US TSYS END WEAKER AMID QUIET CONSOLIDATION INTO WED FOMC

     US TSYS SUMMARY: Treasuries end Tues mildly weaker, quiet consolidation

into Wed FOMC meeting and Fed Chr Yellen news conf. The Fed is expected to

unveil Fed balance sheet reduction plan; has $4.5 Trln bal. sheet. 

- Tsys saw mixed flows, quiet action, blipped up when US Pres. Trump told UN

General Assembly he wld "totally destroy" N.Korea if it attacked US or allies,

then mild sales after. Real$ sold blip upward, while real money also had a US

intermediates bid. Some mkt players would like to sell market, but it's not

moving up as wld like. 

- Small Tsy 2/30Y flatteners, mild 2/10Y steepeners. Mkt ebbed on higher

-than-expected 0.6% Aug. import prices, 1.180M Aug. housing starts annualized,

and 1.3M Aug. hsg permits SAAR. Hot money bought TIPS. 

- Tsys 10Y futures held session low price of 125-31/32 after repeated visits

down there; had hit a session high of 126-07/32 earlier; volume was at 790,281. 

- US SWAPS: Fast money paid in both US and Canada swaps. Summary of larger swap

trades since Trump speech: 

- At 10:42 ET appeared to be US$460mln+ payer of USD 2Y at 1.655% 

- At 10:29 ET appeared to be a USD460mln+ payer of USD 2Y at 1.656% 

- At 10:14 ET appeared to be a USD240mln+ payer of USD 5Y at 1.909% 

- TSYS 3pm ET: 2Y 1.401%, 3Y 1.547%, 5Y 1.834%, 7Y 2.072%, 10Y 2.243%, 30Y

2.813%

     US TSY FUTURES CLOSE: Trading lower and close to bottom end of session

range, albeit in light volume, with markets having one eye on Fed FOMC monetary

policy decision tomorrow. Current futures levels: 

* Dec Ultra bonds down 6/32 at 166-16 (166-09L/167-08H) 

* Dec 30-yr Bond futures down 6/32 at 154-05 (154-02L/154-23H) 

* Dec 10-yr futures down 3/32 at 125-31.5 (125-30.5L/126-07H) 

* Dec 5-yr futures down 1.75/32 at 117-28.5 (117-28L/118-01H) 

* Dec 2-yr futures down 0.5/32 at 107-31.5 (107-31L/108-00.75H)

US EURODLR FUTURES CLOSE: Eurodollar futures close steady to marginally lower,

volume below 30-day average, but decent volume in option space. Current White

pack (Dec'17-Sep'18): 

* DEC 17 unch at 98.53 

* MAR 18 -0.005 at 98.44 

* JUN 18 -0.005 at 98.365 

* SEP 18 -0.005 at 98.305 

* Reds (DEC 18-SEP 19) unch to -0.005 

* Greens (DEC 19-SEP 20) unch 

* Blues (DEC 20-SEP 21) unch to -0.005 

* Gold (DEC 21-SEP 22) unch to -0.005

US SWAPS: Spreads running mildly tighter for the most part, light flow included

bank paying in ten year notes; fast money paying occurred in the belly. While

there was some large paying in the short-end as well. Latest spread levels: 

* 2Y +0.3/25.945 

* 5Y -0.43/8.01 

* 10Y -0.65/-3.71 

* 30Y -0.40/-33.675

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

- Sep 20 Second day 2-day FOMC policy meet, Washington DC.

- Sep 20 15-Sep MBA Mortgage Applications (9.9%, --) 0700ET

- Sep 20 August existing home sales (5.44M, 5.48M) 1000ET

- Sep 20 15-Sep crude oil stocks ex. SPR w/w (+5.9M Bbl, --) 1030ET

- Sep 20 FOMC policy annc, 1400ET

- Sep 20 Fed releases Summary of Econ Projections, 1400ET

- Sep 20 Fed Chair Yellen press conf in Washington DC 1430ET

Eurodollar/Treasury option summary

Eurodollar Option flow included:

Blocks:

* 10k Dec8 98.25 puts at 18 at 1026:01ET

* +40k Green Dec 88 calls blocked at 0.5 at 1138ET

* -10k Short Dec 81/Green Dec 78 calendar put spread at 0.5 at 1323ET

* -10k Short Dec 80 puts at 2 vs 98.235 at 1329ET

Pit/screen:

* 22,600 short Dec 80/85 put over risk reversals on scree

* 2,000 Jun 83 straddles, 22.0

* 2,000 short Jun 81 straddles, 36.5

* 10,000 short Oct 83/85 call spds, 1.0

* 5,000 Nov 86/87 call spds, 0.75

* +20k Jan8 (EDF8) 98.62/75/87 call fly at 0.75

* 24k Green Jan 80/77 1x2 put spread at 4 vs 98.00

* 2k Short Mar 82 straddle vs Green Mar 70 straddle at 63

* 7.5k Nov7 86/87 call spread at 0.75

* -3k Short Jun 82/80 2x3 put spread vs Green Jun 81/77 2x3 put spread at 24.5

* +20k Front Jan 86/87/88 call fly at 0.75

* -2.5k Front Dec 85/87 call spread at 7

* +10k Front Sep 90 calls at 1

* +8k Front Dec 87/86 1x2 call spread vs Front Dec 83 puts at 1 (+c/s,-p)

* -2.5k Front Dec 85/86 strangle at vs 98.54

* -5k Green Dec 80 puts at 9.5

* +5k Green Dec 87 calls at 1 vs 98.08

* +5k Front Nov 86 calls at 1 vs 98.535

* -2.5k Short Dec 82/81/80 put fly at 2.5

* +4k Front Nov 83/85/86 call fly at 6 vs 98.52

* +5k Front Jun 86/87 call spread at 1.5

* -2.5k Front Jan 85 calls at 4.25

* +2.5k Front Mar 85/Green Mar 82 calendar call spread at 3

* -5k Green Nov 80/77 put spread vs Green Dec 78/76 put spread at 1.5

US Tsy option flow:

* 2,000 TYV 126.5/126.75 call spds, 4/64 vs. 126-08

* +3,000 TYX 125/TYZ 123.5 2x3 put spds, 4/64

* -1,500 FVZ 111.7/112.2 put strip, cab-10

* 5,800 TYX 127.5 calls, 12/64 on screen

* 1,000 TYX 127 calls, 20/64 vs. 126-05.5

* 2,500 TYX 125.5/127 call over risk reversals, 1/64

--MNI New York Bureau; tel: +1 212-669-6432; email: sheila.mullan@marketnews.com

[TOPICS: MTABLE,MNUEQ$,M$U$$$,MR$$$$,M$$FI$,MN$FI$]