US TSYS: HAVENS WELL BID, TRADE/BREXIT ANGST HEATS UP

US TSY SUMMARY: Risk-off tone greeted US mkt return from extended holiday

weekend, volatile session as weaker than expected ISM data (PURCHASING MANAGERS

INDEX 49.1 AUG VS 51.2 JUL) helped push 30YY to session low of 1.9123%. Tsy yld

curves bull steepened for a change.

- Anti-no deal Brexit rebels on course to pass Bill to force gov't to ask for

Art. 50 extension (SO24 vote tonight), ECB rate and buyback policy headlines

roiled markets.

- Heavy influx of high-grade corporate supply (>$20B) generated decent hedging

flow, tighter spds as many were swappable.

- The 2-Yr yield is down 4.2bps at 1.462%, 5-Yr is down 4.7bps at 1.3393%, 10-Yr

is down 2.7bps at 1.4691%, and 30-Yr is down 0.1bps at 1.9612%.

US TSY FUTURES CLOSE: Trading higher after the NY close but continuing to inch

off midmorning highs when rates surged on the back of weak ISM data. Yld curves

bull flattened. Update: 

* 3M10Y  +0.304, -49.023 (L: -54.924 / H: -46.382)

* 2Y10Y  +2.071, 0.68 (L: -2.352 / H: 0.955)

* 2Y30Y  +3.732, 48.995 (L: 43.402 / H: 49.328)

* 5Y30Y  +3.365, 60.81 (L: 55.667 / H: 61.262)

Current futures levels:

* Dec 2-Yr futures up 2.625/32  at 108-4.5 (L: 108-00.375 / H: 108-06.625)

* Dec 5-Yr futures up 7.5/32  at 120-6.75 (L: 119-27.5 / H: 120-12.5)

* Dec 10-Yr futures up 11/32  at 132-2 (L: 131-16.5 / H: 132-13)

* Dec 30-Yr futures up 15/32  at 165-23 (L: 164-17 / H: 166-23)

* Dec Ultra futures up 24/32  at 198-6 (L: 196-03 / H: 199-29)

US EURODLR FUTURES CLOSE: Trading firmer after the close, mid- to upper half

session range. Current White pack (Sep 19-Jun 20): 

* Sep 19 +0.018 at 97.955

* Dec 19 +0.030 at 98.170

* Mar 20 +0.050 at 98.50

* Jun 20 +0.055 at 98.660

* Red Pack (Sep 20-Jun 21) +0.055 to +0.060

* Green Pack (Sep 21-Jun 22) +0.045 to +0.050

* Blue Pack (Sep 22-Jun 23) +0.035 to +0.045

* Gold Pack (Sep 23-Jun 24) +0.030 to +0.040

US DOLLAR LIBOR: Latest settles

* O/N +0.0010 at 2.0906% (+0.0010/wk)

* 1 Month -0.0151 to 2.0668% (-0.0222/wk)

* 3 Month -0.0062 to 2.1266% (-0.0110/wk)

* 6 Month -0.0116 to 2.0124% (-0.0241/wk)

* 1 Year -0.0130 at 1.9364% (-0.0376/wk)

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

* Daily Effective Fed Funds Rate: 2.13%, volume: $66B

* Daily Overnight Bank Funding Rate: 2.11%, volume: $179B

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

* Secured Overnight Financing Rate (SOFR): 2.16%, $1.194T

* Broad General Collateral Rate (BGCR): 2.15%, $510B

* Tri-Party General Collateral Rate (TGCR): 2.15%, $480B

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

04-Sep 0700 30-Aug MBA Mortgage Applications (-6.2%, --)

04-Sep 0830 Jul trade balance (-$55.2B, -$53.4B)

04-Sep 0855 31-Aug Redbook retail sales m/m (-1.4%, --)

04-Sep 0925 NY Fed Williams, NY event

04-Sep 0945 Aug ISM-NY current conditions

04-Sep 1000 Sep help-wanted online ratio

04-Sep 1000 Dallas Fed Kaplan in Toronto

04-Sep 1230 Fed Brd Gov Bowman, StL Fed Bullard, StL event

04-Sep 1300 Mn Fed Kashkari, town hall, Mn

04-Sep 1400 Fed Beige Book release

04-Sep 1515 Chi Fed Evans, North American trade

PIPELINE: $10.175B Priced, waiting on another $10.1B - includes $7B Disney jumbo

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

09/03 $1.5B *Capital One 3Y +78

09/03 $1.35B *Unilever Capital Corp $500M 5Y +55, $850M 10Y +75

09/03 $1.25B *CK Hutchison $500M 10Y +135, $750M 30Y +150

09/03 $1.25B *Caterpillar Financial $500M 1.5NC FRN +30, $750M 3NC +70

09/03 $1B *HSBC Bank Canada 3Y +35

09/03 $1B *Willis NA $450M 10Y +150, $550M 30Y +195

09/03 $600M *Northern States Power WNG 30Y +105

09/03 $500M *Deere WNG 30Y +95

09/03 $500M *BOC Aviation 10Y +165

09/03 $500M *Kilroy Realty +10Y +160

09/03 $400M *PPL Electric Utilities Corp 30Y +115

09/03 $325M *PECO Energy Co WNG 30Y +110

09/03 $7B #Disney 6-part, $500M 2Y +25, $500M 3Y +35, 500M 3Y FRN L+39, 

----- $1.5B 5Y ++50, $2B 10Y +70, $2B 30Y +95

09/03 $1B #CSX $400M +10Y +97, $600M 30Y +145

09/03 $900M #Phillips 66 Partners $300M 5Y +115, $600M 10Y +170

09/03 $900M #Blackstone Holdings Finance $500M 10Y +117, $400M 30Y +160

09/03 $300M #NY State Electric & Gas WNG 30Y +138

On tap for Tuesday

09/04 $2B European Stability Mechanism (ESM) 5Y +19a

09/04 $500M European Investment Bank (EIB) WNG 2022 Tap FRN SOFR +26a

09/04 $500M ADB 2Y FRN SOFR +24a

09/04 $Benchmark MuniFin 3Y +18a

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* +18,000 Jan 86/88/90 call flys, 4.75 W/ +9,000 Jan 77 puts, 2.0, 11.5

total/package

* Update, total +16,000 Dec 80/short Dec 86 put spds, 3.5 db/EOZ over

Block, 1007:30ET,

* 5,000 Mar 92/95 2x3 call spds, 2.5

* 10,000 Dec 73/77 put spds, 1.25

* 10,000 short Dec 77/81 put spds, 1.0

* +5,000 Oct 78 puts, 1.5

* -3,000 Dec 81/82 call spds, 4.5

* 2,000 Green Dec 78/88 3x2 put spds, 57.0 vs. 98.85/0.64%

Block, 0923:06ET, adds to +10k in pit

* +10,000 Feb 87/91/95 call flys, 4.25 vs. 98.46/0.06%

* +10,000 Feb 87/91/95 call flys, 4.25

* Update, total -23,000 (pit/screen/block) Sep 78/80 4x1 put spds, 4.0 vs.

97.945/0.24% w/

* -46,000 Sep 81 calls, cab, 4.5 net cr/package

Block, 0732:25ET

* -5,000 Sep 78/80 4x1 put spds, 4.0 w/

* -10,000 Sep 81 calls, cab vs. 1,200 EDU9 97.945

Blocks,

* 10,000 Mar 86/88 call spds, 6.5 vs. 98.455/0.14% at 0622:14ET

* total 5,000 Mar 92/95 2x3 call spds, 2.5 net from 0617:45-:49ET

Tsy options:

* +10,000 FVX 120.25 calls, 32.5 on screen

* +8,000 TYZ 132 calls, 1-11/64

* 3,200 TYZ 135 calls, 20/64 vs. 131-23.5/0.16% 

* -6,000 FVV 121 calls, 6/64

* +3,500 TUX 108.5 calls, 6.5/64

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

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