US TSYS: POLITICAL HEADER RISK TRUMPS POLICY TALK

US TSY SUMMARY: Tsys hold weaker levels by the bell, lower half of range after

midday chop, modest volume (multiple Asia-Pacific holiday closures next 2 days).

No data to speak of, $37B 2Y Note tailed slightly -- awarded a 2.829% rate

(2.655% previous) vs. 2.824% WI, bid/cover 2.44 vs. 2.89 previous.

- Tsys extended session lows on early ECB Draghi comments: "vigorous" underlying

inflation pick-up weighed on EGBS. Sale short lived, risk-off tone heated up,

heavy short end buying w/>80k TUZ from 105-10.75 to -11.75(despite $37B 2Y

auction today); +80k BLOCK EDZ 97.34. Timing around EGB rally as Italy shares,

rates vs. Bunds widened. 

- Real trigger was Axios headline AG Rosenstein gave verbal resignation to WH

staffer Kelly. Flow: short covering volume across curve (steepener unwinds as

well) w/equities sagging, gold firming up, DXY rebounding, US$/Eur paring gains.

Implied vol slipping lower after directional gains w/higher Tsy ylds. Rates

receded as AG headers disputed, Rosenstein/Trump to meet Thu.

- Tsy cash/ylds: 2Y 99-20.5 (2.813%), 5Y 99-01.5 (2.959%), 10Y 98-08.5 (3.078%),

30Y 95-29.5 (3.212%).

US TSY FUTURES CLOSE: US TSY FUTURES CLOSE: Trades mildly lower, near lows,

volume (TYU 1.06M), curves steeper; update:

* 2s10s +0.212, 26.075 (25.050L/27.334H);

* 2s30s -0.107, 39.457 (39.199L/40.633H);

* 5s30s +0.131, 25.090 (23.813L/25.700H);

Current futures levels:

* Dec Ultra bonds down 06/32 at 153-29 (153-18L/154-10H)

* Dec 30-yr Bond futures down 04/32 at 140-07 (139-30L/140-16H)

* Dec 10-yr futures down 2.5/32 at 118-19 (118-15L/118-23H)

* Dec 5-yr futures down 01/32 at 112-12.25 (112-9.5L/112-14.25H)

* Dec 2-yr futures down 0.25/32 at 105-11.5 (105-10.25L/105-12.25H)

US EURODOLLAR FUTURES CLOSE: Trading mixed in front end to lower out the strip

on tight range, EDZ8 leads volume (EDZ8 430k). Current White pack

(Sep'18-Jun'19):

* Dec'18 +0.005 at 97.340

* Mar'19 0.000 at 97.160

* Jun'19 -0.005 at 97.000

* Sep'19 0.000 at 96.915

* Red pack (Sep'19-Jun'20) -0.010-EVEN

* Green pack (Sep'20-Jun'21) -0.010-0.005

* Blue pack (Sep'21-Jun'21) -0.005

* Gold pack (Sep'22-Jun'22) -0.010-0.005

US DOLLAR LIBOR: Latest settles,

* O/N -0.0029 to 1.9180% (+0.0058 last wk) 

* 1 Month +0.0024 to 2.2182% (+0.0511 last wk) 

* 3 Month +0.0010 to 2.3736% (+0.0355 last wk) 

* 6 Month +0.0016 to 2.5936% (+0.0232 last wk) 

* 1 Year +0.0005 to 2.9088% (+0.0281 last wk)

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

* Secured Overnight Financing Rate (SOFR): 1.92% vs. 1.92% prior, $781B

* Broad General Collateral Rate (BGCR): 1.90% vs. 1.90% prior, $417B

* Tri-Party General Collateral Rate (TGCR): 1.90% vs. 1.90% prior, $406B

PIPELINE: RBS joins NY Life launched earlier

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

09/24 $800M #New York Life 2Y FRN +16

09/24 $1.75B #RBS 11NC10 fix/FRN +200

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

- Sep 25 Sep Philadelphia Fed Nonmfg Index (41.7, --) 0830ET

- Sep 25 22-Sep Redbook retail sales m/m (0.3%, --) 0855ET

- Sep 25 Jul FHFA Home Price Index (0.2%, --) 0900ET

- Sep 25 Jul Case-Shiller Home Price Index (0.1, --) 0900ET

- Sep 25 Sep Richmond Fed Mfg Index (24, --) 1000ET

- Sep 25 Sep Conference Board confidence (133.4, 131.7) 1000ET

- Sep 25 Sep Dallas Fed services index (21.5, --) 1030ET

- Sep 25 US Tsy $38B 5Y Note auction (CUSIP 9128285D8) 1300ET

- Sep 25 FOMC policy meeting kicks off

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* +10,000 Red Sep 57/60 put spds, 3.25

* +5,000 Dec 72/73 2x1 put spds, 3.75

* -3,000 Jan 71 puts, 4.75

* -2,500 Red Mar 60/62 put spds, 3.5

* +3,000 Blue Nov 67/68 strangles, 14.0

* +10,000 Dec 71 puts at 0.5 vs 9731.5/0.05%

* +4,000 short Mar 65 puts, 4.0

* +20,000 Red Jun 60/63 put sprd at 7.5

* 4,000 Short Nov 67 puts at 3.5 vs 9685/0.30%

* -35,000 Red Dec 72/75 call sprd at 4 vs 9687.5/0.10%

* -50,000 Red Mar 65/66 put sprd at 4.5 vs 9681.5/0.07%, pit and screen

* 4,000 Oct 72 puts at 0.25

* 4,000 Blue Dec 65/66 1x2 put sprd at 6.5 vs 9683.5/0.28%

* -3,000 Short Oct 70/71 2x1 put sprd at 4.5

Moderate pick-up in screen trade ahead NY open

* +20,000 Green Oct 68/70 put spds, 2.5

* 8,000 Dec 70/71 1x1.5 put spds

* 1,250 short Dec 66/67 put spds vs. Blue Dec 68/70 put spds

Tsy options, Pit/Screen:

* 10,000 USZ 127 puts at 2

* +2,000 TYX 117/118 put sprd at 12

* +10,000 USZ 127 puts, 2/64, mostly on screen

* -6,000 wk1 TY 118.5/119 3x2 put spds, 19/64

* -6,000 FVZ 115.5 calls at 1

* +2,000 TYX/TYZ 118.5 straddle spds, 26/64

* +3,000 TYX 118.5 straddles, 62/64 vs. 9,000 TYX 117.5/119.5 strangles, 19/64,

5/64 net iron fly

* -5,000 TYZ 119.5 calls, 11/64 covered

* +5,000 FVZ 112.25 puts, 22.5/64 vs. 112-11 to -11.25

* -5,000 TYZ 119.5 calls at 11 over TYX

* -3,000 TYX 117.5/118.5/119.5 iron fly 1x3 at 5, all day

* +5,000 FVZ 112.25 puts at 22.5 vs 11-11.25

* 1,500 TYX 117.75/118.5 2x1 put spds, 5/64 vs. 118-23/0.10%

* +3,000 TYZ 120/120.5 call strip 23/64 vs. 118-19/0.28%

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

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