US TSYS:US RISK METRICS STATUS QUO/BREXIT POLITICS TO THE FORE

     MNI US Closing FI Analysis: US Risk Metrics Status Quo/Brexit Politics To

Fore

US TSY SUMMARY: More or less status quo for US risk metrics US/China trade,

geo-pol tensions), while Brexit politics moved to the fore. UK PM Johnson

received permission from the Queen to "prorogue parliament" or suspend sessions

to restrict oppositions time to disrupt a no-deal Brexit.

- Tsys bid but well off early highs when 30YY tapped near all-time lows

(1.9039%), near middle of range after the bell. Yld curves net changes mixed/off

lows after 3M10Y and 2Y10Y curves made new 12+ year lows. Heavy volume again

tied to Sep/Dec rolling that has nearly run it's course (Dec top step Friday).

- Swap spds collapse/extend inversion in second half, short end resisting move

after better rate paying in 2s-5s and light receiving in 6s and 8s earlier.

Decent and varied cross-current fly action in shorts to intermediates.

- Strong US Tsys $41B 5Y note auction (91288YE4), stopped out: awarded 1.365%

rate vs. 1.372% WI (previous $41B 5Y awarded 1.824%); 2.48 bid/cover vs. 2.26

prior (2.49 avg).

- The 2-Yr yield is down 1.8bps at 1.504%, 5-Yr is down 0.4bps at 1.3743%, 10-Yr

is down 0.3bps at 1.4677%, and 30-Yr is down 0.9bps at 1.9414%.

US TSY FUTURES CLOSE: Bid but well off early highs when 30YY tapped near

all-time lows (1.9039%), near middle of range after the bell. Yld curves net

changes mixed/off lows after 3M10Y and 2Y10Y curves made new 12+ year lows.

Heavy volume again tied to Sep/Dec rolling that has nearly run it's course (Dec

top step Friday). Update:

* 3M10Y  -0.417, -51.796 (L: -55.17 / H: -50.637)

* 2Y10Y  +1.667, -3.664 (L: -6.634 / H: -2.856)

* 2Y30Y  +0.909, 43.481 (L: 38.586 / H: 44.144)

* 5Y30Y  -0.584, 56.481 (L: 52.53 / H: 57.137)

Current futures levels:

* Sep 2-Yr futures up 1/32 at 107-26 (L: 107-24.375 / H: 107-27)

* Sep 5-Yr futures up 3.5/32 at 119-20.25 (L: 119-16 / H: 119-23.5)

* Sep 10-Yr futures up 6.5/32 at 131-11 (L: 131-04 / H: 131-16.5)

* Sep 30-Yr futures up 10/32 at 166-26 (L: 166-18 / H: 167-18)

* Sep Ultra futures up 23/32 at 197-18 (L: 197-03 / H: 198-31)

US TSY FUTURES: *** Late Sep/Dec roll volume update, nearly wrapped up ahead

Friday's first notice date (Dec futures take lead. Sep future's staggered

expiration on September 19 for 10s, 30s and Ultras, and September 30 for 2s and

5s. Update:

* TUU/TUZ appr 529,000 from -8.62 to -8.12, -8.12 last; 92% complete

* FVU/FVZ appr 1,222,500 from -14.5 to -13.5, -14.0 last; 94% complete

* TYU/TYZ appr 941,300 from -21.5 to -20.75, -21.25 last; 95% complete

* UXYU/UXYZ appr 260,800 from -21.0 to -19.5, -20.0 last; 84% complete

* USU/USZ appr 261,900 from 24.75 to 25.75, 25.25 last; 97% complete

* WNU/WNZ appr 168,800 from -1-02 to -1-01, -1-01.25 last; 98% complete

US EURODLR FUTURES CLOSE: Mostly bid, at/near upper half of range after the

bell, Whites underperforming most of the session on moderate volume. Current

White pack (Sep 19-Jun 20): 

* Sep 19 +0.008 at 97.965

* Dec 19 -0.005 at 98.170

* Mar 20 steady at 98.480

* Jun 20 +0.010 at 98.625

* Red Pack (Sep 20-Jun 21) +0.025 to +0.040

* Green Pack (Sep 21-Jun 22) +0.045 to +0.050

* Blue Pack (Sep 22-Jun 23) +0.040 to +0.050

* Gold Pack (Sep 23-Jun 24) +0.025 to +0.040

MONTH-END EXTENSIONS: Updated Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2018; TIPS 0.12Y; Govt inflation-linked, 0.10Y

*.....................Projected...1Y Avg Incr..Last Year

*US Tsys.................0.12........0.08........0.11

*Agencies...............-0.05........0.07........0.18

*Credit..................0.08........0.09........0.06

*Govt/Credit.............0.09........0.09........0.10

*MBS.....................0.05........0.07........0.06

*Aggregate...............0.08........0.08........0.09

*Long Govt/Credit........0.12........0.10........0.11

*Interm Credit...........0.06........0.08........0.06

*Interm Govt.............0.09........0.08........0.09

*Interm Govt/Cred........0.08........0.08........0.08

*High Yield..............0.09........0.09........0.04

US DOLLAR LIBOR: Latest settles

* O/N -0.0091 at 2.0866% (-0.0017/wk)

* 1 Month -0.0038 to 2.1120% (-0.0275/wk)

* 3 Month +0.0068 to 2.1241% (-0.0202/wk)

* 6 Month -0.0024 to 2.0351% (-0.0450/wk)

* 1 Year +0.0000 at 1.9494% (-0.0792/wk)

US SWAPS: Spds collapse/extend inversion in second half, short end resisting

move after better rate paying in 2s-5s and light receiving in 6s and 8s earlier.

More recently, two-way in 2s, receiver in 5s around 1.28804%, mixed flys:

5s6s10s and 3s5s10s receivers, 2s3s9s, 2s4s5s and 5s7s10s payer flys. Deal-tied

selling in the mix. Latest spd levels, 2Y quoted over new issue:

Time (ET)   2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

1345        +0.00/-1.19    -1.38/-7.00   -1.81/-10.62   -1.75/-41.00

1115        +0.50/-0.69    -0.75/-6.44   -0.88/-9.69    -0.62/-39.88

0945        +0.44/-0.75    -0.88/-6.56   -1.12/-9.94    -0.69/-39.94

Wed Open    -0.12/-1.31    -0.94/-6.62   -1.00/-9.81    -0.38/-39.62

Wed 0715    +0.12/-1.06    -0.32/-5.97   -0.25/-9.06    +0.44/-38.81

Tue 1500    -1.00/-1.75    -0.69/-5.69   -0.75/-8.69    -0.38/-39.12

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

* Daily Effective Fed Funds Rate: 2.12%, volume: $62B

* Daily Overnight Bank Funding Rate: 2.11%, volume: $171B

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

* Secured Overnight Financing Rate (SOFR): 2.15%, $1.197T

* Broad General Collateral Rate (BGCR): 2.14%, $500B

* Tri-Party General Collateral Rate (TGCR): 2.14%, $483B

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

29-Aug 0830 24-Aug jobless claims (209k, 214k)

29-Aug 0830 Q2 GDP (2nd) (2.1%, 2.0%)

29-Aug 0830 Q2 GDP Price Index (2.4%, 2.4%)

29-Aug 0830 Jul advance goods trade gap (-$74.2B, -$74.4B)

29-Aug 0830 Jul advance wholesale inventories (0.0%, 0.2%)

29-Aug 0830 Jul advance retail inventories (-0.1%, 0.3%)

29-Aug 1000 Jul NAR pending home sales index (108.3, --)

29-Aug 1030 23-Aug natural gas stocks w/w

29-Aug 1300 US Tsy $32B 7Y note auction (91288YD6)

29-Aug 1630 28-Aug Fed weekly securities holdings

PIPELINE: EIB, KFW and JFM all priced, $7B on day/$7.75B/wk

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

08/28 $3B *European Investment Bank (EIB) 3Y +11

08/28 $3B *Kreditanstalt fuer Wiederaufbau (KFW) 5Y +15

08/28 $1B *Japanese Finance Org for Municipalities (JFM) 5Y +48

Chatter of coming issuance:

08-09/?? $Benchmark HSBC Bank Canada 

08-09/?? $Benchmark Export/Import Bank of India

08-09/?? $Benchmark Ontario Teachers Finance Trust

08-09/?? $Benchmark T-Mobile US

08-09/?? $Benchmark KEB Hana Bank

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* -5,000 Oct 83/86/87 call trees, 2.25

* +5,000 Green Sep 86 calls, 25.0 vs. 98.86/0.50

* Update, appr +50,000 Jan 87/92 call spds, 8.0 vs. 98.48-.485

* Update, appr +30,000 short Jun 88/92/96 call flys 1.25-1.5 over the short Jun

76/80/83 put fly

* +20,000 Jan 87/92 call spds, 8.0 vs. 98.485/0.20%

* +5,000 short Jun 88/92/96 call flys 1.25 over the short Jun 76/80/83 put fly

Block, 1111:34ET, adds to +15,000 in pit

* 20,000 Sep 80 calls, 3.5 vs. 97.98/0.42%

* +20,000 Sep 80 calls, 3.5 vs. 97.98/0.42%

* +5,000 Mar 87/90/93 call flys, 1.0

* -4,000 Green Sep 87 puts, 3.5 vs. 98.88/0.20%

* -6,000 Mar 81 put vs. +12,000 Green Mar 85 puts, 4.0 net cr

* +5,000 Dec 82/86 call spds, 9.5 vs. 98.21/0.10%

* +5,000 Green Dec 91 calls, 9.5

* +5,000 Sep 78 puts, 0.5

* Update, +20,000 Mar 90/91 call spds on screen, 2.0

* 10,000 Mar 90/91 call spds on screen

* 6,800 Sep 80 put/Sep 81 call 1x2 spd, 7.5 vs. 97.975/0.33%

* -5,000 Oct 83/Green Oct 90 call spds, 2.0/Green Oct over

* +5,000 Oct 82/85/87 call flys, 4.0

* +20,000 Jan 87/92 call spds, 8.0 vs. 97.495/0.20%

* +7,500 Jun 86/88 call spds, 9.0 vs. 98.63

* 2,000 Oct 81 straddles, 23.0

* 20,000 Mar/Green Mar 73/76 put spd spd, 0.0/Green Mar over

* 6,000 Jun 896/88 call spds

Tsy options:

* -3,000 TYX 133.5 calls, 34/64

* +3,000 USZ 160 puts, 59/64 vs. 166-03

* 4,200 USV 171.5 calls vs. USV 162/164 put spds, 0.0 to 1/64 net

* 1,100 USX 173/175 call spds, 17/64

* +20,000 TYV 127.5 puts, 1/64

* -1,400 TYX 131/133 strangles, 1-20/64

* 2,000 USX 163/170 strangles, 2-51/64

* 5,000 USV 161.5/163.5 put spds vs. USV 171 calls, 0.0

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

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