US TSYS: RATES/EQUITIES ERSPOND NEGATIVELY TO HAWKISH CUT/ANNC

US TSY SUMMARY: In brief: FOMC deliver second 25bp rate cut in as many Fed

policy meetings, "Hawkish" cut saw front end rates and equities sell-off (Late

program buying in equities buoyed stocks, particularly bank shares). Fed chair

gave no quarter to all those suggesting asset purchases would be anncd today,

though as he suggested, we'll probably figure out over the next 6 weeks whether

they should have gone further in taking action on the funding situation. Took

great pains to disassociate this week's problems with real economic impact /

monpol.

- Eurodollar futures see Big reversal in short end as prospect for further cuts

into year end diminish EDZ9 w/8.0 bps range. Indicative of latest funding

pressure, swap spds hammered, 2Y spd makes new inverted low of -4.06. 

- N.Y. FED TO CONDUCT REPO OPERATIONS FROM 8:15-8:30AM THU -- "in order to help

maintain the federal funds rate within the target range of 1-3/4 to 2%...for up

to an aggregate amount of $75B." Like today's operation, Thursday's likely to be

oversubscribed (and more aggressively).

- The 2-Yr yield is up 3.1bps at 1.7559%, 5-Yr is up 1.5bps at 1.6728%, 10-Yr is

down 0.7bps at 1.7944%, and 30-Yr is down 2.4bps at 2.2442%.

US TSY FUTURES CLOSE: Well off highs, futures trade mixed after "hawkish cut"

from Fed, second rate cut in as many sessions. Short end and equities didn't

like forward guidance -- odds of further cuts in Oct and or Dec evaporate. Yld

curves mostly flatter, Update: 

* 3M10Y  +2.388, -15.698 (L: -21.894 / H: -14.149)

* 2Y10Y  -3.918, 3.321 (L: 1.963 / H: 8.438)

* 2Y30Y  -4.796, 49.114 (L: 46.627 / H: 55.395)

* 5Y30Y  -3.095, 57.783 (L: 56.015 / H: 61.596)

Current futures levels:

* Dec 2-Yr futures down 0.125/32 at 107-18.125 (L: 107-15.75 / H: 107-22.875)

* Dec 5-Yr futures steady at at 118-19.25 (L: 118-15.75 / H: 118-30.5)

* Dec 10-Yr futures up 2/32 at 129-11 (L: 129-06 / H: 129-27.5)

* Dec 30-Yr futures up 17/32 at 159-30 (L: 159-10 / H: 160-24)

* Dec Ultra futures up 1-3/32 at 187-21 (L: 186-15 / H: 188-31)

US EURODLR FUTURES CLOSE: Steady/mixed in the short end to modestly higher out

the strip. Big reversal in short end as prospect for further cuts into year end

diminish. Current White pack (Dec 19-Sep 20): 

* Dec 19 -0.015 at 97.955 vs. 98.035 high

* Mar 20 -0.005 at 98.260 vs. 98.310 high

* Jun 20 steady00 at 98.380

* Sep 20 +0.010 at 98.465

* Red Pack (Dec 20-Sep 21) +0.015 to +0.020

* Green Pack (Dec 21-Sep 22) +0.015 to +0.020

* Blue Pack (Dec 22-Sep 23) +0.015 to +0.020

* Gold Pack (Dec 23-Sep 24) +0.020 to +0.025

US DOLLAR LIBOR: Latest settles

* O/N +0.0304 at 2.1853% (+0.0904/wk)

* 1 Month -0.0128 to 2.0443% (+0.0193/wk)

* 3 Month -0.0084 to 2.1334% (+0.0163/wk)

* 6 Month -0.0037 to 2.0815% (+0.0112/wk)

* 1 Year -0.0009 at 2.0645% (+0.0154/wk)

US SWAPS: *** Indicative of latest funding pressure -- short end 2Y swap spd

inverts/makes new all-time low.

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

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

1415        +0.88/+0.44    +0.25/-5.25   +0.19/-11.31   -0.50/-42.00

1330        +0.25/-0.19    +0.19/-5.31   +0.00/-11.50   -0.88/-42.38

1145        +0.62/+0.19    +0.50/-5.00   +0.31/-11.19   -0.50/-42.00

0930        +1.00/+0.56    +0.56/-4.94   +0.50/-11.00   -0.12/-41.62

Wed Open    +1.19/+0.75    +1.06/-4.44   +0.56/-10.94   +0.25/-41.22

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): 5.25%, $1.177T

* Broad General Collateral Rate (BGCR): 5.25%, $533B

* Tri-Party General Collateral Rate (TGCR): 5.25%, $509B

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

19-Sep Fed exits media blackout

19-Sep 0830 14-Sep jobless claims (204k, 213k)

19-Sep 0830 Q2 current account balance (-$130.4B, -$127.4B)

19-Sep 0830 Sep Philadelphia Fed Mfg Index (16.8, 10.5)

19-Sep 1000 Aug existing home sales (5.42m, 5.38m)

19-Sep 1000 Aug leading indicators (0.5%, 0.1%)

19-Sep 1030 13-Sep natural gas stocks w/w

19-Sep 1300 US Tsy $12B 10Y TIPS auction (9128287D6)

19-Sep 1630 18-Sep Fed weekly securities holdings

PIPELINE: High Grade issuance evaporates ahead FOMC

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

09/18 Nothing new in the pipeline yet

-

$3.5B priced Tuesday, $11.75B total/wk

09/17 $1.5B *Royal Bank of Canada 3Y +31

09/17 $1B *Council of Europe Development Bank (COE) 3Y +11

09/17 $1B *Landwirtschaftliche Rentenbank (RENTEN)2Y +7

Eurodollar/Tsy options: 

Eurodollar: 

* -20,000 Jun 90 calls, 7.0-6.5

* +10,000 Dec 81/82 call spds, 2.5

* Update, total +30,000 Dec 82/83/85/87 call condors, 0.75

* -15,000 Oct 78/80 strangles, 6.0

* +7,500 Oct 77 puts, 0.5

* -6,000 Jun 90 calls, 6.5

* 5,000 Dec 81/82 call spds, 2.5

* 5,000 Mar 78/81/82 broken put flys, 0.75

* +18,500 Dec 80/81/82 call flys, 1.25-1.5

* +5,000 Dec 77 puts, 2.0

* +3,000 Red Jun 71/77 2x1 put spds, 3.5

* +10,000 Jun 97/100 1x2 call spds, cab (closer, paper bought near 20k EDM 97

calls yesterday w/OI declining appr 15k, while Jun par calls -- a hot item

during the summer on ZIRP insurance buying, a closer as well w/OI> 217k)

* +3,000 short Jun 80/90 call over risk reversals, 3.5 vs. 98.505/0.44%

* +3,000 Dec 81/82/83 call flys, 1.0

* -2,500 Jun 87/88 call strip, 20.5

* -2,500 Mar 78/81/82 put flys, 1.0

* -2,500 Jun 75/78/83 2x3x1 put flys, 13.0/wings over vs. 98.39/0.12%

* -2,500 Oct 82 calls, 1.5

* -2,500 Sep 90 calls, 11.0

* -6,500 Dec 82 calls, 4.75 vs. 97.99/0.23%

* 6,500 Dec 82 calls, 4.75 vs. 97.99/0.23%

Additional trade since the open:

* -10,000 Mar 80/83 call over risk reversals, 8.5 vs. 98.27/0.66%

* +8,000 Jun 96/98 call spds, 1.0

* -1,500 Dec/Mar 80 straddle strip, 60.0

Block, 0729:49ET,

* -5,000 Mar 78/81/82 put flys, 1.25

Tsy options:

* +8,000 FVV 118/118.5 put spds, 3.5/64 on screen

* -2,000 FVX 118/119 2x1 put spds, 12/64

* 5,000 TYV 131 call/131.25 put guts, 1-38/64

* 6,000 TYV 129.5/TYX 129 put spd, 21/64/Nov over

* 5,000 TYX 130 calls, 45/64 vs. 129-20.5/0.44%

* 2,000 FVX 117 puts, 4/64 on screen

* 2,500 wk4 TY 129/129.5 put spds, 12/64

* 1,000 TYX 129/130.5 3x2 put spds, 63/64

* 1,000 TYV 129.5 puts, 16/64 vs. 129-20.5

* +2,500 TYV 130 calls, 9/64  vs. 129-16.5 to -17 earlier

* 5,000 TYV 127.5/128.25 2x1 put spds on screen, 0.0

* Update, over +6,500 TYX 127/131.5 call over risk reversals, 5/64 vs. 129-17.5

Block, 0844:37ET,

* 40,000 FVV 119 calls, 6/64 vs.

* 40,000 wk4 FV 119 calls, 12/64 vs.

* 2,400 FVZ 118-24

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

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