US TSYS: DROPPING ACCOMODATIVE WHILE REMAINING ACCOMODATIVE

US TSY SUMMARY: Tsys extended session highs late, well after FOMC annc, finish

at/near top end of range on decent volume (TYZ>1.3k), curves flatter. 

- Earlier price consolidation after better selling in rates last two sessions.

FOMC statement drops "accomodative" but note this does not signal a change in

policy.

- US$ firm but well off morning highs (DXY +.048, 94.182 vs. 94.400H). Little

deal-tied flow, underlying month end support; fast$ 2-way in 2-5s, rate

receiving in 5s, spd curve flatteners in 2s and 5s vs. 10s.

- Ongoing large option trades, heavier buying in EDH0, EDM0 and EDU0 Eurodlr put

spds today have been more supportive for implieds. Eurodollar futures, ongoing

interest in buying EDZ9 vs. EDZ0 as sector holds near 1wk highs (vs. -0.020

inversion last week).

US TSY FUTURES CLOSE: Trading broadly higher just off late session highs, decent

volume (TYU 1.28M), curves flattening late; update:

* 2s10s -1.729, 23.595 (23.037L/25.949H);

* 2s30s -1.482, 36.785 (36.283L/39.875H);

* 5s30s -0.754, 23.513 (23.173L/26.118H);

Current futures levels:

* Dec Ultra bonds up 1-02/32 at 154-14 (153-15L/154-18H)

* Dec 30-yr Bond futures up 24/32 at 140-17 (139-27L/140-20H)

* Dec 10-yr futures up 09/32 at 118-23.5 (118-14L/118-25.5H)

* Dec 5-yr futures up 05/32 at 112-14.5 (112-9.25L/112-15.5H)

* Dec 2-yr futures up 01/32 at 105-11.5 (105-10.5L/105-12H)

US EURODOLLAR FUTURES CLOSE: Trading moderately higher, long end outperforming,

the strip has firmed 0.5 to 2 ticks since the FOMC release, Strong volume with

Red Dec leading (EDZ9 455k). Current White pack

(Dec'18-Sep'19):

* Dec'18 +0.005 at 97.330

* Mar'19 +0.005 at 97.150

* Jun'19 +0.015 at 97.000

* Sep'19 +0.015 at 96.910

* Red pack (Dec'19-Sep'20) +0.035-0.020

* Green pack (Dec'20-Sep'21) +0.050-0.045

* Blue pack (Dec'21-Sep'21) +0.050

* Gold pack (Dec'22-Sep'22) +0.050

US DOLLAR LIBOR: Latest settles,

* O/N +0.0090 to 1.9252% (+0.0043/wk)

* 1 Month +0.0122 to 2.2422% (+0.0264/wk)

* 3 Month +0.0051 to 2.3861% (+0.0135/wk)

* 6 Month -0.0018 to 2.5935% (+0.0015/wk)

* 1 Year +0.0027 to 2.9145% (+0.0062/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.93% vs. 1.95% prior, $814B

* Broad General Collateral Rate (BGCR): 1.91% vs. 1.94% prior, $408B

* Tri-Party General Collateral Rate (TGCR): 1.91% vs. 1.94% prior, $391B

PIPELINE: Quiet ahead FOMC annc

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

No issuance in the works Wednesday

-

$5.2B Priced Tuesday, $7.75B/wk, $132.5B/month

09/25 $3.25B *ING $1.5B 5Y +112.5, $500M 5Y FRN +100, $1.25B 10Y +150

09/25 $900M *Tyson $400M 5Y +95, $500M 30Y +190

09/25 $500M *Best Buy WNG 10Y +140

09/25 $550M *Torchmark 10Y +150

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

- Sep 27 22-Sep jobless claims (201k, 222k) 0830ET

- Sep 27 Q2 GDP (3rd) (4.2%, 4.2%) 0830ET

- Sep 27 Q2 GDP Price Index (3.0%, 3.0%) 0830ET

- Sep 27 Aug durable goods new orders (-1.7%, 2.6%) 0830ET

- Sep 27 Aug durable new orders ex transport (0.2%, 0.4%) 0830ET

- Sep 27 Aug advance goods trade gap (-$72.2B, --) 0830ET

- Sep 27 Aug advance wholesale inventories 0830ET 

- Sep 27 Aug advance retail inventories 0830ET

- Sep 27 23-Sep Bloomberg comfort index 0945ET

- Sep 27 Aug NAR pending home sales index (106.2, --) 1000ET

- Sep 27 21-Sep natural gas stocks w/w 1030ET

- Sep 27 Sep Kansas City Fed Mfg Index (14, --) 1100ET

- Sep 24 US Tsy $31B 7Y Note auction (CUSIP 9128285C0) 1300ET

- Sep 27 Aug farm prices 1500ET

- Sep 27 26-Sep Fed weekly securities holdings 1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* 8,000 Mar 68/70/71 put fly at 3.5 vs 9713/0.10%

* 5,000 Short Dec 70/72 1x2 call sprd, on screen

* 5,000 Dec 73/75 call sprd at 1.75

* 10,000 Short Dec 66/67 2x1 put sprd at 1.5

* 2,500 Green Nov 63/65/67 3x5x2 put flys, 10.0 net package

* over 4,000 Green Nov67/68 strangles sold at 12.5

* 12,500 Red Mar 60/62 2x1 put sprd at 1

* 12,000 Sep 63/66 put sprd at 4.5 vs 9688/0.10%

* 30,000 Red Dec 61/63 put sprd at 3.5 vs 9682/0.10%, pit and screen

* 10,000 Nov 73/75/76 call fly at 1.25 vs 9734/0.05%

* Total +15,000 Nov 73/75 1x2 call sprd at 1 vs 9732/0.10%

* +20,000 Red Sep20 57/60 put spds, 3.5. Note the 60 put leads open interest in

Red Sep20 puts

* 5,000 Nov 73/75 1x2 call sprd at 1 vs 9732/0.10%

* -10,000 Short Oct 70 calls vs. Short Mar 77 calls for net 0.5 vs 9682/0.10%,

EOH over

* 40,000 Red Mar 60/62 put sprd at 4 vs 9677.5/0.10%

* over 40,000 Red Jun20 57/60 put spds bought at 2.75 vs. 96.80

* over 37,000 short Dec 72 calls bought from 1.5 to 2.0

* 7,000 Short Oct 68/70 1x2 call sprd at 1.5, note earlier 75k on screen

* 70,000 Short Oct 68/70 1x2 call sprd, on screen

* 27,000 Short Dec 72 calls, on screen

Tsy options, Pit/screen:

* +10,000 TYX 119.25/119.75/120.25 call fly at 4

* 3,000 FVX 112.5 calls 13/64 vs. 112-11/0.41%

Block, 13:16:35ET,

* 19,250 Dec 71/72 2x1 put sprd at 0.75

* 4,000 Short Dec 68 Straddle at 19.5

* +1,500 TYZ 116.5/120.5 Strangle at 16

Block, 12:21:27ET,

* 21,774 TYX 119 calls at 19

* +8,000 TYX 119 calls, 17/64

* -2,500 TYX 118.25 puts at 20 vs 19/0.39%

* Total 6,500 TYX 118.5 Straddle at 60

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

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