US TSYS: "LOCKED AND LOADED", RISK-OFF RESUMES AHEAD NEXT FOMC

US TSY SUMMARY: Rates trade well bid again after the bell, near early session

highs after midmorning unwind of risk-off tone that kicked off overnight.

Risk-off support after weekend Saudi oil field drone attacks, supply disruption

supporting oil (WTI >+7.5, 62.35), gold > 1502.0. Late headlines that Saudi

Aramco had already brought appr 40% of it's production back on-line -- current

bid in crude may be overdone (unless bid reflects potential for future attacks).

- Risk-off/short cover support across curve, supportive of 25bp cut this week as

well as in late October (third hike probability >45% on Oct 30). Short end desks

note jump in O/N repo jump, but saw most likely tied to corp tax obligations and

Tsy auctions. Flow included deal-tied hedging on >$8B high grade issuance, real$

buying 10s, 3M10Y flatteners after recession indicator climbed 50bp off inverted

lows over past couple weeks, two-way flow in first half -- positioning ahead of

Wed's FOMC annc. Decent selling FFV futures, buying of upside Oct Eurdlr option

spds targeting another hike at Oct 30FOMC.

- The 2-Yr yield is down 4.9bps at 1.7511%, 5-Yr is down 5.8bps at 1.6924%,

10-Yr is down 5.8bps at 1.838%, and 30-Yr is down 6.4bps at 2.3073%.

US TSY FUTURES CLOSE: Rebound late, back near early session highs after the

bell. Yld curves flatter all day. Update: 

* 3M10Y  -8.854, -15.639 (L: -17.109 / H: -9.405)

* 2Y10Y  -1.112, 8.066 (L: 5.854 / H: 9.729)

* 2Y30Y  -1.818, 54.93 (L: 51.47 / H: 57.433)

* 5Y30Y  -0.756, 61.084 (L: 57.968 / H: 62.606)

Current futures levels:

* Dec 2-Yr futures up 3.75/32  at 107-16.5 (L: 107-13.875 / H: 107-16.75)

* Dec 5-Yr futures up 9.75/32  at 118-14.25 (L: 118-07.5 / H: 118-15)

* Dec 10-Yr futures up 16/32  at 129-2.5 (L: 128-24 / H: 129-07)

* Dec 30-Yr futures up 1-10/32  at 158-30 (L: 157-30 / H: 159-15)

* Dec Ultra futures up 2-12/32  at 185-27 (L: 183-29 / H: 187-04)

US EURODLR FUTURES CLOSE: Well bid across the strip, at/near session highs after

the bell. Current White pack (Dec 19-Sep 20): 

* Dec 19 +0.010 at 97.955

* Mar 20 +0.045 at 98.250

* Jun 20 +0.065 at 98.370

* Sep 20 +0.002 at 97.855

* Red Pack (Dec 20-Sep 21) +0.075 to +0.085

* Green Pack (Dec 21-Sep 22) +0.070 to +0.080

* Blue Pack (Dec 22-Sep 23) +0.060 to +0.070

* Gold Pack (Dec 23-Sep 24) +0.045 to +0.065

US DOLLAR LIBOR: Latest settles

* O/N +0.0168 at 2.1116% (+0.0019 last wk)

* 1 Month +0.0160 to 2.0408% (-0.0243 last wk)

* 3 Month +0.0057 to 2.1451% (+0.0052 last wk)

* 6 Month +0.0077 to 2.0780% (+0.0346 last wk)

* 1 Year +0.0205 at 2.0696% (+0.1002 last wk)

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

* Daily Effective Fed Funds Rate: 2.14%, volume: $53B

* Daily Overnight Bank Funding Rate: 2.14%, volume: $123B

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

* Secured Overnight Financing Rate (SOFR): 2.20%, $1.134T

* Broad General Collateral Rate (BGCR): 2.19%, $509B

* Tri-Party General Collateral Rate (TGCR): 2.19%, $482B

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

17-Sep ---- FOMC day one of two

17-Sep 0830 Sep NY Fed Business Leaders Index 

17-Sep 0855 14-Sep Redbook retail sales m/m

17-Sep 0915 Aug Industrial production (-0.2%, 0.2%)

17-Sep 0915 Aug Capacity utilization (77.5%, 77.6%)

17-Sep 1000 Sep NAHB home builder index (66, 66)

17-Sep 1600 Jul net TICS flows ($1.7B, --)

17-Sep 1600 Jul long term TICS flows ($99.1B, --)

PIPELINE: Multiple names launched, $8.25B total/day

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

07/16 $3B #Alcon Finance $500M 7Y +105, $1B 10Y +120, $500M 30Y +150

07/16 $1.75B #Danske Bank 3NC2 $1B +125, $750M 6NC5 fix/FRN +155

07/16 $1.5B #Caterpillar $500M 10Y +77, $1B 30Y +98

07/16 $1.2B *Bangkok Bank 15NC10 +190

07/16 $500M #Pricoa Global Funding 5Y +70

07/16 $300M *Entergy Texas 30Y +128

On tap for Tuesday:

07/17 $Benchmark Landwirtschaftliche Rentenbank (RENTEN)2Y +9a

07/17 $1B Council of Europe Development Bank (COE) 3Y +12a

Eurodollar/Tsy options: Sep futures/options expire Friday

     Eurodollar options, Pit/screen: 

* -10,000 Nov 80/81 put spds, 9.0

* +5,000 Dec 85 calls, 2.0

* -5,000 Red Dec 73/77/83 put flys, 14.5

* +6,000 Jan 77 puts, 1.0

Block, 1403:54ET

* +11,874 Oct 82 calls 0.5 over Dec 87 calls -- this after paper bought appr 50k

Oct calls vs. Dec 86/87 call strip in pit on day

* +8,500 Jun 85/86 call spds, 3.5 vs. 98.35/0.07%

* Update, total +50,000 Oct 82 vs. -25,000 Dec 86/87 call strip, cab to .5

Latest trade, around the time of large (-22k, Block/screen) Oct FF sale at 98.09

-- looking for no additional cut by the Fed in late October, while Oct/Dec

option spd betting on Fed to make additional cut after this Wed FOMC.

* +25,000 Oct 82 vs. -12,500 Dec 86/87 call strip, cab net

* +10,000 Nov 81/83 call spds, 3.25 (buyer of Dec 81/83 call spds 4.0 earlier)

* +25,000 Jun 97 calls, 1.5 vs. 98.45/0.03%

* +15,000 Nov 77 puts, 1.75 vs. 97.95/0.16%

* +10,000 Dec 81/83 call spds, 4.0

* another +7,500 (+25k earlier) Oct 83/86 and 85/86 call spd strip, 1.0 total

vs. Nov 82/85 call spds 2.0

* -10,000 Mar 76/78/80 put trees, 2.75

* +7,500 Dec 82/83/86 call trees, 0.25

* Update, over -40,000 Dec 77 puts 0.5-0.25 over Dec 81/83/86 call flys

* Update, total +25,000 Oct 83/86 and 85/86 call spd strip, 1.0 total vs. 97.975

* +10,000 Oct 83/86 and 85/86 call spd strip, 1.0 total vs. 97.975

* -7,500 Red Dec20 85/92 call spds 17.5 vs. 98.385/0.28%

* 7,500 Dec 77 puts 0.5 over Dec 81/83/86 call flys

* 2,000 Green Dec 76/80 put spds, 2.0

Screen/Block flow coming into the session

* 11,000 Oct 81/82 1x2 call spds, 0.0

* 11,000 Jun 97 calls, 1.0

* 3,900 Dec 80/81/82/85 broken call condors, 1.0

* -14,000 Green Mar 80/81 2x1 put spds, 3.0 Block, 0322-0337ET

Tsy options:

* 3,000 USX 149/152/155 put condors, 17/64

* -6,500 TYV 129/130 put spds 13- to 12/64 over TYX 130 calls

* -5,000 TYV 130 calls, 4/64 vs. 128-26.5

* +5,000 TYV 128.5 puts, 15/64 vs. 128-28.5/0.36%

* -5,000 TYX 127/128 2x1 put spds, 0.0

* +4,000 TYZ 129/131.5 call spds vs. TYZ 126.5 puts, 30/64

* -2,000 TYZ 129 straddles, 1-26/64

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

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