US TSYS: RATE BID EVAPORATES LATE, RISK ASSETS FINISH STRONG

US TSY SUMMARY: Tsys mixed in late trade, curves flatter with long end

outperforming. Rates rallied after CPI comes in lower than expected (0.2% vs.

0.3%), not much of react if any to BoE and ECB steady rate annc's. 

- US$ pared gains/sold off sharply post data, dollar index DXY -.257, 94.542

(94.428L/94.965H), $/Eur +0.0061 at 1.1688, $/Yen +.58 111.84; equities surged

(emini +15.0, 2908.5 vs. 2912.0H); Gold weaker (XAU -4.44, 1201.84); West Texas

pared strong gains for week as Hurricane Florence weakens to class 2 from 4 (WTI

-1.75, 68.62 after tapping 71.26 Tuesday). 

- Decent volume, fast$ two-way 3s-7s, real$ and bank buying 10s-30s, curve

flatteners in 5s30s, decent deal-tied hedging ($6B AbbVie 4-part pushed total

issuance to $12B/day). Treasuries inch off recent highs after $15B 30Y auction

awarded 3.088% rate (3.090% previous) tailed vs. 2.082% WI.

- Ongoing heavy volume Jan'19 fed fund futures, >90k after to 100k prior

session; heavy buying Eurodlr futures, >30k EDZ8 97.365, >60k EDH9/EDM9. Tsy

cash/ylds: 2Y 99-24 (2.752%), 5Y 99-15.25 (2.862%), 10Y 99-08.5 (2.959%), 30Y

98-04 (3.096%).

US TSY FUTURES CLOSE: Well off highs, bid evaporated late to mixed levels by the

bell, long end outperforming, middle of the range, volume (TYU 1.41M), Curves

flatter; update:

* 2s10s -0.426, 20.618 (19.516L/21.765H);

* 2s30s -0.754, 34.409 (32.943L/36.374H);

* 5s30s -0.501, 23.508 (22.400L/25.124H);

Current futures levels:

* Dec Ultra bonds up 05/32 at 156-26 (156-08L/157-09H)

* Dec 30-yr Bond futures down 01/32 at 142-10 (142-31L/142-22H)

* Dec 10-yr futures down 0.5/32 at 119-13.5 (119-8.5L/119-19H)

* Dec 5-yr futures down 0.5/32 at 112-25.25 (112-21.75L/112-28.5H)

* Dec 2-yr futures down 0.5/32 at 105-14.25 (105-13.25L/105-15.5H)

US EURODOLLAR FUTURES CLOSE: Trading mixed with serials steady to slightly

higher and the rest of the strip slightly lower, heavy volume today (EDZ9 660K).

Current White pack (Sep'18-Jun'19):

* Sep'18 +0.0050 at 97.6575

* Dec'18 +0.015 at 97.365

* Jun'19 +0.010 at 97.185

* Jun'19 +0.000 at 97.035

* Red pack (Sep'19-Jun'20) -0.015-0.005

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

* Blue pack (Sep'21-Jun'21) -0.010-0.005

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

US DOLLAR LIBOR: Latest settles,

* O/N +0.0008 at 1.9198% (+0.0011/wk)

* 1 Month +0.0240 to 2.1584% (+0.0274/wk)

* 3 Month +0.0026 to 2.3341% (+0.0029/wk) 

* 6 Month +0.0065 to 2.5671% (+0.0256/wk)

* 1 Year  +0.0089 to 2.8734% (+0.0279/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.94% vs. 1.94% prior, $810B

* Broad General Collateral Rate (BGCR): 1.92% vs. 1.92% prior, $434B

* Tri-Party General Collateral Rate (TGCR): 1.92% vs. 1.92% prior, $419B

PIPELINE: $6B AbbVie 4-part launched

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

09/13 $6B #AbbVie $1.25B 3Y +60, $1.25B 5Y +90, $1.75B 10Y +138, $1.75B 30Y +183

09/13 $1B #South Korea $500M each 10Y +60, 30Y +85

09/13 $2.5B *BNG Bank 5Y MS+11

09/13 $2B *African Dev. Bank (AFDB) 5Y MS+5

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

- Sep 14 Aug imports price index (0.0%, -0.2%) 0830ET

- Sep 14 Aug exports price index (-0.5%, --) 0830ET

- Sep 14 Aug retail sales (0.5%, 0.4%) 0830ET

- Sep 14 Aug retail sales ex. motor vehicle (0.6%, 0.5%) 0830ET

- Sep 14 Aug retail sales ex. mtr veh, gas (0.6%, --) 0830ET

- Sep 14 Aug industrial production (0.1%, 0.4%) 0915ET

- Sep 14 Aug capacity utilization (78.1%, 78.3%) 0915ET

- Sep 14 Sep Michigan sentiment index (p) (96.2, 97.0) 1000ET

- Sep 14 Jul business inventories (0.1%, 0.6%) 1000ET

- Sep 14 Q3 St. Louis Fed Real GDP Nowcast (+4.33%, --) 1100ET

- Sep 14 Q3 NY Fed GDP Nowcast (+2.2%, --) 1115ET

Eurodollar/Treasury Option Summary

- Reminder, lead September Eurodollar futures and options expire Friday

(technically, futures and front Sep options expire Mon morning at 6:00 am ET

while Red through Purple midcurves expire at 5:00 pm ET Fri). Despite

significant position unwind effort to avoid pin risk last couple weeks, large

amount of open interest remains. Final OI coming into session according to CME

Group Data below:

-- Sep quarterly OI: 3,874,680 (1,540,706 calls, 2,333,974 puts);

-- Sep 1yr midcurve (Red) OI: 2,702,166 (1,352,136 calls, 1,350,030 puts);

-- Sep 2yr midcurve (Green) OI: 2,116,190 (891,830 calls, 1,224,360 puts);

-- Sep 3yr midcurve (Blue) OI: 709,672 (381,150 calls, 328,522 puts);

-- Sep 4yr midcurve (Gold) OI: 53,241 (37,555 calls, 15,686 puts);

That's a total of 9,455,949 options (3,874,680 in fronts, 5,581,269 total

midcurves) coming off the sheets.

Eurodollar options, Pit/Screen: 

* 8,000 Short Mar 67 puts at 10 vs 9689/0.36%

Block, 14:28:24ET

* -27,950 Green Dec 67 puts at 5 vs 9692/0.30%

* 16,000 Short Mar 65/67 put sprd vs Short Mar 73 calls for net 2.5

* +13,500 Red Dec 68 Straddle at 45

* 5,000 Short Nov 71/73/76 call fly at 1.5

Block, 12:24:18ET

* 20,000 Short Dec 67/68 2x1 put sprd at 1 vs 9688/0.10%

* +20,000 Red Mar 77/78 1x2 call spds, 1.25

* -6,000 long Green Jun 60/70/80 iron flys, 62.0

* 6,000 Jun 67/68 put spds, 0.5 over the Jun 75 calls

* 2,500 Jun 70/71/72/73 put condors, 4.5

* +4,000 short Oct 70 straddles, 15.0

* +2,500 Green Nov 67/68 put spds 2.25 over the Green Nov 71/72 call spds

* -5,000 short Sep 68 puts, 3.5

* total -10,000 Green Sep 68 puts, 0.5

* 4,000 Jun 75 Puts at 3 vs 9703.5/0.20%

* 15,000 Green Sep 68 puts at 1 vs 9690/0.28%, note earlier 6.5k at 0.5 vs

9693/0.15%

* 4,000 Short Oct 71 calls at 1 vs 9688/0.10%

* 4,000 Short Sep 68/70 call over risk reversal at 0 vs 9695/0.16%

* 4,000 Short Sep 67/68/72/73 Call Condor at 12 vs 9694/0.10%

* 4,000 Short Oct 70 Straddle at 15

* 5,000 Green Sep 70 calls at 0.5 vs 9694/0.18%

* 4,000 Jun 67/68 put sprd vs Jun 75 calls for net 0.5 vs 9703.5/0.26%

* 5,000 Nov 73 Straddle at 8.5

* 3,000 Short Oct 65/67/70 put fly at 9.5

UPDATE: Total -12,500 Dec 73/75 put sprd at 9.5 vs 9693.5/0.25%

UPDATE: Total 10,000 Short Oct 68 Straddle at 12

* 10,000 Dec 73/75 put sprd at 9.5 vs 9693.5/0.25%Block, 0835:30ET

* 11,859 short Mar 63/66/68 put flys, 2.0

Note, this adds to Wed's MASSIVE Block of 200,000 broken put flys ... 1.2

million option package mostly at 1.75 on splits. In-line w/GS reiterating their

3 hikes call for 2019 after a total of 4 this year

* 5,000 Short Nov 68 puts at 6.5 vs 9692/0.42%

* 5,000 Short Mar 66 puts at 6.5 vs 9684.5/0.10%

Block, 07:26:35ET

* 7,500 Dec 75/76/77 call fly for net 0.75

Block, 07:05:13ET

* 5,000 Short Dec 66/68 put sprd at 8

Tsy options, Pit/screen:

* 3,000 TYX 120.5 calls, 11/64 vs. 119-14/0.20%

* >-20,000 FVV 113.25 puts from 28/64 down to 25.5/64

* +2,500 FVV 113 calls, 5.5/64

* -2,000 TYV 118/119 put spds, 4/64

* -1,000 TYZ 119.5 straddles, 1-27/64

* 1,500 FVV 112.5 puts, 2/64

* 1,1650 FVZ 111/111.5/112 2x1x1 put trees, 0.5/64 net

* 5,000 FVZ 112.25/112.75 2x1 put spds, 1/64 vs. 112-30

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

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