US TSYS LOWER:RISK-ON;FIRM US STKS;SOFT BUNDS;PORTUG DEBT GAIN

      US TSYS SUMMARY: Treasuries end Mon lower in risk-on mood, firm US stocks,

tighter Portugese sovereign debt sprds after S&P Ratings upgraded it to

investment grade late Friday. Tsys mixed flows, reversal of some pre-wknd

safe-haven bid flow. Traders say volume is half normal; Jpn out Mon. 

- Tsys hurt by weaker German Bunds, FX-tied selling. Fast$ 2way flows, real$

better buyers, macro fnds quiet (await FOMC Wed). Rate-lock hedging vs

high-grade corp bonds; issuance sped up in front-loaded early wk before Wed

FOMC, Thurs/Fri Jewish religious Rosh Hoshanah holidays. Jitters on Wed FOMC Fed

bal .sheet reductn news, potential Dec rate hike views. Eurodlr futures lower

across strip. 

- US TSY FUTRS: Block buy 10:30am ET of 8,500 FVZ 5Y futures at 117-31, buy thru

117-305 offer at time. German Bunds hurt by 12,276 RXZ7 block trade, seemed

sale, in UK afternoon. 

- US rate hike % remain at/near 0% for next 2 FOMC mtgs but because of strong

short end sales (new lead qrtrly Dec'17 Eurdlr futs), low delta put buys rose,

supports implieds, curve bear steepens. 

- TSYS 3PM ET: 2Y 1.393%, 3Y 1.536%, 5Y 1.824%, 7Y 2.058%, 10Y 2.229%, 30Y

2.803%

US TSY FUTURES CLOSE: Lower across the curve by the bell, long end

underperforming all session, making new session lows in second half as bids

evaporated, USD rebounded. Levels recovered late as equities, namely FANG shares

(Facebook, Amazon, Netflix, Google) traded lower, taking air out of S&Ps late

before rebounding on strength in financial shares. Current futures levels: 

* Dec Ultra bonds down 1-0/32 at 166-21 (166-12L/167-23H) 

* Dec 30-yr Bond futures down 23/32 at 154-10 (154-04L/155-01H) 

* Dec 10-yr futures down 7/32 at 126-03 (126-01L/126-09H) 

* Dec 5-yr futures down 3/64 at 117-30.5 (117-29L/118-00.75H) 

* Dec 2-yr futures down .75/32 at 108-00 (107-31.25L/108-00.75H)

US EURODLR FUTURES CLOSE: Lower across the strip, off session lows late, heavy

selling new lead quarterly Dec'17 futures; rate hike % remain at/near 0% for

next 2 meetings, however. Current White pack (Dec'17-Sep'18): 

* Dec'17 -0.020 at 98.530 

* Mar'18 -0.020 at 98.445 

* Jun'18 -0.025 at 98.370 

* Sep'18 -0.020 at 98.310 

* Red pack (Dec'18-Sep'19) -0.015-0.020 

* Green pack (Dec'19-Sep'20) -0.020 

* Blue pack (Dec'20-Sep'21) -0.025 

* Gold pack (Dec'21-Sep'22) -0.025-0.035

US SWAPS: *** Spds running steady/mixed after the bell, holding a narrow range

all session amid modest two-way flow in the 5s and 10s. Earlier mixed flow

included insurance portfolio paying in the intermediates, fast$ spd curve

steepeners (5s vs, 10s and 30s) and asset manager receiving 2s5s10s spd fly.

Desks stymied by absence of seasonal narrowing (supply based) and Tsy curve

steepening in the last couple weeks. While corp issuance has been healthy (appr

$110B total) last two weeks, a majority has proved unswapped, one desk said.

Quiet start for the week, desks plying sidelines into Wed's FOMC annc. OTC and

exchange traded option vol steady to mildly firmer in the short end. Latest

spread levels: 

* 2Y +0.25/25.88 

* 5Y +0.00/8.50 

* 10Y +0.12/-3.06 

* 30Y -0.25/-33.31

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

- Sep 19 First day of 2-day FOMC policy meet in Washington DC

- Sep 19 Aug housing starts (1.155M, 1.170M) 0830ET

- Sep 19 Aug building permits (1.230M, 1.218M) 0830ET

- Sep 19 Q2 current account balance (-$116.8B, -$114.9B) 0830ET

- Sep 19 Aug imports price index (0.1%, 0.4%) 0830ET

- Sep 19 Aug exports price index (0.4%, --) 0830ET

- Sep 19 16-Sep Redbook retail sales m/m (+0.3%, --) 0855ET

Eurodollar/Treasury option summary

Eurodollar options, Sep options expire

Blocks:

1058ET

10k EOF 78/81 2x1p spds, 4.5 vs. 98.16/0.10%

Pit/screen:

27k EDZ 85c, 7.5 vs. 98.535/0.60%

10k EDF 85/86c spds vs. 98.45

+10k EDZ 87c, 1.0 vs. 98.575/0.10%

+10k EDZ 86c, 2.25

+10k EDV 85p, 1.25vs. 98.53-.535

+9k EDZ 86/87c spds vs. 83p, 1.25 net

9k EDM 85c, 7.5 vs. 98.54/0.30%

-8k EDZ 85c, 7.5

6.7k EDZ 83/85 2x1p spds

5k EDZ 80/81/82 2x3x1p flys, 0.5

5k EDZ 83/85/87c flys

+5k EDV 86/87/88c flys, cab

+4k EDM 80p, 1.5

+3k EDZ 83/85 2x1p spds, 2.75

+11.5k EOX 78/80/81p flys, 1.5

+10k EOH 78/80p spds, 3.0

+10k EOZ 80/81/82 2x3x1p flys, 0.5

+5k EOV 81p, 1.5

-5k EOZ 81p, 5.0

+5k EOH 81/82 2x3c spds, 1.5

5k EOH 81/82 2x3c spds, 1.5

5k EOH 85/87c spds, 2.0

5k EOH 80/82p spds, 10.0

4k EOV 81/83 strangles

2k EOZ 81/82p spds, 5.0-5.5

2k EOH 86/87c spds

+1.5k EOZ 81/83 R/R, 1.0p ovr

1k EOZ 85/86c spds, 1.5

1k EOZ 86/87c spds, 0.5

+20k E2Z 87c, 1.0 vs. 98.08/0.10%

15k E2Z 87c, 1.0 vs. 98.08/0.10%

-10k E2V 78/80 2x1p spds, 1.5

10k E2Z 78/80 2x1p spds, 1.5

+2.5k E2Z 85/87c spds, 1.0

2.5k E2Z 87c vs. EOH 78p

5k E4M 71/81 R/R, 0.5p ovr

     Tsy options

Block

0940ET

+13k TYZ 124p, 12 vs. 126-025

1231-1233ET

23k TYZ 124+p, 18-19 vs.

5k TYZ 126-03 to -03.5

Pit/screen:

3.3k TYX 128+c, 6

1.5k TYX 123+/124+p spds

1.5k TYV 124+/125+p spds

-1k TYX 126+p, 50 vs.

+500 USX 155p, 134

1k TYV 125/125+/125.7/126p condors

1k TYX 126+p, 50

1k TYV 125.2/125.7/126.2p flys, 10

1k TYX 125/127+ strangles, 26

3.4k FVV 118p, 11

1.1k USZ 142/146 3x1p spds, 1

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

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