US TSYS: EARLY SEP RATE SALES, EQUITIES IGNORE US$ STRENGTH

US TSY SUMMARY: Tsys trading weaker by the bell, near session lows tapped around

late morning, curves bear steepening but off highs by the close. Little react to

Construction Spending (+0.1% vs. +0.4% expected), ISM PMI Index (61.3 Aug VS

58.1 Jul) and light vehicle sales (EX-GM CAR SALES AT 2.8M).

- Continued US$ strength, dollar index off highs DXY +.326, 95.466

(95.138L/95.737H), $/Eur off -0.0041 at 1.1578, $/Yen near highs +.42 111.48;

equities weaker/near lows (emini -7.0, 2895.0); Gold weak (XAU -8.42, 1992.57);

West Texas crude on lows late (WTI -0.63, 69.17) after rally to late 2014 highs

(71.40) on back of Iran supply squeeze, tropical storm Gordon concerns.

- Early Knee-jerk selling in long end post data, extends session lows, curves

making new highs/steeps. Program sellers, prop & fast$ buying on dip, futures

rebounded briefly as sellers reloaded, session lows around late morning.

- Big jump corp issuance after weeks of muted issuance, over $10B Mon, estimates

running over $50B w/Cigna planning over $22B jumbo issuance to help finance

acquisition of Express Scripts. 

- Tsy cash/ylds: 2Y 99-30 (2.653%), 5Y 99-28.75 (2.770%), 10Y 99-26 (2.895%),

30Y 99-25.5 (3.061%).

US TSY FUTURES CLOSE: Trading lower at the bottom of the range, volume (TYU

1.31M), Curves steeper; update:

* 2s10s +1.340, 24.479 (22.189L/25.334H);

* 2s30s +2.057, 41.067 (38.843L/42.453H);

* 5s30s +1.357, 29.279 (28.368L/31.246H);

Current futures levels:

* Dec Ultra bonds down 1-20/32 at 157-22 (157-19L/159-03H)

* Dec 30-yr Bond futures down 1-03/32 at 143-04 (143-02L/144-06H)

* Dec 10-yr futures down 11.5/32 at 119-29 (119-28.5L/120-9.5H)

* Dec 5-yr futures down 06.5/32 at 113-6.25 (113-6.25L/113-13.5H)

* Dec 2-yr futures down 01.75/32 at 105-20 (105-20L/105-22H)

US EURODOLLAR FUTURES CLOSE: Trading mixed with EDU8 slightly higher and

outperforming the rest of the strip, strip at the bottom of a tight range.

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

* Sep'18 +0.0025 at 97.6475

* Dec'18 -0.005 at 97.380

* Jun'19 -0.015 at 97.225

* Jun'19 -0.025 at 97.115

* Red pack (Sep'19-Jun'20) -0.040-0.035

* Green pack (Sep'20-Jun'21) -0.045

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

* Gold pack (Sep'22-Jun'22) -0.050-0.045

US DOLLAR LIBOR: Latest settles,

* O/N at 1.9136%

* 1 Month +0.0108 to 2.1203% (+0.0065/wk)

* 3 Month +0.0072 to 2.3227% (+0.0020/wk)

* 6 Month +0.0040 to 2.5390% (+0.0034/wk)

* 1 Year  +0.0040 to 2.8428% (+0.0028/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.97% vs. 1.93% prior, $804B

* Broad General Collateral Rate (BGCR): 1.95% vs. 1.92% prior, $428B

* Tri-Party General Collateral Rate (TGCR): 1.95% vs. 1.92% prior, $410B

US SWAPS: Spds finally compressing late as large swappable supply launched late

($5B Pfizer 7-part, $3B MUFG). Spds had been holding narrow range w/spd curve

mildly flatter for much of the day. Late deal-tied hedging followed two-way in

short to intermediates, 3s vs. 5s and 10s spd curve flatteners. Coming into the

session: deal-tied paying in short end, 2s10s spd curve flatteners, 3s5s7s

receiver fly and real$ rate and spd receiving in 5s-7s earlier. Latest spd

levels:

* 2Y  -0.88/18.62

* 5Y  -0.19/13.56

* 10Y -0.44/6.56

* 30Y -0.75/-6.75

PIPELINE: $1.5B Unilever 3s, 5s, 10s launched

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

09/04 $1.5B #Unilever capital $500M each: 3Y +42, 5Y +62, 10Y +72

09/04 $1.25B #Caterpillar $800M 3Y fix +45, $450M 3Y FRN L+28

09/04 $450M (upsized from $350M) #Duke Realty Ltd 10Y +123 

09/04 $3B EIB 3Y WNG MS+1a

09/04 $Benchmark MUFG 5Y fix/FRN, 10Y +105a  

09/04 $Benchmark Pfizer 7-part: 3- and 5Y fix/FRN, 10Y +80a, 20Y +105a, 30Y

+120a

-

Massive jump in issuance for wk, >$50B est (>$120B for month) w/Cigna planning

over $22B jumbo issuance to help finance acquisition of Express Scripts.

Potential additions to pipeline in coming weeks: 

* Bank of China (Hong Kong) Ltd.

* Home Depot

* Cigna multi-tranche

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

- Sep 05 31-Aug MBA Mortgage Applications (-1.7%, --) 0700ET 

- Sep 05 Jul trade balance (-$46.3B, -$50.0B) 0830ET 

- Sep 05 01-Sep Redbook retail sales m/m (0.4%, --) 0855ET 

- Sep 05 StL Fed Pres Bullard, economy/policy, Real Return Euromoney Conf, Q&A,

NY 0920ET 

- Sep 05 Aug ISM-NY current conditions (75.0, --) 0945ET 

- Sep 05 Sep help-wanted online ratio (1.17, --) 1000ET 

- Sep 05 Minn Fed Pres Kashkari town hall forum Bozeman, Montana, Q&A, 1600ET 

- Sep 05 Atl Fed Pres Bostic, fireside chat Chicago Council on Global Affairs,

Q&A, 1830ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

* -2,500 short Dec 77 calls, 1.0 vs. 97.035

* +/-2,000 Blue Mar 70 straddles, 40.5

* +6,500 Oct 75 calls, 1.0

* -3,000 short Mar/Green Mar 70 straddle spds, 9.0/short Mar over

* +2,500 Green Oct/Blue Oct 73/76 call spd strip, 2.0

* +3,000 Short Oct 70 Straddle at 15.5 vs 9702.5/0.10%

Block, 0928-11:07:46ET 

* +30,000 total Sep 76 puts, 0.5 vs. 97.65/0.22%, another 5-10k in pit

Block, 0929-11:07:33ET, 

* +20,000 total Dec 75/76 1x2 call sprd at 1, adds to earlier 10k block

* additional +10,000 in pit

* 15,000 Dec 72/73 put sprd at 0.75 over Dec 73/75 call sprd

* +15,000 Dec 72 puts at 1.5

* -20,000 Dec 72/73/75 Iron Fly at 8.25, 4k sold earlier at 8.5

* +10,000 Short Sep 68 puts at 0.25 vs 9707.5/0.03%

* -4,000 Dec 72/73/75 Iron Fly at 8.5

Tsy options, Pit/screen:

* 6,600 FVX 113.5 calls, 18.5/64 vs. 113-07.7/0.38%

* 1,600 FVX 112.75 puts, 12/64 vs.

* 1,600 USX 140/141 2x1 put spds, 12/64

* +2,000 TYV 121/121.5 call spds, 3/64

* 1,700 TYV 121.2 calls, 4/64 on screen

* 1,000 TYV 119 puts, 4/64 vs. 120-01

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

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