, -13.0 last, 6% complete;

* TYU/TYZ appr 4,100 from -19.0 to -18.0, -18.75 last, 5% complete;

* USU/USZ appr 875 from 25.75 to 26.0, 25.75 last, 2% complete;

* WNU/WNZ appr 12,800 from -26.5 to -24.25, -25.75 last, 3% complete;

US EURODLR FUTURES CLOSE: Well bid across the strip, just off top end of session

range, short end lagging risk-off move out the curve. Current White pack (Sep

19-Jun 20): 

* Sep 19 +0.020 at 980

* Dec 19 +0.035 at 98.195

* Mar 20 +0.040 at 98.455

* Jun 20 +0.050 at 98.575

* Red Pack (Sep 20-Jun 21) +0.055 to +0.070

* Green Pack (Sep 21-Jun 22) +0.075 to +0.080

* Blue Pack (Sep 22-Jun 23) +0.085 to +0.095

* Gold Pack (Sep 23-Jun 24) +0.095 to +0.10

US DOLLAR LIBOR: Latest settles

* O/N +0.0074 at 2.1027% (-0.0089 last wk)

* 1 Month +0.0009 to 2.1952% (-0.0342 last wk)

* 3 Month -0.0004 to 2.1752% (-0.0637 last wk)

* 6 Month +0.0056 to 2.0576% (-0.0810 last wk)

* 1 Year +0.0027 at 1.9906% (-0.1249 last wk)

US SWAPS: Still inverted across the curve, spds are moving off lows through the

day, mild swap-tied selling into strength in rates. Latest spd levels

Time (ET)   2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

Mon 1500    +0.31/-1.00    +0.69/-6.31   +0.94/-10.88   +2.06/-39.62

1345        +0.06/-1.25    +0.31/-6.69   +0.62/-11.19   +1.50/-40.19

1200        +0.31/-1.00    +0.19/-6.81   +0.25/-11.56   +0.75/-40.94

1000        +0.38/-0.94    +0.00/-7.00   +0.06/-11.75   +0.50/-41.19

Mon Open    +0.19/-1.12    -0.06/-7.06   +0.00/-11.81   +0.25/-41.44

Mon 0715    +0.06/-1.25    -0.19/-7.19   +0.00/-11.81   +0.06/-41.62

Fri 1500    +1.00/-1.12    +0.62/-6.88   +1.00/-11.44   +0.62/-41.75

STIR: Federal Reserve Bank of New York EFFR for prior session:

* Daily Effective Fed Funds Rate: 2.12%, volume: $69B

* Daily Overnight Bank Funding Rate: 2.10%, volume: $187B

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

* Secured Overnight Financing Rate (SOFR): 2.11%, $1.186T

* Broad General Collateral Rate (BGCR): 2.10%, $509B

* Tri-Party General Collateral Rate (TGCR): 2.10%, $482B

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

13-Aug 0600 Jul NFIB Small Business Index (103.3, 103.8)

13-Aug 0830 Jul CPI (0.1%, 0.3%)

13-Aug 0830 Jul CPI Ex Food and Energy (0.3%, 0.2%)

13-Aug 0855 10-Aug Redbook retail sales m/m (4.8%, --)

PIPELINE: Multiple second-half launches, near $11.1B to price when all priced

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

08/12 $4B #Daimler Finance $1.5B 2.5Y +90, $1.25B 3Y +105, $750M 5Y +125, $500M

10Y +150

08/12 $2B #Oneok Inc $500M 5Y +130. $750M 10Y +180, $750M 30Y +235

08/12 $1.35B #Sherwin Williams $800M 10Y +135, $550M 30Y +170

08/12 $1.2B #CernterPoint Energy $500M 5Y +105, $400M 10Y +135, $300M 30Y +162.5

08/12 $800M #Duke Energy $450M 10Y +82, $350M 30Y +110

08/12 $650M #Ventas Realty 10Y +140

08/12 $500M #Lincoln National WNG 10Y +142

08/12 $300M #Westar Energy WNG 30Y +130

08/12 $300M #Arizona Public Service 10Y +98

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: Aug options expire Fri

Block, 1112ET

* -30,000 Mar 86/90 call spds, 8.5

* 34,800 Sep 78/80 2x1 put spds, 4.5 vs. 97.98

* -50,000 Mar 86/90 call spds, 8.5

* +10,000 Aug 78/81 strangles, 0.75

* +10,000 Dec 82 calls, 12.5

* +10,000 Mar 76 puts, 1.0

* Update 20,000 Dec 82/85 2x3 call spds, 9.0-9.5 vs. 80,000 Oct 83 calls, 4.5

* Update, over +70,000 Oct 85 calls, 2.5, continued buyer in smaller pieces

* +40,000 Oct 85 calls, 2.5, continued buyer in smaller pieces

* +4,000 Sep 78/80 2x1 put spds, 3.75 vs. 8.98

* 1,850 Dec 82/85 2x3 call spds, 9.5 vs. 7,400 Oct 83 calls, 4.5

* 4,000 short Mar 82 puts, 6.0 vs. 98.705

* 4,000 short Nov 87 calls, 13.0 vs. 98.645

* 8,000 Blue Aug 86 calls, 5.5 vs. 98.64/0.55%

* 12,000 short Aug 83 puts, cab

* 10,000 Green Dec'21 95/97 1x2 call spds, 0.5

* 5,000 Jun 81 outs 1.5 over Jun 90/92 call spds

Block, 0703:25ET,

* 10,000 Mar 85/87 call spds 2.0 over the Mar 81 puts vs. 98.45/0.40%

Block, 0703:25ET,

* 5,000 Jan 85/87 call spds 3.5 over the Jan 81 puts

Block, 0616:43ET,

* 10,000 Mar 95 calls, 1.5 vs. 98.49/0.05%

Blocks 0456-0511ET

* total 15,000 Red Dec'20 92/95 call spds 2.5 over Red Dec'20 77 puts vs.

98.655/0.16%

Tsy options:

* 1,500 TYU 130.5/131.5 call spds, 15/64

* over +6,000 USV 145/146 put strips, 4/64

* Update, over +33,000 TYV 138.5 calls, 2/64 on screen

* Update, over +33,000 FVV 116 puts 1/64, opener on screen

Block, 1142ET

* 26,223 TYU 132 calls, 6/64 followed by 

* +27,000 TYV 138.5 calls, 2/64

* over 29,000 FVV 116 puts 1/64, opener on screen

* 2,000 TYU 129/129.75 put spds, 13/64 vs. 130-06

Block, 0757:45ET, was offered 2-02 going into cross

* +17,737 TYU 128 calls, 2-4/64 vs. 130-02/100%

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

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