US TSYS: POST FOMC INSIDE RANGE DAY, MONTH-END REBALANCE

US TSY SUMMARY: Tsys trades mixed after the bell, off session lows on decent

volume (larger than avg volume occurred ahead of the NY open). Despite jump in

data releases -- rather muted trade the day after FOMC. 

- Final leg wk's Tsy supply tailed (2 out of 3) Treasury prices trading narrowly

mixed after $31B 7Y auction awarded 3.034% rate vs. 3.030% WI (previous $31B 7Y

awarded 2.844%).

-  Bid for Tsys left the building in early trade, extended session lows, yld

curves rebound/little steeper. unconfirmed chatter asset allocation, buying

equities/selling Tsys underscored late morning equity outperformance tempered by

month end extension/buying. Large block/crosses: Tsy curve flattener -20,893 FVZ

112-12.25 vs. +3,734 WNZ 154/07; Eurodollar futures +85k EDZ9/EDH0 at 0.025,

adding to appr +65k on screen -- ongoing theme as Reds remain off inversion

since last week. More modest two-way in second half, deal-tied hedging short end

- Political headline distractions from DC: SCOTUS hopeful Kavanaugh accuser

hearing. Note, China out next week for National Day holidays will dampen volume

a little.

US TSY FUTURES CLOSE: Trading mixed in the middle of the range with the long end

outperforming, strong volume (TYU 1.38M), curves flattening; update:

* 2s10s -1.432, 21.486 (21.486L/23.881H);

* 2s30s -1.871, 34.389 (34.306L/37.249H);

* 5s30s -1.267, 22.268 (22.095L/24.204H);

Current futures levels:

* Dec Ultra bonds up 09/32 at 154-23 (154-02L/155-08H)

* Dec 30-yr Bond futures up 06/32 at 140-23 (140-08L/141-03H)

* Dec 10-yr futures up 02/32 at 118-25.5 (118-20.5L/118-31.5H)

* Dec 5-yr futures down 0.25/32 at 112-14 (112-12L/112-18.75H)

* Dec 2-yr futures down 0.5/32 at 105-11 (105-10.5L/105-12.75H)

US EURODOLLAR FUTURES CLOSE: Trades mostly steady in short end to mildly higher

out the strip, parallel shift across greens through golds; Large volume

continues with Red Dec leading again today (EDZ9 425k). Current White pack

(Dec'18-Sep'19):

* Dec'18 0.000 at 97.325

* Mar'19 -0.005 at 97.145

* Jun'19 0.000 at 96.995

* Sep'19 0.000 at 96.905

* Red pack (Dec'19-Sep'20) +0.005

* Green pack (Dec'20-Sep'21) +0.015-0.010

* Blue pack (Dec'21-Sep'21) +0.015

* Gold pack (Dec'22-Sep'22) +0.015-0.010

US DOLLAR LIBOR: Latest settles,

* O/N +0.2486 to 2.1738% (+0.2529/wk) 

* 1 Month +0.0138 to 2.2560% (+0.0402/wk) 

* 3 Month +0.0099 to 2.3960% (+0.0234/wk) 

* 6 Month +0.0070 to 2.6005% (+0.0085/wk) 

* 1 Year +0.0028 to 2.9173% (+0.0090/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.92% vs. 1.93% prior, $828B

* Broad General Collateral Rate (BGCR): 1.91% vs. 1.91% prior, $415B

* Tri-Party General Collateral Rate (TGCR): 1.91% vs. 1.91% prior, $398B

PIPELINE: $2B Standard Chartered launch

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

09/27 $2B #Standard Chartered $1.4B 4NC3 fix/FRN +135, $600M 4NC3 FRN +115

09/27 $1B Societe Generale PerpNC5 AT1 7.5$a

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

- Sep 28 Aug personal income (0.3%, 0.4%) 0830ET

- Sep 28 Aug current dollar PCE (0.4%, 0.4%) 0830ET

- Sep 28 Aug total PCE price index (0.1%, 0.1%) 0830ET

- Sep 28 Aug core PCE price index (0.2%, --) 0830ET

- Sep 28 Sep ISM-Milwaukee Mfg Index (64.63, --) 0900ET

- Sep 28 Sep MNI Chicago PMI (63.6, 62.0) 0945ET

- Sep 28 Sep Michigan sentiment index (f) (100.8, 100.8) 1000ET

- Sep 28 Q3 St. Louis Fed Real GDP Nowcast (4.42%, --) 1100ET

- Sep 28 Q3 NY Fed GDP Nowcast (2.2%, --) 1115ET

- Sep 28 16/17 grain stocks 1200ET

- Sep 28 NY Fed Pres Williams, "Reserve Reductions, Money Markets, and Future

Frameworks", Columbia University School of Int/Pub Affairs, Q&A. 1645ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* 25,000 Red Jun 58/61 2x1 put sprd at 0.5

* 5,000 Short Feb 67/70 Strangle at 18

UPDATE: Total 40,000 Red Sep 57/60 put sprd at 3.5 vs 9680.5/0.10%

* 35,500 Red Sep 57/60 put sprd at 3.5 vs 9680.5/0.10%

* 6,000 Short Dec 71 calls at 2.5 vs 9685/0.15%

* +45,000 Red Mar 60/61 put sprd at 1.5

Block, 1054:41,

* -10,000 Mar 71 straddles, 17.0

* +20,000 Sep 65/66 put spds, vs. 96.88/0.10%

* +4,000 Green Dec 67/68 straddle strip, 46.5

* -4,000 Green Nov 67/68 strangles, 12.0

BLOCK at 0918:38ET, just prior to the short Dec 73 call cross

* -57,076 long Green Dec 66 puts, 3.5 vs. 96.82/0.24% Additional 10,000 sold in

pit

Block, 10:18:49ET,

* +10,600 Short Dec 73 calls at 1 vs 9686.5/0.05%

* +20,000 Front Nov/Front Dec 73 put sprd at 1.25

* 7,500 Long Green Dec 50/55 2x1 put sprd at 1

* 6,000 Long Green Mar 57/62 2x1 put sprd at 3

Block, 06:59:40ET-07:10:31ET,

* Total 15,000 Short Oct 70 at 0.5, bid at post time

Tsy options, Pit/screen:

* 4,000 wk4 TY 119 calls, 2/64 vs. 2/64 vs. 118-25.5

* +4,000 USZ 136/138 put sprd at 21 vs 13-14/0.12%

* 2,000 TYX 118/118.25/118.50 1x1x2 put trees, 15/64 net 2-leg over package

* +2,000 USX 134/145 put over risk reversals, 0.0 vs. 140-12

* 3,000 TYX 117.5/118.5 put spds, 15/64 vs. 118-23.5

* 3,050 wk4 TY 118.5/119 risk reversals, 0.0 vs. 118-24.5/0.38%

* 1,000 TYX 117.5/118.5 put spds, 15/64 vs. 118-21.5/0.10%

* +5,000 TYX 117.5 puts at 6 vs 23-23.5/0.14%

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

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