US TSYS: TSYS SELL OFF AFTER STRONG AHE, UP-REVISIONS ON PRIOR

US TSY SUMMARY: Tsys sharply weaker by the bell, near session lows after

stronger than expected avg hourly earnings (0.4% largest increase since early

2009) and up-revisions for prior; Aug NFP slightly better than estimated Aug NFP

breaks seven consecutive August MISSES (second beat in past 21 August reads).

But taking into acct revisions, the Aug "would only have risen by 151K" source

noted. 

- US$ index strong DXY +.362, 95.383 (94.871L/95.458H), $/Eur -0.0061 at 1.1562,

$/Yen +.34 111.09; equities soft/off lows (emini -3.5, 2875.5); Gold soft (XAU

-4.02, 1195.94); West Texas crude steady (WTI +0.00, 67.78).

- Decent/heavy flow, fast- and real$ joined program sellers post data, Block

sale 10k TYZ 119-29 post data; long end pares move slightly, fast$, prop accts

buying 5s and 10s. Yld curves bent flatter even as 2Y yld revisits mid-2008 lvls

(2.703%). Heavy option and hedging flow. Renewed bank portfolio and real$

selling in 10s and 30s late, pro-active deal-tied selling. Tsy cash/ylds: 2Y

99-27 (2.703%), 5Y 99-21 (2.823%), 10Y 99-13 (2.942%), 30Y 97-30 (3.105%).

US TSY FUTURES CLOSE: Trading near session lows at the bottom of a wide range,

volume (TYU 1.93M), Curves flatter; update:

* 2s10s -0.022, 23.577 (22.749L/24.537H);

* 2s30s -2.014, 39.554 (39.144L/41.961H);

* 5s30s -3.186, 27.771 (27.601L/31.125H);

Current futures levels:

* Dec Ultra bonds down 1-12/32 at 156-25 (156-19L/158-11H)

* Dec 30-yr Bond futures down 1-03/32 at 142-17 (142-13L/143-25H)

* Dec 10-yr futures down 17.5/32 at 119-20 (119-19L/120-07.5H)

* Dec 5-yr futures down 11.75/32 at 112-31.5 (112-30.75L/113-12.75H)

* Dec 2-yr futures down 04.25/32 at 105-17.25 (105-17L/105-22H)

US EURODOLLAR FUTURES CLOSE: Trading lower at the bottom of a wide range, strong

volume. Current White pack (Sep'18-Jun'19):

* Sep'18 -0.0075 at 97.6425

* Dec'18 -0.035 at 97.355

* Jun'19 -0.050 at 97.190

* Jun'19 -0.070 at 97.065

* Red pack (Sep'19-Jun'20) -0.095-0.080

* Green pack (Sep'20-Jun'21) -0.095-0.090

* Blue pack (Sep'21-Jun'21) -0.085-0.080

* Gold pack (Sep'22-Jun'22) -0.075-0.070

US DOLLAR LIBOR: Latest settles,

* O/N at 1.9187%

* 1 Month -0.0015 to 2.1310% (+0.0172/wk)

* 3 Month +0.0042 to 2.3312% (+0.0273/wk)

* 6 Month -0.0027 to 2.5415% (+0.0059/wk)

* 1 Year  -0.0035 to 2.8455% (+0.0055/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.94% vs. 1.95% prior, $799B

* Broad General Collateral Rate (BGCR): 1.91% vs. 1.93% prior, $432B

* Tri-Party General Collateral Rate (TGCR): 1.91% vs. 1.93% prior, $414B

US SWAPS: Spds hold marginally wider for the most part by the bell, short end

unwinding earlier wides on narrow range. Quiet end to the week after decent

deal-tied flow on heavy supply kept pressure on spds. Midday flow includes

decent payer in short end (>750M 1Y around 2.71%), 2s5s steepener, 7s10s

flatteners and 2s3s5s receiver fly. Latest spd levels: 

* 2Y  +0.06/18.75

* 5Y  -0.06/13.19

* 10Y +0.12/6.38

* 30Y +0.44/-7.00

PIPELINE: Supply returns: $56.9B priced on week -- busiest week of year

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

No new issuance on the docket Friday

-

$21.5B priced Thursday

09/06 $20B *Cigna jumbo issuance top finance acquisition of Express Scripts;

Details

......$1B 1.5Y FRN L+35, $1.75B 2Y fix +60, $1B 3NC1 FRN L+65, $1.25B 3Y fix

+70, 

......$3.1B 5Y fix +102, $700M 5Y FRN L+89, $2.2B 7Y fix +132, $3.8B 10Y fix

+152, 

......$2.2B 20Y fix +177, $3B 30Y fix +187

09/06 $1.5B *CIBC $1B 5Y +80, $500M 5Y FRN L+66

Chatter: $5.5B Thompson Reuters 4-part combination US$/Eur

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

- Sep 10 Aug ETI (109.89, --) 1000ET

- Sep 10 Sep NY Fed expectations survey 1100ET

- Sep 10 Atl Fed Pres Bostic, fireside chat Albany Ch of Comm, Georgia, Q&A.

1130ET

- Sep 10 US TSY $48B 13W Bill auction (912796QN2) 1130ET

- Sep 10 US TSY $42B 26W Bill auction (912796RB7) 1130ET

- Sep 10 Jul consumer credit ($10.2b, $14.0B) 1500ET

- Sep 10 Aug Treasury Allotments (final) 1500ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

Block, 14:17:13ET,

* 40,000 Green Sep 70 Straddle at 7 vs 9697.5/0.26%

* 4,000 Red Mar 75/80 call sprd at 16.5 vs 9695.5/0.38%

* -4,000 Green Dec 67/71 Strangle at 12 vs 9695/0.10%

* 10,000 Short Dec 68 puts at 7.5

* 10,000 Short Sep 70/71/72 Put Fly at 2

* 4,000 Short Dec 68/70 2x1 put sprd at 1

* 8,000 Dec 72/76 call sprd at 11.5

* 3,000 Short Nov 70 Straddle at 20

* 3,000 Dec 72/76 call sprd at 11.5

* 9,000 Short Mar 67/68/70 put fly at 1.5 vs 9697.5/0.10%

* +8,000 Mar 70/71/72 put flys, 2.5

* +10,000 short Jun 62/65 put spds, 3.75

* *1,000 Green Sep/Green Dec 66/67/68/70 put condor strip, 8.5 total package

* 10,000 Dec 77 calls at 0.5

* 5,000 Short Dec 72/75 put sprd vs Front Dec 73/76 put sprd for net 2

* 20,000 Short Sep 71 calls at 1 vs 9704.5/0.15%

* 5,000 Short Dec 67/68 2x1 put sprd at 1 vs 9795.5/0.05%

* 8,000 Short Nov 68/71 risk reversal at 0

* 5,000 Short Mar 65/66/68 put fly at 6

* 12,500 Short Dec 66/75 Strangle at 3

* 5,000 Short Sep 71/72 1x2 call sprd vs Short Oct 71/72 call sprd for net 0

* +50,000 Mar 82/83 put spds, 12.5

Tsy options, Pit/screen:

* -6,000 TYV 120.75 calls, 3/64 vs. 119-21.5/0.12%

fading the sell-off or covering shorts, probably the former w/open interest

>22k:

* Update, over +10,000 TYV 121.25 calls, 2/64 vs. 119-18

* +5,700 TYX 118/119 put spds, 14/64 vs. 119-20

* 3,900 TYV 121.25 calls, 2/64 vs. 119-18

* 2,000 wk2 TY 119.2/119.7/120.2 put flys, 2/64 vs. 119-22.5/0.10%

* 1,000 TYV 119.75 straddles, 39/64

* 3,000 wk2 TY 120/120.5 call spds, 4/64

* over 1,500 FVX 113/113.5/113.75/114.5 call condors, 6.5- to 6/64

* 4,250 wk2 TY/TYV 120.5 call spds, 3/64

* 1,000 TYV 120/120.5/121 call flys, 6/64

* small FVX 113/113.5/113.75/114.5 call condors, 6.5/64

* +2,100 TYV 119.5/120 put spds, 16/64 vs. 119-24.5/0.25%

* -1,000 TYV 119.75/120 strangles, 33/64

* 1,270 wk1 FV 113.5/113.75 call sods, 1/64 vs. 113-10

* 3,000 wk1 TY 120 puts, 6/64 vs. 120-03/50%

* just over +47,000 wk1 TY 120 puts, 3/64

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

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