US TSYS: SLOG LOWER IN TSYS LOSES STEAM AHEAD ECB

US TSY SUMMARY: Another day of weaker rates, Tsy futures off session lows/near

midrange on a much more subdued session compared to slog lower in first half of

week. Equities higher (ESU9 +22.0) along with Gold (+10.33). Yld curves mildly

steeper for the most part.

- Little react to data, many appear sidelined ahead Thu's ECB policy annc,

anticipating a policy 'Bazooka' from ECB Pres Draghi.

- Decent corp supply again, generating hedging flow in 3s, 5s, 10s and 30s.

Another small tail, latest US Tsy $24B 10Y note auction (912828YB0) awarded

1.739% rate (1.670% in August) vs. 1.735% WI; 2.46 bid/cover (2.20 previous).

Indirects drew 62.61% vs. 55.72% prior (51.41 avg), directs 12.72% vs. 13.56%

(12.41% avg), and 24.67% for dealers vs. 30.72% prior (36.17% avg).

- Two way flow helped maintain the range after better selling from real$ in long

end coming into the session

- The 2-Yr yield is up 0.2bps at 1.6783%, 5-Yr is up 0.5bps at 1.5965%, 10-Yr is

up 1bps at 1.742%, and 30-Yr is up 0.6bps at 2.222%.

US TSY FUTURES CLOSE: Weaker all day, Tsys holding near middle session' range on

modest volumes (TYZ>1.4M), yld curves mildly steeper for the most part -- quiet

midweek session. Update: 

* 3M10Y  +0.197, -21.266 (L: -26.103 / H: -20.489)

* 2Y10Y  +0.987, 6.138 (L: 3.838 / H: 7.274)

* 2Y30Y  +0.201, 53.819 (L: 51.572 / H: 55.156)

* 5Y30Y  -0.253, 62.073 (L: 61.097 / H: 63.075)

Current futures levels:

* Dec 2-Yr futures down 1.25/32  at 107-21.25 (L: 107-20.75 / H: 107-23)

* Dec 5-Yr futures down 5.5/32  at 118-28.75 (L: 118-28 / H: 119-01.75)

* Dec 10-Yr futures down 10.5/32  at 129-26.5 (L: 129-24.5 / H: 130-03)

* Dec 30-Yr futures down 27/32  at 160-20 (L: 160-12 / H: 161-10)

* Dec Ultra futures down 47/32  at 188-25 (L: 188-11 / H: 190-02)

US EURODLR FUTURES CLOSE: Trading weaker across the strip, near session lows

w/short end outperforming on decent volumes for third consecutive session.

Current White pack (Sep 19-Jun 20): 

* Sep 19 -0.002 at 97.880

* Dec 19 -0.010 at 98.045

* Mar 20 -0.005 at 98.325

* Jun 20 -0.010 at 98.440

* Red Pack (Sep 20-Jun 21) -0.035 to -0.02

* Green Pack (Sep 21-Jun 22) -0.045 to -0.035

* Blue Pack (Sep 22-Jun 23) -0.045

* Gold Pack (Sep 23-Jun 24) -0.05 to -0.045

US DOLLAR LIBOR: Latest settles

* O/N +0.0040 at 2.0945% (+0.0017/wk)

* 1 Month -0.0028 to 2.0358% (-0.0132/wk)

* 3 Month -0.0044 to 2.1273% (-0.0069/wk)

* 6 Month +0.0177 to 2.0529% (+0.0172/wk)

* 1 Year +0.0383 at 2.0086% (+0.0597/wk)

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

* Daily Effective Fed Funds Rate: 2.13%, volume: $63B

* Daily Overnight Bank Funding Rate: 2.11%, volume: $144B

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

* Secured Overnight Financing Rate (SOFR): 2.14%, $1.186T

* Broad General Collateral Rate (BGCR): 2.13%, $529B

* Tri-Party General Collateral Rate (TGCR): 2.13%, $495B

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

12-Sep 0830 07-Sep jobless claims (217k, 215k)

12-Sep 0830 Aug CPI (0.3%, 0.1%)

12-Sep 0830 Aug CPI Ex Food and Energy (0.3%, 0.2%)

12-Sep 1030 06-Sep natural gas stocks w/w

12-Sep 1300 US Tsy $16B 30Y bond auction (912810SJ8)

12-Sep 1400 Aug Treasury budget balance (-$119.7B, -$195.0B)

12-Sep 1630 11-Sep Fed weekly securities holdings

PIPELINE: Kraft Heinz launched

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

09/11 $3B #Kraft Heinz $1B +10Y +205, $500M 20Y +250, $1.5B 30Y +275

09/11 $2B #African Development Bank (AFDB) 3Y +13

09/11 $2B #Asia Development Bank (ADB) 10Y +22

09/11 $450M *Ameren WNG 5Y +92

09/11 $Benchmark Expedia +10Y +165a

-

$10.75B priced Tuesday, $19.85/wk

09/10 $2B *KFW 10Y +21

09/10 $1.5B *Lloyds 3.5NC2.5 fix/FRN +120

09/10 $1.5B *Prudential Financial 31.5Y +155

09/10 $1.5B *Oesterreichische Kontrollbank AG (OKB) 3Y +14

09/10 $1.25B *TD Bank 1.5Y FRN FRN L+27

09/10 $800M *Florida Power & Light WNG 30Y +100

09/10 $800M *Penske Truck Leasing $500M 5Y +118, $300M 10Y +170

09/10 $600M *IADB 3Y SOFR+26

09/10 $500M *Sumitomo Mitsui Financial Grp (SMFG) 10Y +148

09/10 $300M *Washington Gas and Light WNG 30Y +150

Eurodollar/Tsy options: Sep futures/options expire Friday

Eurodollar options, Pit/screen: 

* -8,500 Jun 93 calls, 3.5 vs. 98.48/0.10%

* +4,500 short Dec 81/82/83 put trees, 0.5

* +10,000 Mar 93 calls, 1.5, ongoing, paper paid 2.0 on 10k yesterday

* -3,000 Jun 77/78/80/81 put condors, 2.0

Additional flow from earlier

* -25,000 Dec 78/81 call spds, 12.0 pit/screen

* -10,000 Dec 77/81 call spds, 20.5

* -3,000 short Oct 83/86 strangle, 12.0

* -20,000 Dec 82/87 call strip vs. Oct 82 calls, 6.5 net

* re: Block/pit trade of 33,000 Mar/Jun 75/77 call spds, sources say package is

a double buy for 47.5 total

Block, 1008:30ET, adds to 23,000 in pit

* 10,000 Mar 75/77 call spds, 23.5

* 10,000 Jun 75/77 call spds, 24.0

* -20,000 Dec 78/81 call spds, 12.0 vs. 98.055

* +15,000 Jun 90/91 call spds, 2.25 legged

* +5,000 short Dec 92 calls, 2.0 vs. 98.53/0.10%

* 1,700 Dec 80 straddles, 27.0

* 1,700 short Sep 85 straddles, 10.0

* -4,000 Sep 78 puts, 0.75

* -4,000 Dec 76/77/78 put flys, 1.75

* 2,000 Dec 77/82 3x1 call spds, 1.0

* +2,000 Jun 90/92 call spds, 4.0

Pre-open screen trade

* 10,700 Sep 78 puts, 1.0

* 10,750 Dec 77 calls

* 16,500 Dec 81 calls

* 9,300 short Sep 82 puts, cab

TSy options:

* over +10,000 TYX 123/127 put spds, 7/64 vs. 129-30/0.10%

* 4,000 TYX 132.5 calls, 11/64 

* -3,500 TYV 129 puts, 9/64

* 1,200 FVX 118/120 strangles, 24/64

* 1,500 USV 160.5/163 put spds, 1-38

* 2,100 TYZ 129.5/130 put spds, 16/64

* 1,900 TYV 129.75 straddles, 63- to 1-0/64

* 1,000 TYZ 129/131 put spds, 1-4/64

* -1,000 USV 160 puts, 50/64, adds to screen sales

Pre-open screen trade

* -17,500 FVV 119.25/FVX 118.5 put spds, 8/64

* 6,000 FVV 19/119.5 put spds

* -4,000 USV 160 puts, 47/64 last

* Block, 5,000 USV 159.5/160.5/162.5 1x2x2 put flys

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

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