US TSYS: TSY MELT-DOWN LATE, EQUITIES RECOVER TO MILDLY HIGHER

US TSY SUMMARY: Broadly weaker to say the least, Tsys continued to melt in late

summer sun all day, decent volume (TYZ>1.835M). NOT quite a risk-on move,

sell-off in rates more of an unwind of heavy buying in August. Accts looking to

square up ahead ECB and FOMC policy annc's. That said, equities jumped back to

mildly higher late while move in ylds accelerated into the equity close: 10YY

+.0861 at 1.7160% after making new all-time lows last week (1.4288% on Sep 3);

3M10Y still inverted after bear steepening some 17.0bp this week.  

- Steady drip of selling from various accts, heard chatter CTA's active sellers

second day running, real$ and prop buyers on dips from late morning on, decent

deal-tied selling in addition to Tsy auction hedging/unwinds. Option traders

traders short delta but long gamma. Others looking to discount the positive talk

of quick China trade resolution. Small tail US Tsy $38B 3Y note auction

(912828YF1) awarded 1.573% (1.562% previous) vs. 1.570% WI, bid/cover 2.42 vs.

2.41 previous (3.05 avg). 

- The 2-Yr yield is up 8.9bps at 1.6821%, 5-Yr is up 9.9bps at 1.598%, 10-Yr is

up 9.6bps at 1.7402%, and 30-Yr is up 9.5bps at 2.2227%.

US TSY FUTURES CLOSE: Broadly weaker to say the least, Tsys continued to melt in

the late summer sun all session long, decent volume (TYZ>1.75M), 10YY +.0723 at

1.7160% after making new all-time lows last week (1.4288% on Sep 3). NOT a

risk-on move, sell-off more of an unwind of heavy buying from August that drove

ylds so low, 3M10Y still inverted after bear steepening some 17.0bp this week.

Update: 

* 3M10Y  +7.827, -23.102 (L: -34.173 / H: -22.16)

* 2Y10Y  -0.721, 4.174 (L: 1.982 / H: 5.268)

* 2Y30Y  -1.01, 52.386 (L: 49.784 / H: 53.899)

* 5Y30Y  -0.668, 62.178 (L: 60.477 / H: 63.379)

Current futures levels:

* Dec 2-Yr futures down 6.75/32  at 107-21.625 (L: 107-20.75 / H: 107-27.875)

* Dec 5-Yr futures down 16.25/32  at 119-00 (L: 118-30.50 / H: 119-16)

* Dec 10-Yr futures down 26.5/32  at 130-01 (L: 129-31.50 / H: 130-26.5)

* Dec 30-Yr futures down 1-28/32  at 161-03 (L: 161-02 / H: 163-02)

* Dec Ultra futures down 3-23/32  at 189-15 (L: 189-14 / H: 193-08)

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

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

Current White pack (Sep 19-Jun 20): 

* Sep 19 -0.007 at 97.882

* Dec 19 -0.045 at 98.050

* Mar 20 -0.080 at 98.320

* Jun 20 -0.105 at 98.435

* Red Pack (Sep 20-Jun 21) -0.125 to -0.12

* Green Pack (Sep 21-Jun 22) -0.115 to -0.10

* Blue Pack (Sep 22-Jun 23) -0.10 to -0.09

* Gold Pack (Sep 23-Jun 24) -0.09 to -0.085

US DOLLAR LIBOR: Latest settles

* O/N -0.0014 at 2.0925% (-0.0023/wk)

* 1 Month -0.0109 to 2.0386% (-0.0104/wk)

* 3 Month -0.0068 to 2.1316% (-0.0025/wk)

* 6 Month -0.0005 to 2.0351% (-0.0005/wk)

* 1 Year +0.0216 at 1.9704% (+0.0214/wk)

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

* Daily Effective Fed Funds Rate: 2.13%, volume: $64B

* Daily Overnight Bank Funding Rate: 2.11%, volume: $155B

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

* Secured Overnight Financing Rate (SOFR): 2.12%, $1.243T

* Broad General Collateral Rate (BGCR): 2.11%, $522B

* Tri-Party General Collateral Rate (TGCR): 2.11%, $491B

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

11-Sep 0700 06-Sep MBA Mortgage Applications (-3.1%, --)

11-Sep 0830 Aug Final Demand PPI (0.2%, 0.0%)

11-Sep 0830 Aug PPI ex. food and energy (-0.1%, 0.2%)

11-Sep 0830 Aug PPI ex. food, energy, trade (-0.1%, 0.2%)

11-Sep 1000 Jul wholesale inventories (0.2%, 0.2%)

11-Sep 1000 Jul wholesale sales (-0.3%, 0.5%)

11-Sep 1000 Sep Atlanta Fed inflation

11-Sep 1030 06-Sep crude oil stocks ex. SPR w/w

11-Sep 1100 Aug Kansas City Fed LMCI

11-Sep 1300 US Tsy $24B 10Y note auction (912828YB0)

PIPELINE: Multiple issuers launched in second half

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

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

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

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

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

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

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

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

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

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

09/10 $Benchmark Penske Truck Leasing 5Y +135a, 10Y +185a

On tap for Wednesday: 

09/11 $Benchmark African Development Bank (AFDB) 3Y +13

Eurodollar/Tsy options: Sep futures/options expire Friday

Eurodollar options, Pit/screen: 

* Update, total +15,000 Mar 77/80 2x1 put spds, 4.25

* -10,000 Dec 80 calls, 17.5 on screen earlier

* -25,000 Jan 87/Mar 96 call spds, 5.0 vs. 98.34/0.18%

* Update, total +10,000 Mar 86/88/91 call flys, 2.0

* +4,000 Red Dec 88/92/96 call flys

* +4,000 Dec 78/77 2x1 put spds

Block, 0911:18ET, adds to +10k in pit and >50k on Monday

* +15,000 Mar 78/80 put spds, 2.5 vs. 98.065

* 10,000 Dec 78/82 2x3 call spds, 25.5 vs. 98.07/0.40

* 10,500 Mar 92 calls, 2.5

* 6,000 Jan 82/85 strangles, 23.5

* -5,000 Dec 82 calls, 8.0

* 2,000 Green Dec 83/86 call spds, 16.5 vs. 98.69/0.20%

Blocks, 0900:18ET, adds to +15k in pit

* +10,000 Dec 77/78 put spds, 3.0 vs. 98.065/0.12%

Blocks,

* 15,000 Mar 80/81/82 put trees, 0.0 vs. 98.38/0.10% at 0843:45ET

* 20,000 short Dec 77/81 call spds, 34.5 vs. 98.565/0.10 at 0839:31ET

* 7,500 Red Dec 85/92/95, 19.0 uncovered

Block, 0807:44ET

* 10,000 Mar 78/80 put spds, 2.5 vs. 98.365/0.10%

Blocks,

* total 12,500 Mar 78/85 2x3 call spds, 57.5 vs. 98.365/0.50% from 0748-0753ET

* 5,000 Oct 82 calls, 3.25 vs. 98.08/0.22% at 0756:28ET

Block, 0720:25ET

* +10,000 Dec 82 calls, 8.0 adds to +5k earlier

Tsy options:

* +3,500 TYX 129/131 strangles, 57/64

* Buyer way OTM 5Y puts, +17,000 FVZ 111.25 puts at cab 7 -- opener w/OI only 21

coming into the session, after paper +9,000 FVZ 111.5 puts yesterday.

* +3,400 TYZ 134 calls, 13/64 -- ongoing buyer (same time/amount/premium) paper

+4k earlier

* 4,000 wk2 FV 120/120.25 call strip, 1.5/64 vs. 119-12

* 2,700 wk4 TY/TYV 131.5 call spd, 5/64

* +3,500 TYX 129/131 strangles, 57/64

Overnight Blocks

* 5,000 USV 161.5 puts, 41/64

* 10,000 USV 162.5 puts, 1-2/64

* 20,000 FVV 119.5 puts, 21/64

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

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