US TSYS: L/E MNTH-END SUPPORT EVAPORATES, CURVES STEEPER LATE

US TSY SUMMARY: Relative quiet end to the week, rates receded in late trade as

underlying month end support quickly evaporated, curves gapped steeper. Markets

will have to wait until 1630ET for NAFTA trade comments from Canadian foreign

minister Freeland after meet w/US trade rep Lighthizer through day. 

- US$ continued to rally, the dollar index higher/off highs DXY +.387, 95.110

(94.547L/95.224H), $/Eur off -0.0068 1.1603, $/Yen rebounded +.02 111.01;

carry-over weakness in equities (emini -4.5, 2897.5); Gold steady (XAU +0.04,

1200.00); West Texas crude pared Thu's move over 70.0 (WTI -0.44, 69.81).

- Little/no react to MNI Chicago PMI coming in at 63.7 vs. 63.8 est, Milwaukee

Mfg and Michigan sentiment index numbers. Accts eager to square up ahead the

extended holiday weekend spurred moderate two-way flow, curve flattener

stop-outs late as long end bid disappeared. Potential for massive jump in

issuance next week, estimates running over $50B w/Cigna planning over $22B jumbo

issuance to help finance acquisition of Express Scripts. 

- Tsy cash/ylds: 2Y 99-31.7 (2.625%), 5Y 100-01.5 (2.738%), 10Y 100-04 (2.859%),

30Y 99-20 (3.018%).

US TSY FUTURES CLOSE: Trading mixed with the short end outperforming the long

end, ongoing Sep/Dec rollover continues, volume (TYU 1.58M). Curves steepens

late, update:

* 2s10s +2.607, 22.777 (19.247L/22.777H);

* 2s30s +3.384, 38.371 (33.900L/38.690H);

* 5s30s +2.317, 27.541 (24.525L/27.940H);

Current futures levels:

* Dec Ultra bonds down 06/32 at 159-07 (159-02L/160-06H)

* Dec 30-yr Bond futures down 02/32 at 144-05 (144-02L/144-24H)

* Dec 10-yr futures up 02/32 at 120-07 (120-05L/120-12.5H)

* Dec 5-yr futures up 02.5/32 at 113-12 (113-9.25L/113-13.75H)

* Dec 2-yr futures up 1.5/32 at 105-21.75 (105-19.75L/105-22H)

MONTH-END EXTENSIONS: *** FINAL Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2017; Govt inflation-linked, -0.04Y

*.....................Projected...1Y Avg Incr..Last Aug

*US Tsys.................0.11........0.08........0.11

*Agencies................0.18........0.07........0.05

*Credit..................0.06........0.09........0.09

*Govt/Credit.............0.10........0.09........0.10

*MBS.....................0.06........0.07........0.06

*Aggregate...............0.09........0.08........0.09

*Long Govt/Credit........0.11........0.10........0.12

*Interm Credit...........0.06........0.08........0.07

*Interm Govt.............0.09........0.08........0.09

*Interm Govt/Cred........0.08........0.08........0.08

*High Yield..............0.04........0.09........0.08

US EURODOLLAR FUTURES CLOSE: Trading slightly higher with reds and greens

outperforming the rest of the strip, tight range. Current White pack

(Sep'18-Jun'19):

* Sep'18 +0.0025 at 97.6450

* Dec'18 +0.015 at 97.390

* Jun'19 +0.025 at 97.245

* Jun'19 +0.025 at 97.140

* Red pack (Sep'19-Jun'20) +0.030-0.025

* Green pack (Sep'20-Jun'21) +0.030-0.025

* Blue pack (Sep'21-Jun'21) +0.020-0.015

* Gold pack (Sep'22-Jun'22) +0.015-0.005

US DOLLAR LIBOR: Latest settles,

* O/N -0.0052 to 1.9148% (-0.0040/wk) 

* 1 Month +0.0100 to 2.1137% (+0.0410/wk) 

* 3 Month -0.0005 to 2.3207% (+0.0035/wk) 

* 6 Month +0.0018 to 2.5356% (+0.0126/wk) 

* 1 Year  -0.0023 to 2.8400% (+0.0200/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.93% vs. 1.93% prior, $795B

* Broad General Collateral Rate (BGCR): 1.92% vs. 1.92% prior, $416B

* Tri-Party General Collateral Rate (TGCR): 1.92% vs. 1.92% prior, $403B

US SWAPS: Spds hold mixed by the bell, spd curve flatter all day on narrow

range. Decent flow for a slow pre-holiday session included rate receiving in 3s

at 2.869% after better spd curve flatteners in 2s8s, 2s10s and 3s5s, two-way in

10s; flys: 2s3s5s payer, 3s5s10s and 7s8s10s receiver flys. Latest spd levels:

* 2Y  +0.39/18.85

* 5Y  +0.06/13.56

* 10Y -0.44/6.94

* 30Y -0.56/-5.56

PIPELINE: $5.25B Priced on week

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

No new issuance on the docket Friday

-

Potential for massive jump in issuance next week, estimates running over $50B

w/Cigna planning over $22B jumbo issuance to help finance acquisition of Express

Scripts. Cigna issuance would put it in the top 5 all-time largest issuance,

with potential to move markets as hedges are entered/unwound depending on market

liquidity in lead up to/post issuance. Potential additions to pipeline in coming

weeks:

* Bank of China (Hong Kong) Ltd.

* Home Depot

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

- Sep 03 US markets closed for Labor Day holiday

- Sep 03-04 CANCELED Chi Fed Pres Evans, panel discussion on "Global

Macroeconomic Perspectives" Central Bank Argentina Money & Banking Conf "Dealing

with Monetary Policy Normalization," Argentina

- Sep 04 Aug NA-made light vehicle sales SAAR (9.9m, --) 

- Sep 04 Aug Markit Mfg Index (final) (55.3, --) 0945ET

- Sep 04 Aug ISM Manufacturing Index (58.1, --) 1000ET

- Sep 04 Jul construction spending (-1.1%, --) 1000ET

- Sep 04 Sep IBD/TIPP Optimism Index (58.0, --) 1000ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

* +6,000 short Oct 71/Blue Oct 72 call spds, 1.5

* -4,000 Oct 75/77 1x2 call spds 0.75

* 4,000 Sep 76 Straddle at 3 vs 9764.5/0.52%

* -1,500 Red Dec'19 68/70/71 put strip, 69.0 

* -2,000 Red Mar 65/70/75 iron flys, 35.0

* -2,000 Nov 73/75/76 iron flys, 10.0

* over +12,000 Green Oct w/Blue Oct 73/77 call spd strip, 3.5 total

* 5,000 Dec 71/76 call over risk reversals, 0.75 net vs. 97.37/0.12%

* +7,500 Red Dec 61 puts at 1.5 vs 9700.5/0.05%

* -10,000 Green Dec 65/68 5x2 put sprds at 8 vs 9706.5/0.36%

* 5,000 Dec 76 calls at 1.25

* 3,500 Red Dec 60 puts at 1 vs 9701.5/0.10%

* 3,000 -Short Dec 71/72/73 call tree at 0.5

* over -28,000 (screen) short Sep 68 puts, cab, still bid, large 0.5 offer

Tsy options, Pit/screen:

* 1,100 TYV 119.75/120 2x1 put spds, 5/64 vs. 120-10.5

* 1,000 TUZ 105.7/105.8 call spds vs. 3,000 TUZ 105 puts, even net

* 2,000 TYX 118/119 put spds, 8/64 vs. 120-10

* +1,000 wk1 FV 113.5/113.75 call spds, 3.5/64

* 500 FVX 112.5/113 2x1 put spds, 2/64

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

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