US TSYS: RISK FACTORS REMAIN, DON'T BE LULLED BY SUMMER TRADE

US TSY SUMMARY: Tsys trade mixed after the bell, long end underperforming but

well off early session lows. Yld curves inched steeper but remain near 12+ year

lows, 3M10Y well inverted while 2Y10Y holds near 0.0.

- While risk on touted early, underlying risk factors (US/China trade and

knock-on effect to global economy, no-deal Brexit angst) really haven't

evaporated -- spurring steady buying since mid-morning -- even as equities

retained bid (after overnight support w/Asia shares on Hong Kong extradition

bill taken off table). 

- Familiar refrain from flurry of Fed speakers on day (Williams, Bowman,

Bullard, Kaplan, Kashkari and Evans) ahead start of Fed Blackout period (Sep

7-19) -- trade war weighing, manufacturing uncertain, but consumer strong. 

- Second day heavy high-grade corporate issuance, $30.25B total/day, $50.35B/wk.

- Early two-way saw fast- and real$ turn better buyers w/props in fronts to

intermediates ahead Thu's ADP private and Fri's non-farm employment data.

- The 2-Yr yield is down 1.8bps at 1.4339%, 5-Yr is down 1bps at 1.3198%, 10-Yr

is up 1.2bps at 1.469%, and 30-Yr is up 2.1bps at 1.9739%.

US TSY FUTURES CLOSE: Mixed after the bell, long end underperforming but well

off early session lows. While risk on touted early, underlying risk factors

(US/China trade and knock-on effect to global economy, no-deal Brexit angst)

really haven't evaporated -- spurring steady buying since mid-morning -- even as

equities retained bid (after overnight support w/Asia shares on Hong Kong

extradition bill taken off table). Update: 

* 3M10Y  +1.575, -48.792 (L: -52.745 / H: -46.361)

* 2Y10Y  +2.643, 2.978 (L: 0.231 / H: 3.314)

* 2Y30Y  +3.537, 53.399 (L: 48.935 / H: 53.801)

* 5Y30Y  +2.865, 65.007 (L: 61.141 / H: 65.283)

Current futures levels:

* Dec 2-Yr futures up 1.875/32  at 108-6.5 (L: 108-03.75 / H: 108-07.12)

* Dec 5-Yr futures up 3.25/32  at 120-11 (L: 120-04.5 / H: 120-13)

* Dec 10-Yr futures up 3/32  at 132-7 (L: 131-28 / H: 132-11)

* Dec 30-Yr futures down 7/32  at 165-22 (L: 164-31 / H: 166-04)

* Dec Ultra futures down 22/32  at 197-22 (L: 196-16 / H: 198-26)

US EURODLR FUTURES CLOSE: Trading steady/mixed in Whites and Golds, Reds-Blues

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

* Sep 19 -0.002 at 97.953

* Dec 19 +0.025 at 98.20

* Mar 20 +0.030 at 98.535

* Jun 20 +0.035 at 98.70

* Red Pack (Sep 20-Jun 21) +0.025 to +0.030

* Green Pack (Sep 21-Jun 22) +0.020 to +0.030

* Blue Pack (Sep 22-Jun 23) +0.005 to +0.015

* Gold Pack (Sep 23-Jun 24) -0.01 to steady

US DOLLAR LIBOR: Latest settles

* O/N +0.0006 at 2.0912% (+0.0016/wk)

* 1 Month -0.0096 to 2.0572% (-0.0318/wk)

* 3 Month -0.0143 to 2.1123% (-0.0253/wk)

* 6 Month -0.0252 to 1.9872% (-0.0493/wk)

* 1 Year -0.0396 at 1.8968% (-0.0772/wk)

US SWAPS: Spds running wider after the bell, still waiting for broad array of

deal-tied hedge unwinds to reverse expansion. Latest levels:

Time (ET)   2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

Wed 1500    +0.44/-0.56    +0.44/-6.44   +0.75/-11.44   +1.00/-42.38

1300        +0.31/-0.69    +0.56/-6.31   +0.81/-11.38   +0.88/-42.50

1100        +0.56/-0.44    +0.62/-6.25   +0.88/-11.31   +0.62/-42.75

Wed Open    +0.44/-0.56    +0.44/-6.44   +0.69/-11.50   +0.31/-43.06

Tue 1500    -1.00/-0.75    +0.12/-6.81   -0.81/-12.31   -1.31/-43.31

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

* Daily Effective Fed Funds Rate: 2.13%, volume: $71B

* Daily Overnight Bank Funding Rate: 2.12%, volume: $163B

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

* Secured Overnight Financing Rate (SOFR): 2.17%, $1.281T

* Broad General Collateral Rate (BGCR): 2.15%, $514B

* Tri-Party General Collateral Rate (TGCR): 2.15%, $490B

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

05-Sep 0730 Aug challenger layoff plans (43.2%, --)

05-Sep 0815 Aug ADP private payrolls (156k, 148k)

05-Sep 0830 31-Aug jobless claims (215k, 215k)

05-Sep 0830 Q2 non-farm productivity (f) (2.3%, 2.2%)

05-Sep 0830 Q2 unit labor costs (f) (2.4%, 2.4%)

05-Sep 0945 Aug Markit Services Index (final) (50.9, 50.9)

05-Sep 1000 Jul factory new orders (0.6%%, 1.0%)

05-Sep 1000 Jul factory orders ex transport (0.1%, --)

05-Sep 1000 Aug ISM Non-manufacturing Index (53.7, 54.0)

05-Sep 1030 30-Aug natural gas stocks w/w

05-Sep 1100 30-Aug crude oil stocks ex. SPR w/w

05-Sep 1630 04-Sep Fed weekly securities holdings

PIPELINE: Second day heavy issuance, $30.25B total/day, $50.35B/wk

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

09/04 $7B #Apple 5-part jumbo: $1B 3Y +35, $750M 5Y +53, $2B 7Y +68, $1.75B 10Y

+78, $1.5B 30Y +103

09/04 $900M #Amphenol Corp 10Y +135

09/04 $750M #Georgia Power $450M 5Y +90, $350M 10Y +120

09/04 $3B *Wells Fargo 3NC2 fix/FRN  +66/+65

09/04 $2.5B *Anthem Inc $850M 5Y +108, $825M 10Y +143, $825M 30Y +178

09/04 $2B *Credit Suisse Group 6NC5 +128

09/04 $2B *Coca-Cola $1B 5Y +47, $1B 10Y +67

09/04 $3.5B *Simon Property $1B 5Y +70, $1.25B 10Y +110, $1.25B 30Y +130

09/04 $2B *MPLX $1B 2NC1 FRN +90, $1B 3NC1 +110

09/04 $1.5B *Hewlett Packard $500M 18M FRN +68, $1B +3Y +90

09/04 $750M *KeyCorp 10Y +110

09/04 $Benchmark Ontario Teachers Finance Trust 5Y +36a

09/04 $Benchmark Swedish Export Credit 2Y +14a

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

09/04 $500M *European Investment Bank (EIB) WNG 2022 Tap FRN SOFR +25

09/04 $600M *ADB 2Y FRN SOFR +24, upsized from $500M

09/04 $1.25B *MuniFin 3Y +15

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

Late Block, 1508:00ET, double buy, focus on hedging lower rate risk

* +15,000 short Sep 93/96/97/100 call condors, 4.5

* +15,000 short Dec 93/96/97/100 call condors, 5.5

* 3,000 Oct 82/83/85/86 call condors, 2.75

* 7,500 red Sep'20 87/90 call spds, 10.5 vs. 98.83/10%

* 8,000 Jun 87/90 call spds, 8.5 vs. 98.69

* 20,000 Dec 80 puts, 7.0

* 20,000 short Dec 86 puts, 10.5

* 15,000 Dec 78/80/81 put trees, 1.75

* 7,500 Mar 93 calls, 3.0

* -5,000 Oct 81 puts, 12.0

* +10,000 Oct 86 calls, 1.25

* +13,000 Sep 80/81 call spds on screen, 2.0

* +8,000 Sep 77/78 call spds, 11.75

* +4,000 Oct 78/80 2x1 put spds, 0.75

* +3,000 Red Sep20 78/81/82 put trees, 0.0

Latest trade, more upside positioning

* +30,000 short Dec 91/92/96/97 call condors, 2.5 vs. 98.865/0.05%

* +5,000 Mar 88/92 call spds 0.5 over Mar 80/82 put spds

* -5,000 Mar 78/80 put spds, 5.25

Trade turns bullish on futures, implieds little firmer w/underlying off lows

(true for Tsy options too)

* +30,000 Mar 92 calls, 4.0

* +8,500 Dec 82/83/85 call flys, 1.25

* 5,000 Dec 82/85 call spd 3.5 over Dec 78/80 put spd

* 4,000 Sep 78/80 put spds, 5.25 vs. 97.962

* +20,000 Oct 81/82 call spds 5.0 over the Nov 90 calls vs. 98.17/0.20%

* 5,000 Dec 80/82 call spd vs. short Dec 82/85 call spd, 8.25 net cr/short Dec

over

* -1,000 short Nov/short Dec 87 straddle strip, 69.5

* -40,000 Mar 80/82 put spds, 6.0 vs.

* +40,000 Mar 88/92 call spds, 6.0 vs. 98.51/0.32%

* 2,500 Jan 87/90 call spds, 5.5 vs. 98.50

* another 8,200 Sep 80/81 call spds on screen, 20k total around 2-2.5

* -10,000 short Mar 92/93 call spds on screen, 3.0

Block, 0646:13ET,

* 5,000 Sep 78/80 put spds, 5.25 vs. 97.962/0.47%

Tsy options:

* 4,300 USV 163/USX 160 put spds, 3- to 2/64

* 1,800 TYV 129.5/131.25 2x1 put spds, 14/64 vs. 132-01

* 1,500 wk1 TY 132.5/133/133.25 call flys, 4/64

* 500 TYZ 131/131.5 put strip, 1-46/64 vs. 131-31

* Update, over 5,000 TYZ 130/134.5 put over risk reversals, 3/64

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

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