US TSYS: SOFTER BREXIT DEMAND OR NOT? TSYS RECEDE

US TSY SUMMARY: Quiet late trade, Tsys mixed after firmer open, curves steeper

for second consecutive session. Tsys followed Gilts lower after early reports

Germany & UK to drop key Brexit demands, denial couple hours later: German

spokesman said govt stands pat/Brexit demands have NOT changed. Long end back to

steady, curves maintained steeper profile early in second half.

- Limited react second-tier data, mild Tsys bounce/US$ reversed gained following

StL Fed Pres Bullard comments that "more hiking could unnecessarily raise

recession risk." Fed pres' Bostic, Kashkari speak later in evening.

- US$ index off highs DXY -.250, 95.189 (95.085L/95.663H), $/Eur +0.0041 at

1.1623, $/Yen +.13 111.54; equities weaker/off lows (emini -9.25, 2889.0); Gold

firm (XAU +4.75, 1996.31); West Texas crude weaker/near lows (WTI -1.08, 68.79)

after rallying to late 2014 highs Tuesday (71.40).

- Decent two-way flow in shorts to intermediates, Blocked steepener FVZ/WNZ

(duration neutral) and outright buying 13.8k FVZ, decent deal-tied hedging/heavy

corp supply. 

- Tsy cash/ylds: 2Y 99-30 (2.653%), 5Y 99-29 (2.769%), 10Y 99-24.5 (2.900%), 30Y

99-17.5 (3.074%).

US TSY FUTURES CLOSE:  Trading mixed with the short end slightly outperforming

the long end, tight range with light volume (TYU 1.10M), Curves steeper; update:

* 2s10s +0.587, 24.702 (23.288L/25.109H);

* 2s30s +1.537, 41.958 (39.933L/42.363H);

* 5s30s +1.639, 30.440 (28.383L/30.933H);

Current futures levels:

* Dec Ultra bonds down 03/32 at 157-19 (157-11L/158-08H)

* Dec 30-yr Bond futures EVEN 00/32 at 143-04 (142-28L/143-18H)

* Dec 10-yr futures up 01/32 at 119-30 (119-26.5L/120-2.5H)

* Dec 5-yr futures up 01.25/32 at 113-7.75 (113-5.25L/113-10H)

* Dec 2-yr futures up 0.5/32 at 105-20.5 (105-19.5L/105-21.25H)

US EURODOLLAR FUTURES CLOSE: rading steady to slightly higher across the strip,

middle of a tight range. Current White pack (Sep'18-Jun'19):

* Sep'18 +0.0050 at 97.6525

* Dec'18 +0.005 at 97.385

* Jun'19 +0.000 at 97.225

* Jun'19 +0.005 at 97.120

* Red pack (Sep'19-Jun'20) +0.010-0.005

* Green pack (Sep'20-Jun'21) +0.010-0.005

* Blue pack (Sep'21-Jun'21) +0.010-0.005

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

US DOLLAR LIBOR: Latest settles,

* O/N at 1.9187%

* 1 Month +0.0002 to 2.1205% (+0.0067/wk)

* 3 Month -0.0059 to 2.3168% (-0.0039/wk) 

* 6 Month +0.0015 to 2.5405% (+0.0049/wk)

* 1 Year  +0.0011 to 2.8439% (+0.0039/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.95% vs. 1.97% prior, $833B

* Broad General Collateral Rate (BGCR): 1.93% vs. 1.95% prior, $427B

* Tri-Party General Collateral Rate (TGCR): 1.93% vs. 1.95% prior, $412B

US SWAPS: Spds tighter across the board by the bell, low end modest range.

Second consecutive session heavy swappable supply, weighing on spds. Mixed flow

aside from deal-tied hedging: 3s5s flatteners, 8s10s steepeners, 2s5s10s payer

fly (decent volume) and 8s9s10s receiver fly. Earlier: deal-tied paying ahead

another heavy bout of corp supply; better receiving in 2s, 5s and 10s early

overnight. Latest spd levels:

* 2Y  -0.31/18.38

* 5Y  -0.15/13.31

* 10Y -0.32/6.07

* 30Y -0.62/-7.38

PIPELINE: Waiting for a lot to price, issuance well over Tuesday's $11.2B

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

09/05 $3B *EIB 3Y WNG -1

09/05 $5.25B #HSBC $2B 3NC2 FRN +65, $2.5B 8NC7 fix +145, $750M 8NC7 FRN +138

09/05 $2.1B #General Motors $450M 3Y FRN +90, $750M 10Y fix +210, $900M +30Y

09/05 $2B #BPCE $750M 5Y fix +137.5, 5Y FRN +124, 10Y fix +180

09/05 $2B #Eni $1B 5Y +135, $1B 10Y +195

09/05 $1.3B #John Deere Cap'l $600M 3Y fix +42, $400M 3Y FRN, $300M tap DE 3.45%

09/05 $1B #Equinor 10Y +75

09/05 $650M #Public Service Electric & Gas, $325M 5Y +52, $325M 10Y +75

09/05 $325M #AEP Transmission 30Y +118

09/05 $5.5B Thompson Reuters 4-part combination US$/Eur

09/05 $3B Sinopec 5Y +125a, 7Y +145a, 10Y +160a, 30Y +160a

09/05 $Benchmark Credit Suisse NC7 AT1

09/05 $Benchmark Mizuho 6NC5 fix-FRN, 6NC5 FRN, 11NC10

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

- Sep 06 Aug challenger layoff plans (-4.2%, --) 0730ET 

- Sep 06 Aug ADP private payrolls (219k, --) 0815ET 

- Sep 06 01-Sep jobless claims (213k, 210k) 0830ET 

- Sep 06 Q2 non-farm productivity (f) (2.9%, 3.0%) 0830ET 

- Sep 06 Q2 unit labor costs (f) (-0.9%, -0.9%) 0830ET 

- Sep 06 Aug Markit Services Index (final) (56.0, --) 0945ET 

- Sep 06 02-Sep Bloomberg comfort index (58.3, --) 0945ET 

- Sep 06 Aug ISM Non-manufacturing Index (55.7, 57.0) 1000ET 

- Sep 06 Jul factory new orders (0.7%, -0.6%) 1000ET 

- Sep 06 Jul factory orders ex transport (0.4%, --) 1000ET 

- Sep 06 31-Aug natural gas stocks w/w (70Bcf, --) 1030ET 

- Sep 06 31-Aug crude oil stocks ex. SPR w/w (-2.57m bbl, --) 1100ET 

- Sep 06 05-Sep Fed weekly securities holdings 1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

Block, 1211:21ET

* 10,650 Sep 76/77/78 put trees, 12.0 net vs. 97.655/0.22%

Block, 1127ET

* -15,000 Red Dec'1962/65 put spds, 3.5 vs. 97.03/0.10%

* 10,000 Short Dec 72 calls at 5.5 vs 9704/0.15%, adds to 20k earlier

* 3,000 Blue Dec/Green Mar 72 2x1 call sprd for net 1

* 5,000 Short Oct 71/72 call sprd at 2.25

* 4,000 Jan 70 puts at 1 vs 9723/0.12%

* -10,000 short Dec 75 calls, 5.0

* +5,000 Green Jun/Blue Mar 70 straddle spds, 10.5 net/Green June over

* 3,500 Jan 71/72 put sprd at 6 vs 9722.5/0.22%

* 8,000 Red Dec 70/75 put over risk reversal at 13.5 vs 9702/0.60%

* 15,000 Short Dec 72 calls at 5.5 vs 9704/0.15%

* 35,000 Front Dec 72/Short Dec 66 1x2 put sprd at 1, note recent 10k block

Front Dec 72/Short Dec 66 1x1 put sprd for net 0.5 vs 9735.5/0.10%Block,

08:38:34ET,

* 10,000 Front Dec 72/Short Dec 66 put sprd for net 0.5 vs 9735.5/0.10%, note

additional 10k in pit for 0.25Block, 08:10:55ET,

* 10,000 Blue Mar 70/73 call sprd vs Blue Mar 67 puts for net 6 vs 9706/0.54%

* 20,000 Oct 72/73/75 call flys

Large vol seller in Oct overnight

* just over -27,000 now (5k Blocked) Oct 73 straddles, 7.0

* 19,000 Dec 72 puts, 1.5, current mid-market

Tsy options, Pit/screen:

* 2,000 FVV 112.75/113.5 call over risk reversals, 5.5/64 vs. 113-08.5

* 4,000 wk2 TY 119/119.25/119.5 put trees, 1/64 vs. 120-03/0.04%

* 1,000 TYV 119/119.5 2x1 put spds, 2/64

* +1,000 TYX 117.5/118.5 put spds, 7/64

* -1,000 USX 142 straddles, 2-60/64

* 1,500 wk1 TY 119.5 puts, 2/64 vs. 119-31.5

* 1,100 TYV/TYX 121 call spds, 12/64 vs. 119-30

* Update, total +10,000 TYV 121.7 calls, 2/64

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

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