US TSYS: O/N FUNDING HANGOVER, REPO OP'N FIRST IN OVER 10YRS

US TSY SUMMARY: Very choppy session for rates, Wed's FOMC annc hardly mentioned

w/focus on O/N funding, GC spiked well over 8% in early trade and effective Fed

Funds printing 2.25%. A portent of IOER cut from Fed Wed: NYFRB annc O/N Repo

operation for up to $75bln, "in order to help maintain" federal funds rate

within "target range of 2 to 2-1/4%". 

- Decent risk on move after Saudi headlines reported faster than expected return

to prod'n after Sunday drone attack damage, Tsys tapped overnight lows.

Technical difficulties stalled Fed operation briefly, resumed w/$53.1bln total

accepted, incl $40.9bln Tsy at weighted avg 2.48% (L:2.10%, H:3.25%).

- Whip-saw trade post IP/Cap-U, long end dipped briefly then spiked w/Dec

Ultra-bond +11/32, now lower again, Dec bond hovering around steady. Decent

overall volumes belies thin market depth, two-way flow from fast- and real$,

prop buying 10s. Anecdotal comment on FI mkt volatility today: "Traders don't

want to trade off the runs with financing gone haywire".

- The 2-Yr yield is down 2.8bps at 1.731%, 5-Yr is down 4.2bps at 1.6576%, 10-Yr

is down 4.5bps at 1.8013%, and 30-Yr is down 5.2bps at 2.2666%.

US TSY FUTURES CLOSE: Bid after a choppy session, off late session highs on

decent volumes (TYZ>1.5M), yld curves flatter. Update: 

* 3M10Y  -4.164, -18.671 (L: -23.806 / H: -14.404)

* 2Y10Y  -1.036, 7.291 (L: 6.336 / H: 8.712)

* 2Y30Y  -1.673, 53.814 (L: 52.476 / H: 55.848)

* 5Y30Y  -0.82, 60.935 (L: 59.527 / H: 62.358)

Current futures levels:

* Dec 2-Yr futures up 2.375/32  at 107-18.375 (L: 107-15.625 / H: 107-18.625)

* Dec 5-Yr futures up 6.25/32  at 118-19.5 (L: 118-12 / H: 118-20.75)

* Dec 10-Yr futures up 8/32  at 129-10 (L: 128-31 / H: 129-13)

* Dec 30-Yr futures up 17/32  at 159-16 (L: 158-20 / H: 159-28)

* Dec Ultra futures up 27/32  at 186-22 (L: 185-06 / H: 187-17)

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

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

* Dec 19 +0.015 at 97.970

* Mar 20 +0.030 at 98.270

* Jun 20 +0.030 at 98.385

* Sep 20 +0.035 at 98.460

* Red Pack (Dec 20-Sep 21) +0.035 to +0.045

* Green Pack (Dec 21-Sep 22) +0.035 to +0.045

* Blue Pack (Dec 22-Sep 23) +0.040

* Gold Pack (Dec 23-Sep 24) +0.025 to +0.035

US DOLLAR LIBOR: Latest settles

* O/N +0.0432 at 2.1548% (+0.0600/wk)

* 1 Month +0.0161 to 2.0570% (+0.0321/wk)

* 3 Month +0.0190 to 2.1641% (+0.0247/wk)

* 6 Month +0.0072 to 2.0853% (+0.0149/wk)

* 1 Year -0.0042 at 2.0654% (+0.0163/wk)

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

* Daily Effective Fed Funds Rate: 2.25%, volume: $46B

* Daily Overnight Bank Funding Rate: 2.18%, volume: $110B

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

* Secured Overnight Financing Rate (SOFR): 2.43%, $1.156T

* Broad General Collateral Rate (BGCR): 2.42%, $516B

* Tri-Party General Collateral Rate (TGCR): 2.42%, $498B

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

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

18-Sep 0700 13-Sep MBA Mortgage Applications (2.0%, --)

18-Sep 0830 Aug housing starts (1191k, 1250k)

18-Sep 0830 Aug building permits (1317k, 1300k)

18-Sep 1030 13-Sep crude oil stocks ex. SPR w/w

18-Sep 1400 FOMC policy announcement

18-Sep 1430 Fed Chairman Powell press conference

PIPELINE: Waiting on Royal Bank of Canada 3Y

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

07/17 $1B *Council of Europe Development Bank (COE) 3Y +11

07/17 $1B *Landwirtschaftliche Rentenbank (RENTEN)2Y +7

07/17 $Benchmark Royal Bank of Canada 3Y +33a

- 

$8.25B priced Monday

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

Canadian issuance

07/16 C$1B TransCanada Pipeline C$700M 10Y +155, C$300M 30Y tap +232

07/16 C$500M Waste Management of Canada 7Y +115

Eurodollar/Tsy options: Sep futures/options expire Friday

     Eurodollar options, Pit/screen: 

* over +13,000 short Oct 88 calls, 1.5 vs. 98.435

Block, 1222:37ET,

* 10,000 short Nov 90 calls, 2.5 vs. 98.48/0.10%

* -6,000 Dec 77/81 call spds, 17.5

* -4,000 Mar 78/82/86 call flys, 12.0

* +5,000 Oct 81/82 1x2 call spds, 0.0

Additional trade heading into midday

* +15,000 Jan 90 calls, 2.25

* +10,000 Green Mar 80 puts, 5.0

* +7,000 Nov 78 puts, 6.0

* 10,000 Red Dec'20 90/92 call spds, 4.5

* 16,000 Jun 97 calls, 1.0 vs. 98.305

* -10,000 Dec 76/77 put spds, 1.75, this after Block buy 35k Dec 77 puts, 3.25

Block, 0843:19ET

* +35,000 Dec 77 puts, 3.25 vs. 97.96/20%

* -8,000 Mar 76/78/80 put trees, 2.5

* 10,000 Oct 83 calls, 0.75 screen

* 5,000 Oct 81/82 1x2 call spds, on screen earlier

Tsy options, 

* 6,180 TYX 127/128.5 2x1 put spds on screen, 8/64

* 3,700 TYX 127.5/129 put spds on screen, 29/64

* -5,000 TYZ 126 puts, 12

Block, 1034:27ET

* 14,501 FVZ 118.25 puts, 35.5/64

* 14,501 FVZ 119.5 calls, 20/64

* 2,000 TYV 128.5/TYX 126 put spds, 0.0

* 2,000 TYV 128/129 2x1 put spds, 10/64

* 1,000 TYX 129.5 calls, 48/64

* -1,000 TYX 128 puts, 25/64

* 2,000 TYX 129.5 straddles, 1-52/64 earlier

* 3,100 TUX 108 calls, 5/64 vs 107-17.2

* 1,000 TUV 107.25/107.37 put spds, 1.5/64

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

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