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US EURODLR OPTIONS

Late Trade

USDJPY TECHS

Bullish Engulfing Reversal Still In Play

FOREX

Will The CHF Strength Drag Down Swiss CPI?

EURGBP TECHS

Short-Term Outlook Remains Bullish

US TSYS: NO CHINA AG FIELD TRIP FOR YOU

     
US TSY SUMMARY: Sharp/fast risk-off move in second half, trade related as
Chinese Ag delegation unexpectedly canceled field trip to Montana farms. Choppy
late trade as markets sought clarity on whether trade negotiations were stalled,
broken or just a scheduling conflict. Tsys continued to surge into late
electronic trade (30YY -.0703 to 2.1574%; 10YY -.0642 to 1.7198%), Yld curves
flatter, 3M10Y extending move, while equities started to slide again, ESU9
-16.0.
- There may be more to the US/China trade story after China delegation canceled
Montana field trip today, but no additional details as yet. 
- Fifth consecutive repurchase operation announced by the NYFR for Friday --
NYFR annc $75B daily opns' through October 10, three 14 day term opns' of $30B
each on 10/8, 10/10 and 10/11.
- Overall market volumes very light ahead weekend, pick-up in activity around
gap moves, a lot of program squaring into weekend.
- The 2-Yr yield is down 5.7bps at 1.6809%, 5-Yr is down 6.1bps at 1.5985%,
10-Yr is down 6.8bps at 1.7163%, and 30-Yr is down 7.5bps at 2.1525%.
US TSY FUTURES CLOSE: There may be more to the US/China trade story after China
delegation canceled Montana field trip today, but no additional details as yet.
Tsys are clawing to new highs while equities are drifting around middle of lower
gap range. Yld curves flatter, 3M10Y extending move. Update:
* 3M10Y  -4.239, -18.393 (L: -18.393 / H: -12.727)
* 2Y10Y  -1.109, 3.098 (L: 2.106 / H: 5.301)
* 2Y30Y  -1.317, 47.263 (L: 45.29 / H: 49.505)
* 5Y30Y  -0.98, 55.654 (L: 54.591 / H: 57.337)
Current futures levels:
* Dec 2-Yr futures up 1.375/32 at 107-20.625 (L: 107-17.75 / H: 107-20.625)
* Dec 5-Yr futures up 3.25/32 at 118-26.5 (L: 118-18.75 / H: 118-26.5)
* Dec 10-Yr futures up 8.5/32 at 129-27.5 (L: 129-12 / H: 129-27.5)
* Dec 30-Yr futures up 26/32 at 161-10 (L: 160-03 / H: 161-11)
* Dec Ultra futures up 1-7/32 at 190-08 (L: 188-02 / H: 190-08)
US EURODLR FUTURES CLOSE: Modestly higher after the bell for the most part, lead
quarterly remains strong, balance of Whites-Reds lagging. Current White pack
(Dec 19-Sep 20):
* Dec 19 +0.025 at 98.005
* Mar 20 steady at 98.265
* Jun 20 -0.005 at 98.375
* Sep 20 steady at 98.465
* Red Pack (Dec 20-Sep 21) steady to +0.005
* Green Pack (Dec 21-Sep 22) +0.010 to +0.015
* Blue Pack (Dec 22-Sep 23) +0.015 to +0.020
* Gold Pack (Dec 23-Sep 24) +0.025 to +0.030
US DOLLAR LIBOR: Latest settles
* O/N -0.0936 at 1.8685% (-0.2263/wk)
* 1 Month -0.0094 to 2.0365% (+0.0115/wk)
* 3 Month -0.0242 to 2.1346% (-0.0049/wk)
* 6 Month -0.0136 to 2.0704% (+0.0001/wk)
* 1 Year -0.0091 at 2.0650% (+0.0159/wk)
STIR: Federal Reserve Bank of New York EFFR for prior session:
* Daily Effective Fed Funds Rate: 1.90%, volume: $59B
* Daily Overnight Bank Funding Rate: 1.85%, volume: $160B
US TSYS: REPO REFERENCE RATES: (rate, volume), 
* Secured Overnight Financing Rate (SOFR): 1.95%, $1.137T
* Broad General Collateral Rate (BGCR): 1.91%, $516B
* Tri-Party General Collateral Rate (TGCR): 1.90%, $485B
OUTLOOK: *** US Data/speaker calendar (prior, estimate):
23-Sep 0945 Sep Markit Mfg Index (flash) (50.3, 50.3)
23-Sep 0945 Sep Markit Services Index (flash) (50.7, 51.5)
23 Sep 1130 Size TBA 13W Note auction (912796SY6)
23 Sep 1130 Size TBA 26W Note auction (912796SH3)
PIPELINE: Not including today's $1.75B supra-sovereign issuance, $22.95B priced
on week
Date $MM Issuer/Rating/Desc/Maturity/Yld; Priced *; Launch #:
09/20 $1.25B Province of British Colombia 5Y +21a
09/20 $500M European Bank for Reconstruction and Development (EBRD) 5Y +15
-
$11.2B priced Thursday
09/19 $5B *PayPal $1B 3Y +55, $1.25B 5Y +75, $1.25B 7Y +95, $1.5B 10Y +110
09/19 $3B *VW Grp of America $500M 2Y +83, $500M 2Y FRN L+86, $1B 3Y +103, $500M
5Y +123, $500M 7Y +148
09/19 $1B *Walmart $500M 10Y +60, $1B 30Y +80
09/19 $1B *Federation des Caisses Desjardins du Quebec (CCDJ) 3Y +34
09/19 $500M *Republic of Armenia WNG 10Y 4.2%
09/19 $400M *Allegion WNG 10Y +173
09/19 $300M *Interstate Power & Light WNG 30Y +135a
Eurodollar/Tsy options: 
Eurodollar:
* -25,000 Jun 88 calls, 7.5
* -10,000 Mar 78/80/81 put trees, 2.25
* +15,000 Mar 92/95 call spds, 0.75
* -35,000 Mar 92 calls 1.25
* +8,000 Mar 85/88 call spd w/Jun 88/95 call spd strip, 11.0 covered
* 5,000 Dec 78/80 2x1 put spds, 1.5 (Blocked earlier same lvl)
* Update total -30,000 Dec 83/88 call spds at 1.5, still bid for over 35,000
* -10,000 Green Nov 88 calls, 3.0 vs. 98.495/0.14%
* -10,000 Jun 90 calls, 6.0 vs. 98.375/0.20%
* -5,000 Nov 80/81 call spds, 3.75 vs. 97.99/0.20%
Tsy options: REMINDER, October options expire today
* +17,550 FVX 115.5 put w/
* +17,550 TYX 136 call, paying 2/64 total/package
* -6,900 TYX 127 puts, 7/64
* -2,000 TYV 129.25 puts at 4/64 after the bell
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com