*** Sharp sell-off in rates.........>

US TSYS SUMMARY: *** Sharp sell-off in rates carried over from early London

hours into NY session, curve bear steepening on heavy volume (TYZ >650K

pre-open), US$ gains, hawkish Fed, US tax reform chatter and drop in Bunds added

to sell-off. Sell-stops hit early as sale momentum grew during London hours.

- Tsys slipped on Aug durable goods new orders +1.7%. CTA stops hit in 2s, 5s

and 10s; corp and Tsy supply selling, bank and insurance portfolio selling 10s

and 30s; fast$, prop acct buying on dips, insurance portfolio buying 10s.

- Massive Block post snuck into line up by CME, 10s/Ultra steepener Block at

0925:04ET: +52k TYZ 125-16.5 vs. -14 WNZ, 165-11, appr $4M DV01. VWAP on session

125-17, high volume price of 125-17 w/310k. TYZ/WNZ steepener helped turn mkt.

Buying off lows as Yen regained some ground vs. US$.

- Heavy option flow as Dec rate hike chance up to 72.9% from 64.1% on Tue.

Eurodlr +50k 2Y midcurve Green Dec 76/77/78/80 put condors at 4.0. Tsy options,

large Block sale -40k TYX 123.5p, 5/64, -10k TYX 123.25p, 4/64 follow.

- Decent corp and Tsy supply selling, strong $34B 5Y auction drew 1.911% rate.

- Swap spds tighter, spd curve steeper on supply 3-part Saudi deal cited.