US TSYS: NO HURRY/DOVISH FED WILLIAMS, PRE-NFP-BID

US TSY SUMMARY: Following mixed start, Tsys at/near session highs by the bell,

bid after dovish comments from NY Fed Pres Williams: no need to put pedal to

metal amid "lack of inflationary pressure" and patience in "economy that still

has room to run". Lower (slightly) than exp ADP private empl (+163k) also

spurred early short covers. Note, Aug emply data has historically missed to

downside 19 of past 20 years! Current dealer mean est +195k vs. whisper around

+179k. 

- US$ index softer DXY -.138, 95.046 (94.933L/95.208H), $/Eur -0.0008 at 1.1622,

$/Yen -.58 110.95; equities weak/off lows (emini -5.0, 2883.25); Gold firm (XAU

+2.4, 1199.35); West Texas crude weak again (WTI -0.80, 67.92).

- Annc Cigna to issue over $22B est. debt across the curve (jumbo 10-tranche

deal noted late last week) helped steepen curve early amid flurry early

sale/hedging. Cautious risk-off tone ahead Fri's data, still waiting to hear

whether Trump admin will hit China w/more tariffs ($200B threatened last wk),

also as Eq's offered on back of weak semiconductors, FANG shares. Otherwise

moderate positioning, option hedging, FX-tied buying. Tsy cash/ylds: 2Y 99-30.75

(2.641%), 5Y 99-31.25 (2.753%), 10Y 99-29.5 (2.882%), 30Y 98-27.5 (3.058%).

US TSY FUTURES CLOSE: Trading higher, top of the range, moderate volume (TYU

1.20M). Curves reverse early steepening, update:

* 2s10s -1.125, 23.556 (23.192L/25.613H);

* 2s30s -0.675, 41.241 (41.080L/43.741H);

* 5s30s -0.064, 30.450 (30.404L/31.806H);

Current futures levels:

* Dec Ultra bonds up 19/32 at 158-06 (157-05L/158-10H)

* Dec 30-yr Bond futures up 16/32 at 143-20 (142-29L/143-23H)

* Dec 10-yr futures up 6.5/32 at 120-05 (119-29L/120-07H)

* Dec 5-yr futures up 3.75/32 at 113-11.25 (113-07L/113-12.5H)

* Dec 2-yr futures up 01/32 at 105-21.5 (105-20.25L/105-22.25H)

US EURODOLLAR FUTURES CLOSE: Trading steady to mildly higher with the long end

outperforming the short end. Current White pack (Sep'18-Jun'19):

* Sep'18 +0.0000 at 97.6525

* Dec'18 +0.005 at 97.390

* Jun'19 +0.010 at 97.240

* Jun'19 +0.015 at 97.135

* Red pack (Sep'19-Jun'20) +0.025-0.015

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

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

* Gold pack (Sep'22-Jun'22) +0.030

US DOLLAR LIBOR: Latest settles,

* O/N at 1.9184%

* 1 Month +0.0120 to 2.1325% (+0.0187/wk)

* 3 Month +0.0102 to 2.3270% (+0.0231/wk) 

* 6 Month +0.0037 to 2.5442% (+0.0086/wk)

* 1 Year  +0.0051 to 2.8490% (+0.0090/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.95% vs. 1.95% prior, $798B

* Broad General Collateral Rate (BGCR): 1.93% vs. 1.93% prior, $429B

* Tri-Party General Collateral Rate (TGCR): 1.93% vs. 1.93% prior, $414B

US SWAPS: Spds ratcheted off session wides after huge $20B CIGNA 10-tranche

issue launched (less than estimates north of $22B), total supply for wk just

over $55B. Supply generated payer hedging across the curve earlier/unwinds late.

Additional flow includes two-way in 5s and 7s, spd curve flatteners in 2s5s and

5s7s, mixed fly flow on decent volume (each >$250M) w/2s5s10 receiver, 3s5s7s

and 2s5s9s payer flys. Latest spd levels: 

* 2Y  +0.06/18.75

* 5Y  +0.00/13.38

* 10Y +0.19/6.25

* 30Y -0.38/-7.62

PIPELINE: $20B CIGNA 10-part launch. Once priced, total issuance on wk>$55B

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

09/06 $20B #Cigna jumbo issuance top finance acquisition of Express Scripts;

Details

......$1B 1.5Y FRN L+35, $1.75B 2Y fix +60, $1B 3NC1 FRN L+65, $1.25B 3Y fix

+70,

......$3.1B 5Y fix +102, $700M 5Y FRN L+89, $2.2B 7Y fix +132, $3.8B 10Y fix

+152,

......$2.2B 20Y fix +177, $3B 30Y fix +187

09/06 $1.5B #CIBC $1B 5Y +80, $500M 5Y FRN L+66

09/?? $5.5B Thompson Reuters 4-part combination US$/Eur

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

- Sep 07 Dallas Fed Pres Kaplan, "Energy & Economy: Charting Course Ahead" Conf,

Dallas, Tx, Q&A 

- Sep 07 Boston Fed Pres Rosengren, Eco Conf: Consequences of Long Spells Low

Int Rates", Boston 0830ET 

- Sep 07 Aug nonfarm payrolls (157k, 195k) 0830ET 

- Sep 07 Aug private payrolls (170k , 190k) 0830ET 

- Sep 07 Aug unemployment rate (3.9%, 3.8%) 0830ET 

- Sep 07 Aug average hourly earnings (0.3%, 0.2%) 0830ET 

- Sep 07 Aug average workweek, all workers (34.5hrs, 34.5hrs) 0830ET 

- Sep 07 Clev Fed Pres Mester, "Reality Check from Mkts", Boston Fed Eco Conf,

Q&A. 0900ET 

- Sep 07 Q2 Service Revenue (-1.2%, --) 1000ET 

- Sep 07 Q3 St. Louis Fed Real GDP Nowcast 1100ET 

- Sep 07 Q3 NY Fed GDP Nowcast 1115ET 

- Sep 07 Aug Treasury STRIPS Holdings 1500ET

- Sep 08 Boston Fed Pres Rosengren and co-authors to present paper on "Some

Unpleasant Stabilization Arithmetic", Boston Fed Economic Conf: Consequences

Long Spells Low Int Rates, Boston. 1045ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

Block, 1324:28ET

* 10,000 Nov 73/76 call spds, 4.75 vs. 97.385/0.50%

* -7,000 Short Dec 71/73 call sprd at 12.5 vs 9704.5/0.58%

* -8,000 Green Dec 72/73 call strip, 10.0

* -2,500 Green Dec 72/73 put spds, 2.5

* -2,500 short Jan 68/71 strangles, 18.5

* -10,000 short Dec 72 calls, 5.0

* +2,500 long Green Sep 60/70 2x1 put spds, 23.5 vs. 97.075/0.24%

* +2,000 Green Mar/Blue Dec 72 1x2 call strip, 23.5

* +4,000 short Oct/front Jan 70 1x2 put spds, 4.0

* 5,000 Short Oct 71/72 call sprd at 2.5

* -10,000 Short Jan 68/71 Strangle at 18.5

* -2,000 Short Nov 68/71 Strangle at 10.5

* +10,000 Jun 66/67 3x1 put sprd at 1

* -25,000 Dec 75/77 call sprd vs Dec 72 puts at 0.75 vs 9738.5/0.36%

* 5,000 Short Dec 71/72 call sprd vs Short Dec 67/68 put sprd for net 0.5 vs

9700.5/0.25%, buying the put sprd

Block, 0755ET

* +5,000 Dec 75/76 1x2 call spds, 1.0 net

Block, 0747:17ET

* 6,000 Oct 76/77 call spds, cab vs. 97.39/0.05%

Tsy options, Pit/screen:

* 2,000 TYV 119.5 puts 6/64 vs. 120-05.5

* 3,000 TYV 121/121.5 call spds 3/64 vs. 120-05.5

* 10,000 TYV 120.75 calls, 9/64 vs. 120-05.5/0.24%

* +3,500 TYV 119.5/120 2x1 put spds, 4/64, looking for more offers

* 2,000 TYV 120.25 calls, 14/64 vs. 120-00/0.39%

* Update, 8,400 wk4 FV/FVV 113.5 call spds, 3- to 3.5/64 vs. 113-06.25

* 2,000 wk4 FV/FVV 113.5 call spds, 3/64 vs. 113-06.25

* 1,000 TYV 120/120.5 call spds 4/64 over the TYV 119.5 puts vs. 120-01.5

* +9,000 FVV 112/112.5 put spds 1/64 vs. 113-06/0.05%

* +1,000 TYV 120.25 calls, 15/64 vs. 120-00.5

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

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