US TSYS: TSYS BACK TO EARLY AUGUST LEVELS

US TSY SUMMARY: Broadly weaker near levels not seen since Aug 8, heavier volumes

(TYZ>2.4M) but most of that traded by midday. Despite the ECB policy and

spurious US/China trade anncs' (both side's "considering" making accommodations

is NOT a hard plan), Tsy implied vols retreated. Those that look at 3M10Y

inversion as a red flag for futures recession, the metric is currently in the

mid-teens, nearly 40bp off deeper inversion from couple weeks ago. 

- Second half flow included pre-a8uction short sets followed by decent fast- and

real$ buying into the post-auction sale, real$ sold 10s vs. off the runs, after

5s10s block steepener, fast$ in 3s30s flatteners. Earlier flow included better

fast$ and prop buying intermediates, real$ and bank portfolio buying in

intermediates to long end, chatter of CTA sales in 10s on post ECB move.

- US TSYS/30Y: Weak -- third tail of the week, US Tsy $16B 30Y bond auction

(912810SJ8) awarded 2.270% (2.335% last month) vs. 2.255% WI; w/ 2.22 bid/cover

(2.42 avg). 

- The 2-Yr yield is up 4.9bps at 1.7233%, 5-Yr is up 5.8bps at 1.6515%, 10-Yr is

up 5.2bps at 1.7906%, and 30-Yr is up 5bps at 2.2709%.

US TSY FUTURES CLOSE: Weaker across the board, near second half lows -- levels

not seen since Aug 8. Update: 

* 3M10Y  +5.046, -16.482 (L: -27.734 / H: -15.611)

* 2Y10Y  +0.098, 6.326 (L: 2.778 / H: 7.489)

* 2Y30Y  -0.653, 53.847 (L: 50.117 / H: 55.544)

* 5Y30Y  -1.446, 61.196 (L: 58.304 / H: 63.231)

Current futures levels:

* Dec 2-Yr futures down 4/32 at 107-18 (L: 107-17.875 / H: 107-24.625)

* Dec 5-Yr futures down 10.25/32 at 118-20.25 (L: 118-20 / H: 119-07)

* Dec 10-Yr futures down 15/32 at 129-14 (L: 129-12 / H: 130-13)

* Dec 30-Yr futures down 1-5/32 at 159-25 (L: 159-19 / H: 162-09)

* Dec Ultra futures down 2-4/32 at 187-07 (L: 186-25 / H: 191-21)

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

w/short end outperforming on heavy volumes for the fourth consecutive session.

Current White pack (Sep 19-Jun 20): 

* Sep 19 -0.005 at 97.875

* Dec 19 -0.040 at 98.010

* Mar 20 -0.055 at 98.275

* Jun 20 -0.075 at 98.375

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

* Green Pack (Sep 21-Jun 22) -0.075 to -0.07

* Blue Pack (Sep 22-Jun 23) -0.07 to -0.065

* Gold Pack (Sep 23-Jun 24) -0.06

US DOLLAR LIBOR: Latest settles

* O/N -0.0063 at 2.0882% (-0.0046/wk)

* 1 Month -0.0084 to 2.0275% (-0.0216/wk)

* 3 Month -0.0088 to 2.1185% (-0.0157/wk)

* 6 Month -0.0056 to 2.0473% (+0.0116/wk)

* 1 Year +0.0030 at 2.0056% (+0.0567/wk)

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

* Daily Effective Fed Funds Rate: 2.13%, volume: $61B

* Daily Overnight Bank Funding Rate: 2.11%, volume: $156B

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

* Secured Overnight Financing Rate (SOFR): 2.15%, $1.179T

* Broad General Collateral Rate (BGCR): 2.14%, $524B

* Tri-Party General Collateral Rate (TGCR): 2.14%, $491B

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

13-Sep 0830 Aug retail sales (0.7%, 0.2%)

13-Sep 0830 Aug retail sales ex. motor vehicle (1.0%, 0.1%)

13-Sep 0830 Aug retail sales ex. mtr veh, gas (0.9%, 0.2%)

13-Sep 0830 Aug imports price index (0.2%, -0.5%)

13-Sep 0830 Aug exports price index (0.2%, -0.3%)

13-Sep 1000 Sep Michigan sentiment index (p) (89.8, 90.8)

13-Sep 1000 Jul business inventories (0.0%, 0.3%)

13-Sep 1100 Q3 St. Louis Fed Real GDP Nowcast

13-Sep 1115 Q3 NY Fed GDP Nowcast

PIPELINE: Northwest Mutual Life and Alabama Power both upsized to $600M

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

09/12 $7.5B #Pemex, $1.25B +7Y 6.5%, $3.25B +10Y 6.85%, $3B +30Y 7.7%

09/12 $600M #Northwest Mutual Life 40Y +140

09/12 $600M #Alabama Power 30Y +120

09/12 $500M Host Hotels 10Y +180a

Canadian issuance

09/12 C$500M World Bank 5Y tap +3a, 10Y +15a

09/12 C$500M PSP Capital 5YTap +39a

Eurodollar/Tsy options: Sep futures/options expire Friday

     Eurodollar options, Pit/screen: 

* 11,500 short Dec 81/82/83 put trees, 0.5

* 4,000 Blue Dec 82 puts, 6.0 vs. 98.51

* 15,000 Oct 83/85 1x2 call spds, 3.0 vs. 98.055/0.22%

* Update, closer to +50,000 Jan 81/82 put spds, 4.75 (pit/screen/block)

Blocks, 0950:51ET

* another +10,000 Jan 81/82 put spds, 4.75, over +40k between pit/screen/block

* -10,000 Dec 78/83 strangles, 8.5 -- vol seller as underlying looses post ECB

support

* 11,000 Dec 80/82 1x2 call spds, 1.5

* 5,000 Jan 81 puts, 6.0 vs. 98.35/0.25%

* +10,000 Mar 82/83 put spds, 7/64

* -8,000 Dec 78 puts .75 over Dec 81/82 call spds

* BLOCK: 10,000 Jan 81/82 put spds, 4.75 vs. 98.365/0.12% at 0916:02ET

* Update, appr +100,000 (pit/screen) Oct 83 calls, 1.0-1.5 vs. 98.055. Open

interest was 237,486 coming into the session -- paper outright adding upside now

(after about a week of decent put buying as rates sold off). While October

options expire on Oct 14, well before the Oct 29/30 FOMC, they help fill the gap

ahead of Sep options that expire tomorrow, ahead of next week's FOMC policy annc

on the 18th.

* Update, just over +50,000 Oct 83 calls, 1.0-1.25 in pit and +30k at 1.5 on

screen

* 5,000 short Oct 86/87/88 call trees, 1.5

* 5,000 Oct 83 calls, 1.0 vs. 98.05

* 6,000 Oct 81 puts, 11.0

* 2,500 Mar 86/87 call spds, 4.5

* 2,500 short Dec/Green Dec 87 call strip, 21.5

Some screen trade highlights coming into the session

* 15,000 Jan 81/82 put spds, 4.75

     Tsy options: 

* 1,500 TYX 130 straddles, 1-47/64 vs. 129-14

* 1.000 FVX 119.25/119.75/120/120.75 call condors, 3.5/64

* scale buyer TYV 129 puts, 14/64 up to some 40k from 4- to 17/64

* 5,700 TYZ 127/128 2x1 put spds, 3/64

* +10,000 TYX 131/132/133 call flys on screen

* 3,000 TYV 129 puts, 14/64 last, total volume >81k

* near +70,000 TYV 129 puts, 8/64 (open interest 116,483 coming into the

session)

* +5,000 TYZ 130-04.5, post-time offer at 0927:00ET

* +10,000 FVZ 119-01.5 buy through 119-00.75 post time offer at 0926:50ET

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

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