US TSYS: TSYS REMAIN HEAVY, 30Y BACK TO EARLY AUG LEVELS

US TSY SUMMARY: Rates get high marks for consistency this week. Broadly weaker

across the board, near late session lows -- Tsy levels not seen since early Aug,

yld curves steeper w/3M10Y appr 50bps off 12+ inverted lows from 3 weeks ago.

- Not a risk-on, equities tripped lower in late trade ESU9 near 3000.0), gold

over 10.0 lower.

- Sporadic buying through session, but nobody drawing line in sand, covering

delta on way down, prop and fast$ acct squaring up ahead weekend and FOMC rate

annc next week.

- Earlier in week we noted Japanese funds, bank/insurance funds were partly

behind the bid in Tsys during July-August, bought most in 3 years -- but they

have been conspicuously absent last 3 weeks, thus the retrace that has been

spurring some position unwinds along the way. Seems too far/too fast scenario as

global slow down tied to US/China trade remains despite the "considering"

concessions chatter by both parties.

- The 2-Yr yield is up 8.1bps at 1.7999%, 5-Yr is up 11.6bps at 1.7507%, 10-Yr

is up 12.4bps at 1.8958%, and 30-Yr is up 11.4bps at 2.3693%.

US TSY FUTURES CLOSE: Rates get high marks for consistency this week. Broadly

weaker across the board, near late session lows -- levels not seen since early

Aug, yld curves steeper. Update: 

* 3M10Y  +12.03, -6.704 (L: -21.217 / H: -5.583)

* 2Y10Y  +4.182, 9.207 (L: 4.911 / H: 10.846)

* 2Y30Y  +3.135, 56.581 (L: 52.942 / H: 58.592)

* 5Y30Y  -0.21, 61.71 (L: 60.638 / H: 63.766)

Current futures levels:

* Dec 2-Yr futures down 5.25/32  at 107-12.75 (L: 107-12.62 / H: 107-19)

* Dec 5-Yr futures down 16/32  at 118-4.5 (L: 118-04 / H: 118-24)

* Dec 10-Yr futures down 27/32  at 128-19 (L: 128-17.50 / H: 129-21.5)

* Dec 30-Yr futures down 65/32  at 157-25 (L: 157-18 / H: 160-07)

* Dec Ultra futures down 113/32  at 183-23 (L: 183-13 / H: 187-27)

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

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

That said, EDU9 -0.040 from last Friday. Current White pack (Sep 19-Jun 20):

* Sep 19 -0.020 at 97.853

* Dec 19 -0.065 at 97.945

* Mar 20 -0.070 at 98.205

* Jun 20 -0.075 at 98.30

* Red Pack (Sep 20-Jun 21) -0.11 to -0.08

* Green Pack (Sep 21-Jun 22) -0.115 to -0.11

* Blue Pack (Sep 22-Jun 23) -0.12 to -0.115

* Gold Pack (Sep 23-Jun 24) -0.12 to -0.115

US DOLLAR LIBOR: Latest settles

* O/N +0.0065 at 2.0948% (+0.0019/wk)

* 1 Month -0.0027 to 2.0248% (-0.0243/wk)

* 3 Month +0.0209 to 2.1394% (+0.0052/wk)

* 6 Month +0.0229 to 2.0703% (+0.0346/wk)

* 1 Year +0.0435 at 2.0491% (+0.1002/wk)

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

* Daily Effective Fed Funds Rate: 2.13%, volume: $60B

* Daily Overnight Bank Funding Rate: 2.13%, volume: $142B

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

* Secured Overnight Financing Rate (SOFR): 2.20%, $1.156T

* Broad General Collateral Rate (BGCR): 2.18%, $534B

* Tri-Party General Collateral Rate (TGCR): 2.18%, $491B

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

16-Sep 0830 Sep Empire Manufacturing Index (4.8, 4.0)

-

17-Sep ---- FOMC day one of two

17-Sep 0830 Sep NY Fed Business Leaders Index

17-Sep 0855 14-Sep Redbook retail sales m/m

17-Sep 0915 Aug Industrial production (-0.2%, 0.2%)

17-Sep 0915 Aug Capacity utilization (77.5%, 77.6%)

17-Sep 1000 Sep NAHB home builder index (66, 66)

17-Sep 1600 Jul net TICS flows ($1.7B, --)

17-Sep 1600 Jul long term TICS flows ($99.1B, --)

PIPELINE: Slow finish after $37.9B priced this week, $107.15B/month

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

09/13 $400M Protective Life Corp +10Y +160a

-

$9.35B priced Thursday 

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

09/12 $650M *Host Hotels 10Y +168

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

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

Canadian issuance

09/13 C$5.5B *Canadian Housing Trust (CHT) 5Y +32

09/12 C$550M *World Bank C$300M 5Y tap +3, $250M 10Y +15

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

09/12 C$300M *Montreal 10Y +92.5

Eurodollar/Tsy options: Sep futures/options expire Friday

     Eurodollar options, Pit/screen: 

Block, 1341:50, repeated in pit

* +20,000 Oct 83 calls, .75 vs.

* -20,000 Nov 82 calls, 3.0 w/

* -10,000 Dec 86 calls, 1.5

Block, 58,000 total

* another 23,000 Jan 81/82 put spds, 7.0 vs. 98.23/0.12%

Block, 1243:28-:36ET

* total 35,000 Jan 81/82 put spds, 7.0 vs. 98.23/0.12%

* -17,000 Green Mar 75/77/80 put trees, 2.0

* -20,000 Green Sep 85 calls, 0.5

* -15,000 Oct/Dec 85 call spds, 1.5 Dec over

* +10,000 short Dec 86/87 1x2 call spds, 2.5

* +10,000 short Dec 82 puts, 11.5 vs. 98.355/0.40%

* more Mar/Jun 75/77 call spd strip buying in pit after +40k Block

* -4,000 Nov 80 straddles, 20.0

Block, 1225:20ET

* -10,000 Mar 78/85 call spds, 27.5 vs. 98.215/0.56%

Block, 1211:30ET

* +40,000 Mar 75/77 call spds, 24.0

* +40,000 Jun 75/77 call spds, 23.5

* +35,000 Dec 85 calls, 2.25

* +10,000 Oct 82 calls, 1.5

* +15,000 Jun 90/91 call spds, 1.75 

* -5,000 short Dec/Green Dec 86 call strips, 18.0 earlier

Block, 0846:31ET

* 20,000 Jan 81/82 put spds 3.0 over the Jan 87 calls

Block, large Green Dec mid-curve call package at 0800:53ET, checking direction

* -48,605 Green Dec 83 calls, 22.5

* -68,250 Green Dec 86 calls, 11.5

* -13,750 Green Dec 87 calls, 7.5

* +30,000 Green Dec 90 calls, 3.5

* +30,000 Green Dec 91 calls, 2.0

Block, 0747:09ET

* 5,000 Red Dec'20 85/95 2x5 call spds, 31.5 vs. 98.405

Tsy options:

* 4,300 TYX 129 calls, 45/64 vs. 129-20.5/0.44%

* +7,500 TYV 128 puts, 11/64 vs. 128-22

* 2,000 TUZ 107.25 puts, 10.5/64

* +5,000 TYX 131 calls, 16/64 on screen

* 1,600 TYV 127.75/130.75 put over risk reversals, 2/64 vs. 129-03.5Block,

0940:33ET

* 18,000 Mar 78 calls, 38.0

* 22,500 Mar 85 calls, 9.5 vs.

* 7,650 EDH0 98.235

* -6,000 TYX 127/128.5 2x1 put spds, 11/64 on screen

* 1,500 USV 159 straddles, 1-62/64 -- hear buy

* FVX 117.5 put volume on screen up to 12,500, 12/64 last

* 3,000 FVV 117.75 puts, 3.5/64

* 1,000 TYV 127.5/128 3x2 put spds, 3/64

* 1,000 TYV 128/129 put spds, 19/64Block, 0757:40ET

* 6,000 TYV 128.5/130 call over risk reversals, 3/64 vs. 129-11.5/0.48%

Overnight block and screen trade

* 5,000 FVV 118.25/119 3x2 put spds, 5/64 at 0120ET

* 20,000 FVV 118/118.75 put spds, 15.5 vs. FVX 118.25 puts, 21.5/64 at 0254ET

* 20,000 USV 160 puts, 1-15/64 vs. USX 156/158 put spd, 40/64

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

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