US TSYS: RATE AND YILD CURVES BEAR STEEPEN, FOLLOW EGBS LEAD

US TSY SUMMARY: Despite the broad moves in Tsy futures, not much to write home

about as rates unwind some of last week's risk-off support, rate and yld curves

bear steepening. Choppy long end moves (WNZ +/-10-12 ticks at a time) moderate

overall volumes (USZ only 216k, TYZ only 1.16M) after the bell.

- No real data to kick off the new week (July Consumer Credit +$23.3B), Tsys

followed early EGB moves, selling off in early London trade and holding narrow

range until another round of selling in early NY trade. Late summer headline

watching for BREXIT news (SO24 emergency debates after the bell) and of course

any CONCRETE news re: US/China trade.

- Aside from option related trade, second week of month sees ongoing high-grade

debt issuance ($8.4B) Mon, deal-tied hedging adding to fast and real$ selling

across the curve. spd curve flattener unwinds.

- The 2-Yr yield is up 4.3bps at 1.5827%, 5-Yr is up 5.3bps at 1.4855%, 10-Yr is

up 6.8bps at 1.6284%, and 30-Yr is up 8bps at 2.1052%.

US TSY FUTURES CLOSE: Broadly weaker, heading back to late morning lows after

the bell albeit on moderate volume (TYZ<1.2M), rate and yld curves bear

steepening on rather quiet late summer trade, limited data and Fed in blackout

ahead Sep 18 FOMC. Update: 

* 3M10Y  +7.340, -32.47 (L: -41.085 / H: -32.299)

* 2Y10Y  +3.378, 4.769 (L: 1.518 / H: 4.847)

* 2Y30Y  +4.654, 52.864 (L: 48.339 / H: 53.101)

* 5Y30Y  +3.491, 62.381 (L: 59.275 / H: 62.668)

Current futures levels:

* Dec 2-Yr futures down 3.75/32  at 107-28 (L: 107-27.375 / H: 107-31.375)

* Dec 5-Yr futures down 11.25/32  at 119-15.25 (L: 119-13.75 / H: 119-25.75)

* Dec 10-Yr futures down 19/32  at 130-25 (L: 130-23 / H: 131-11.5)

* Dec 30-Yr futures down 55/32  at 162-25 (L: 162-22 / H: 164-16)

* Dec Ultra futures down 104/32  at 192-24 (L: 192-19 / H: 196-00)

US EURODLR FUTURES CLOSE: Trading weaker across the strip, little off session

lows w/short end outperforming, modest volume. Current White pack (Sep 19-Jun

20): 

* Sep 19 -0.018 at 97.890

* Dec 19 -0.030 at 98.095

* Mar 20 -0.060 at 98.40

* Jun 20 -0.075 at 98.535

* Red Pack (Sep 20-Jun 21) -0.08 to -0.075

* Green Pack (Sep 21-Jun 22) -0.08 to -0.075

* Blue Pack (Sep 22-Jun 23) -0.08 to -0.075

* Gold Pack (Sep 23-Jun 24) -0.08

US DOLLAR LIBOR: Latest settles

* O/N -0.0009 at 2.0939% (+0.0051 last wk)

* 1 Month +0.0005 to 2.0495% (-0.0400 last wk)

* 3 Month +0.0043 to 2.1384% (-0.0035 last wk)

* 6 Month +0.0015 to 2.0356% (-0.0024 last wk)

* 1 Year -0.0002 at 1.9488% (-0.0250 last wk)

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

* Daily Effective Fed Funds Rate: 2.12%, volume: $69B

* Daily Overnight Bank Funding Rate: 2.11%, volume: $160B

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

* Secured Overnight Financing Rate (SOFR): 2.15%, $1.222T

* Broad General Collateral Rate (BGCR): 2.15%, $535B

* Tri-Party General Collateral Rate (TGCR): 2.15%, $502B

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

10-Sep 0600 Aug NFIB Small Business Index (104.7, 103.5)

10-Sep 0855 07-Sep Redbook retail sales m/m

10-Sep 1000 Jul JOLTS job openings level (7438, 7311)

10-Sep 1000 Jul JOLTS quits rate

10-Sep 1300 US Tsy $38B 3Y note auction (912828YF1)

PIPELINE: $8.4B high grade launched so far

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

09/09 $1.85B #BB&T $1.1B 3.5Y +70, $750M 10NC5 +115

09/09 $1.6B #Mizuho $500M 4NC3 L+85, $600M 6NC5 +105, $500M 11NC10 +122

09/09 $1.25B #John Deere Capital $400M 3Y fix +48, $400M 3Y FRN LIBOR L+49,

$450M 7Y +73

09/09 $1.1B #Air Lease Corp $600M 3Y +95, $500M 10Y +175

09/09 $750M #Discover Bank 5Y +98

09/09 $700M #Fortune Brands 10Y +160

09/09 $700M #ONCOR Electric WNG 30Y +105

09/09 $400M #Baltimore Gas & Electric WNG 30Y +120

09/09 $400M #Principal Life Global Fndng 10Y +95

09/09 $350M #AEP Transmission WNG 30Y +110

09/10 $Benchmark Oesterreichische Kontrollbank AG (OKB) 3Y +16a

09/10 $Benchmark KFW 10Y +23a

09/10 $Benchmark IADB 3Y SOFR +26a

Eurodollar/Tsy options: Sep futures/options expire Friday

Eurodollar options, Pit/screen: 

* +11,000 short Oct 81/82 2x1 put spds, 0.0

* -10,000 Dec 85/Mar 88 call strips, 11.0

adds to +50k blocked earlier:

* +10,000 Mar 78/80 put spds, 2.0 vs. 98.355

Block, 1253:13ET

* -10,000 Nov 77/78/80/81 put condors, 4.5 net

* 12,000 short Sep/Blue Sep 86 put spds, 2.5 vs. 98.64 to .645

* -14,000 Red Sep'20 95/97/100 call flys, 2.0

Block, 1156:41ET

* 15,000 Dec 81 calls, 13.5

* +15,000 Mar 90/95 call spds, 4.0

* +9,000 Jun 93/97 1x2 call spds, 2.5 vs. 98.515

* 2,500 Jun 90/92 2x3 call spds, 4.0 vs. 98.55

* -5,000 short Nov 87 calls, 10.0

* +10,000 Mar 88 calls, 7.0

* -7,500 Dec 83/86/87 1x3x2 broken call flys, 1.5

* +4,000 Green Oct 91 calls, 1.5 vs. 98.72/0.08%

* -4,000 short Dec 85 puts, 11.0 vs. 98.655/0.36%

* -5,000 Oct 81 calls, 7.5

* -3,000 Oct 80/81 2x1 put spds, 1.5

* cab sellers Red Sep 67 puts and Red Dec 65 puts

* total -20,000 Jan 88/93 call spds w/-10,000 Mar 88 calls, 16.5 net package vs.

98.43/0.52%

* total +15,000 Dec 77/78 put spds, 2.5 vs. 98.11, adds to earlier Block

* 4,000 short Oct 87/90/92 call trees, 4.5 vs. 98.645/0.30%

* -5,000 Green Oct 83 puts, 1.5 vs. 98.735/0.10%

* 3,000 Oct 80/81/82 call flys, 3.0

Block, 0926:54ET +50k total

* Another +25,000 Mar 78/80 put spds, 2.0 vs. 98.365/0.05%

Block, 0716-0720ET

* total 10,000 Dec 77/78 put spds, 2.5 vs. 98.12/0.10%

Blocks,

* 25,000 Mar 78/80 put spds, 2.0 vs. 98.46/0.06% at 0659:24ET

* 0653:24ET Block spd

* 22,500 Oct 82 calls 3.75

* 10,000 Oct 83 calls, 1.5

* 25,000 Nov 85 calls, 2.5

Tsy options: Pit/screen:

* 2,500 TYX 130/131 2x1 put spds, 2/64

* 1,000 TYZ 131 straddles, 2-10/64

* 1,250 TYV 130/131 put spds, 24/64 vs. 130-28

* -9,000 TYX 131.5/132.5 call spds, 17/64

* +3,000 TYZ 134 calls, 15/64

* -2,500 TYX 129 puts, 6/64 over 132.5/133.5 call spds

* 1,875 TYV 131.25/132 1x2 call spds, 5/64

* 1,000 TYV 130/130.75 2x1 put spds, 6/64 vs. 131-00

* 5,325 FVZ 120 calls, 28.5/64 vs. 119-15.75

* 1,000 FVX 118.75/121 strangles, 20.5/64

Earlier flow since the NY open

* appr +6,500 TYZ 134 calls, 15- to 16/64

* +4,000 TYV 130/130.75 1x2 call spds, 6/614

* +2,500 TYX 129.5/132 risk reversals, 6/64

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

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