US TSYS: NY FED ANNC FOURTH REPURCHASE OPERATION FOR FRIDAY

US TSY SUMMARY: Much more sedate trade day after Fed delivered a hawkish cut,

second 25bps rate cut in as many policy meetings. Lead quarterly Eurodollar

future (EDZ9) bounces a little after Wed's post FOMC reversal as mkts try to

price in chances of a third rate cut before yr end.

- Back to headline watching: US/China trade, geopol risk tied to middle east and

Iran.

- Fourth consecutive repurchase operation announced by the NYFR for Friday

0815-0830ET "in order to help maintain the federal funds rate within the target

range of 1-3/4 to 2 percent. This repo operation will be conducted with

Primary Dealers for up to an aggregate amount of $75B. Thu's operation fully

subscribed: $83.875B submitted ($80.05B Wed), $55.843B Tsys, $0.0 Agencies,

$19.157B Mtg backed.

- Overall market volumes moderate, better ATM vol sellers, OTM insurance buyers

both calls and puts on day.

- The 2-Yr yield is down 2.4bps at 1.7378%, 5-Yr is down 2.3bps at 1.653%, 10-Yr

is down 1.9bps at 1.777%, and 30-Yr is down 2.2bps at 2.2198%.

US TSY FUTURES CLOSE: Off highs early highs, futures still bid after the bell,

upper half of range on a more muted post FOMC session. Yld curves mildly steeper

for the most part, Update: 

* 3M10Y  +0.169, -14.062 (L: -18.212 / H: -13.419)

* 2Y10Y  +1.154, 4.144 (L: 1.09 / H: 4.499)

* 2Y30Y  +0.442, 48.025 (L: 44.689 / H: 49.046)

* 5Y30Y  +0.069, 56.323 (L: 54.56 / H: 57.206)

Current futures levels:

* Dec 2-Yr futures up 0.5/32  at 107-18.5 (L: 107-16.375 / H: 107-20.25)

* Dec 5-Yr futures up 0.5/32  at 118-20.75 (L: 118-15 / H: 118-25.5)

* Dec 10-Yr futures up 2.5/32  at 129-15 (L: 129-03.5 / H: 129-22.5)

* Dec 30-Yr futures up 3/32  at 160-7 (L: 159-17 / H: 160-31)

* Dec Ultra futures up 21/32  at 188-19 (L: 187-00 / H: 189-21)

US EURODLR FUTURES CLOSE: Steady/mixed after the bell, lead quarterly bounces a

little after Wed's post FOMC reversal as mkts try to price in chances of a third

rate cut before yr end. Current White pack (Dec 19-Sep 20): 

* Dec 19 +0.010 at 97.975

* Mar 20 -0.005 at 98.255

* Jun 20 -0.005 at 98.370

* Sep 20 steady at 98.455

* Red Pack (Dec 20-Sep 21) steady to +0.005

* Green Pack (Dec 21-Sep 22) steady to +0.005

* Blue Pack (Dec 22-Sep 23) steady to +0.005

* Gold Pack (Dec 23-Sep 24) +0.010

US DOLLAR LIBOR: Latest settles

* O/N -0.2231 at 1.9621% (-0.1327/wk)

* 1 Month +0.0016 to 2.0459% (+0.0209/wk)

* 3 Month +0.0030 to 2.1589% (+0.0193/wk)

* 6 Month +0.0025 to 2.0840% (+0.0137/wk)

* 1 Year +0.0096 at 2.0741% (+0.0250/wk)

US SWAPS: *** Decent swappable corporate and supra-sovereign issuance (>$10B

today), appears adding to/exacerbating the weeks funding concerns as swap spds

have reversed wider levels from the first half to broadly tighter across the

board, 2Y making new all-time inverted lows in late trade (-5.12 vs. -1.31

midmorning). Of note, the NYFR has NOT as yet announced a fourth consecutive

repurchase operation, but given increasing oversubscription last two sessions,

an annc may be imminent. Current spd levels:

Time (ET)   2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

1430        -1.25/-5.12    -0.88/-8.62   -1.06/-13.88   -0.31/-43.50

1200        +1.06/-2.81    +1.25/-6.50   +1.06/-11.75   +1.50/-41.69

1000        +2.56/-1.31    +1.75/-6.00   +1.38/-11.44   +1.56/-41.56

Thu Open    +1.88/-2.00    +1.25/-6.50   +0.81/-12.00   +1.38/-41.81

Thu 0745    +1.62/-2.25    +0.94/-6.81   +0.62/-12.19   +1.25/-41.94

Wed 1545    -3.62/-4.06    -2.06/-7.56   -1.25/-12.75   -1.12/-42.62

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

* Daily Effective Fed Funds Rate: 2.25%, volume: $58B

* Daily Overnight Bank Funding Rate: 2.18%, volume: $158B

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

* Secured Overnight Financing Rate (SOFR): 2.55%, $1.196T

* Broad General Collateral Rate (BGCR): 2.50%, $532B

* Tri-Party General Collateral Rate (TGCR): 2.50%, $504B

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

20-Sep 0815 NY Fed's Williams, Swiss Nat Bnk Research Conf, no press

20-Sep 1000 Aug BLS state payrolls

20-Sep 1100 Q3 St. Louis Fed Real GDP Nowcast

20-Sep 1115 Q3 NY Fed GDP Nowcast

20-Sep 1120 Boston Fed Rosengren, NYU credit conf

PIPELINE: Walmart Launched

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

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 $Benchmark VW Grp of America 5-part: 2Y +110a, 2Y FRN L equiv, 3Y +125a,

5Y +140a, 7Y +165a

09/19 $Benchmark PayPal 3Y +75, 3Y FRN L equiv, 5Y +95a, 7Y +115a, 10Y +130

09/19 $500M European Bank for Reconstruction and Development (EBRD) 5Y +16

09/19 $400M Allegion WNG 10Y +180a

09/19 $300M Interstate Power & Light WNG 30Y +135a

On tap for Friday:

09/20 $Benchmark Province of British Colombia 5Y +23

Canadian issuance:

09/19 C$1B Ontario 10Y +69

09/19 C$Benchmark Scotiabank 5Y +106a

-

09/18 No new issuance Wednesday, $11.75B total/wk

Eurodollar/Tsy options: 

Eurodollar:

Block, 1408:45ET

* 10,000 short Jan 90/95 1x2 call spds, 3.5

* -4,000 Green Nov/Green Dec 82/87 strangle strip, 22.5

* Update, -42,000 Jun 90 calls, 6.0 vs. 98.36 to .38/0.20%

Block, 1315:51ET currently bid

* 10,000 Dec 77 puts, 1.5

* +10,000 Dec 85 calls, 1.5

* +10,000 Dec 82 calls earlier, 3.5

* +10,000 Mar/Jun/Sep 78/80 put spd strip, paid 8.0 for package

* +10,000 Dec 80/81/82/86 broken call condors, 1.25

* -10,000 Jun 90 calls, 6.0

* +4,750 Dec 85/86 call spds, 0.5 on screen

* +3,500 Dec 77/81 call spds, 16.5 on screen

* +15,000 Nov 80/81/82 call flys, 1.75

* +10,000 Dec 82 calls, 3.5 vs. 97.975

* 5,000 Jan 87/Mar 88 2x1 call spds, 2.5 net vs. 98.275/0.14%

* -2,500 Blue Nov 82/85 call over risk reversals, 0.5

Recent Vol sellers:

* -4,000 Green Mar 85 straddles, 41.5

* -2,000 short Jun 86 straddles, 50.0

* -2,000 short Dec 85 straddles, 32.5

* Update, total +30,000 Red Dec'20 77/78 put spds, 2.0

* 10,000 short Oct 88 calls, 1.0 vs. 97.45/0.10%

* 5,000 Mar 86/90 call spds, 4.0 vs. 98.255

* 5,000 short Oct 88 calls, 1.0

* 5,000 short Nov 90 calls, 2.0-2.5

* 10,000 Oct 81 calls, 2.0 on screen

* +5,000 Red Dec'20 77/78 put spds, 2.0

* 2,500 Green Nov 90 calls, 2.5 vs. 98.54/0.10%

* 3,000 Dec 82/90 1x2 call spds cab

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

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