US TSYS: QUIET START, TSYS MIRROR GILTS EARLY, US$ PARED GAINS

US TSY SUMMARY: Tsys trading steady/mixed, flatter curve rotates around unch'd

10Y. Tsys followed Gilts lower after the open after EU Barnier comments

"realistic" BREXIT deal possible in 6-8wks. Weakness short-lived w/long end

bounce/extends session highs over next hour as US$ pared gains vs. Yen.

- US$ index well off overnight highs DXY -.211, 95.154 (95.028L/95.564H), $/Eur

+0.0047 at 1.1595, $/Yen +.24 111.24; equities off highs (emini +6.5, 2881.25);

Gold soft (XAU -1.08, 1195.17); West Texas crude soft (WTI -0.24, 67.51). 

- Short end yld holds near 10yr highs. Generally quiet start to the week w/mixed

direction from EGBs (Gilts off lows, Bunds at one month lows, Italian BTPs

rally, Turkey resumes slide after disappointing GDP) coming into the session.

Headline watching/trade focus on limited data day, Atl Fed Pres Bostic fireside

chat in Ga touched upon trade uncertainty impact on investment, inflation (Fed

enters media blackout Fri through Sep 27).

- Prop and real$ bought 7s-10s midmorning, mixed swap flow, deal- and pre

auction hedging. Tsy cash/ylds: 2Y 99-26.5 (2.711%), 5Y 99-20.5 (2.826%), 10Y

99-14.5 (2.937%), 30Y 98-08.5 (3.088%).

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

made new session highs late into the session but pared some of those gains,

short end goes red into the bell volume, (TYU 778K), Curves

flattening; update:

* 2s10s -1.378, 21.833 (21.650L/24.163H);

* 2s30s -2.538, 36.934 (36.934L/40.282H);

* 5s30s -2.051, 25.807 (25.719L/28.366H);

Current futures levels:

* Dec Ultra bonds up 14/32 at 157-07 (156-19L/157-11H)

* Dec 30-yr Bond futures up 06/32 at 142-24 (142-13L/142-27H)

* Dec 10-yr futures up 0.5/32 at 119-21 (119-18.5L/119-23.5H)

* Dec 5-yr futures down 0.25/32 at 112-31 (112-30.25L/113-01H)

* Dec 2-yr futures down 0.5/32 at 105-16.75 (105-16.75L/105-18H)

US EURODOLLAR FUTURES CLOSE: Trading mixed with the long end outperforming the

short end, tight range with low volume. Current White pack (Sep'18-Jun'19):

* Sep'18 +0.0025 at 97.6450

* Dec'18 -0.010 at 97.345

* Jun'19 -0.005 at 97.180

* Jun'19 -0.005 at 97.060

* Red pack (Sep'19-Jun'20) -0.005

* Green pack (Sep'20-Jun'21) -0.005-EVEN

* Blue pack (Sep'21-Jun'21) +0.005

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

US DOLLAR LIBOR: Latest settles,

* O/N +0.0004 at 1.9191% (+0.0051 last wk)

* 1 Month +0.0079 to 2.1389% (+0.0172 last wk)

* 3 Month +0.0030 to 2.3342% (+0.0273 last wk)

* 6 Month +0.0107 to 2.5522% (+0.0059 last wk)

* 1 Year  +0.0171 to 2.8626% (+0.0055 last wk)

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

* Secured Overnight Financing Rate (SOFR): 1.94% vs. 1.94% prior, $802B

* Broad General Collateral Rate (BGCR): 1.91% vs. 1.91% prior, $428B

* Tri-Party General Collateral Rate (TGCR): 1.91% vs. 1.91% prior, $411B

US SWAPS: Wings gradually pared early move, spds mostly tighter by the bell on

light flow on day: micro curve trades in the short to intermediates,

cross-current flow in 3s, 5s and 10s. Latest spd levels: 

* 2Y  -0.53/18.38

* 5Y  -0.20/13.14

* 10Y -0.30/6.07

* 30Y +0.00/-7.06

PIPELINE: $1.4B Roche 2-part joins $2B TD Bank launch

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

09/10 $2B #TD Bank $1B 2Y fix +45, $1B 2Y FRN Libor +26

09/10 $1.75B #Societe Generale $1B 5Y +145, $750M 10Y +185

09/10 $1.4B #Roche Holdings $750M 5Y +43, $650M 10Y +70

09/10 $1B KFW 2.75% 2020 Tap

09/10 $Benchmark IADB 10Y +13a

09/10 $Benchmark Seven & I 3Y

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

- Sep 11 Aug NFIB Small Business Index (107.9, --) 0600ET

- Sep 11 08-Sep Redbook retail sales m/m (0.8%, --) 0855ET

- Sep 11 Jul wholesale inventories (0.7%, 0.6%) 1000ET

- Sep 11 Jul wholesale sales (-0.1%, --) 1000ET

- Sep 11 Jul JOLTS job openings level (6.662k, --) 1000ET 

- Sep 11 Jul JOLTS quits rate (2.3%, --) 1000ET

- Sep 11 US TSY $26B 52W Bill auction (912796RA9) 1130ET

- Sep 11 US TSY $35B 3Y Note auction (9128285A4) 1300ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

* 4,000 Red Sep 66/67 put sprd at 3.5 vs 9698.5/0.05%

* 10,000 Long Green Jun 52/57 3x1 put sprd at 0

* 5,000 Nov 72 puts at 1 vs 9735/0.18%

* -12,000 Green Mar/Green Jun 66 put strip vs 9699/0.20% and 9700/0.26%

* -5,000 Short Dec 70/72 combo 2 puts, 3 calls

* 20,000 Dec 73/75 put sprd at 9.5 vs 9697.5/0.25%, adds to recent 10k block

Block, 12:53:10ET,

* 10,000 Dec 73/75 put sprd at 9.5 vs 9697.5/0.25%

Block, 12:23:00ET, Note Sep expires this Friday

* -20,000 Green Sep 70 Straddle for net 6.5, adds to 40k Straddle blocks sold

Friday at 7

* -5,000 Dec 73/75 call sprd at 2.5 vs 9734/0.22%

* 2,000 Dec 76/77 call sprd at CAB

* 4,500 Short Sep 70/71 2x1 put sprd at 8

* 4,000 Short Mar 70/71/72 put tree at 11.5 vs 9694.5/0.46%

Overnight trade, muted; Sep futures/options expire Friday

* 5,000 short Sep 68 puts, cab

* 4,000 short Oct 66/67/68 put flys

* 6,000 Mar 82 calls, cab

Tsy options, Pit/screen:

* -3,100 TYV 119/120 2x1 put spds 21/64 vs. TYV 122 calls vs.

* +3,100 TYX 118/119 1.5x1 put spds vs. TYV 121 calls, 22/64 net package

* 10,000 TYX 122/122.5 call spds, 2/64 vs. 119-27 to -26/0.05%

* 1,500 TYV 120.5/121 call spds, 2/64

* 1,200 TYV 120.25/121.25 1x2 call spds, 3/64 vs. 119-20/0.12%

* 2,000 FVV 112.5/113 put spds, 10/64vs. 112-31.2/0.38%

* 2,100 wk2 TY 119/119.5 2x1 put spds, 5/64

* 1,000 TYV 119/120.5 put over risk reversals, 0.0 vs. 119-22/0.32% Total

-11,171 TYX 118.5 at 11

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

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