US TSYS: RATES SEE-SAW OFF LOWS, HEADLINE RISKS REMAIN

US TSY SUMMARY: Add Wed's impeachment inquiry annc into Pres Trump to US/China

trade and other sundry geopolitical risks supporting safe havens this wk. Rates

continued to see-saw after the bell, retreating after extending session highs as

equities trended lower (eminis drew late buying on lows, ESZ9 -25.0). Gold

traded below 1500.0 in late trade while West Texas crude chopped traded

lower/off lows by the bell.

- Tsys rallied to new session highs into midday, blowing past early overnight

levels on back of US/China headlines. Sellers into the latest move has long end

retracing appr half the move, prop and fast$ selling 10s. 

- Swap spds wider across the curve, 2Y dis-inverts first time since beginning of

the month, sell/hedges ahead next weeks supply helped keep rate bounce in check.

- Thin, whippy trade, accts square up ahead weekend and next week's data that

includes non-farm payrolls.

- The 2-Yr yield is down 1.8bps at 1.6375%, 5-Yr is down 1.3bps at 1.5669%,

10-Yr is down 0.5bps at 1.687%, and 30-Yr is down 0.8bps at 2.1335%.

US TSY FUTURES CLOSE: Nothing like waiting to the last minute of pit trade to

post new session highs...Other than futures, not much trading though, mkts

thin/whippy. See-saw action in rates brings Tsys back near session highs as

equities trend lower: DJIA  down 132.52 points (-0.49%) at 26906.18; S&P E-Mini

Future  down 28.75 points (-0.96%) at 2975; Nasdaq  down 122 points (-1.5%) at

7999.619. Yld curves bull steepen, Update: 

* 3M10Y  +2.148, -11.182 (L: -17.099 / H: -7.984)

* 2Y10Y  +1.471, 4.935 (L: 2.919 / H: 6.198)

* 2Y30Y  +1.445, 49.888 (L: 47.523 / H: 51.055)

* 5Y30Y  +1.191, 57.228 (L: 55.198 / H: 57.669) Current futures levels:

* Dec 2-Yr futures up 1.125/32 at 107-24.25 (L: 107-21 / H: 107-24.625)

* Dec 5-Yr futures up 2.5/32 at 119-5.5 (L: 118-28.75 / H: 119-06.5)

* Dec 10-Yr futures up 2.5/32 at 130-11.5 (L: 129-30 / H: 130-13)

* Dec 30-Yr futures down 1/32 at 162-9 (L: 161-15 / H: 162-13)

* Dec Ultra futures steady at at 191-24 (L: 190-08 / H: 192-00)

US EURODLR FUTURES CLOSE: Steady/mixed, short end reverses early weakness as

probability of third rate cut by year end gains traction (despite Fed Harker

neutral comments: didn't support last week's rate cut, siding w/Fed Williams

that there's no need to "rush to judgement" over current mkt issues). Current

White pack (Dec 19-Sep 20): 

* Dec 19 +0.020 at 98.040

* Mar 20 +0.010 at 98.330

* Jun 20 +0.005 at 98.445

* Sep 20 +0.005 at 98.525

* Red Pack (Dec 20-Sep 21) -0.005 to steady

* Green Pack (Dec 21-Sep 22) -0.01 to -0.005

* Blue Pack (Dec 22-Sep 23) -0.01 to -0.005

* Gold Pack (Dec 23-Sep 24) -0.01 to -0.01

US DOLLAR LIBOR: Latest settles

* O/N -0.0028 at 1.8271% (-0.0414/wk)

* 1 Month -0.0120 to 2.0315% (-0.0050/wk)

* 3 Month -0.0057 to 2.0986% (-0.0360/wk)

* 6 Month -0.0013 to 2.0630% (-0.0074/wk)

* 1 Year +0.0231 at 2.0432% (-0.0218/wk)

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

* Daily Effective Fed Funds Rate: 1.90%, volume: $74B

* Daily Overnight Bank Funding Rate: 1.85%, volume: $158B

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

* Secured Overnight Financing Rate (SOFR): 1.85%, $1.092T

* Broad General Collateral Rate (BGCR): 1.82%, $462B

* Tri-Party General Collateral Rate (TGCR): 1.82%, $434B

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

30-Sep 0900 Sep ISM-Milwaukee Mfg Index

30-Sep 0945 Sep MNI Chicago PMI (50.4, 50.0)

30-Sep 1030 Sep Dallas Fed manufacturing index (2.7, 1.5)

30-Sep 1130 US Tsy $45B 13W note auction (912796RT8)

30-Sep 1130 US Tsy $42B 26W note auction (912796TM1)

30-Sep 1200 16/17 grain stocks

PIPELINE: Quiet end to week

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

09/27 No new high grade issuance Friday, $23.93B priced on week

-

$700M priced Thursday

09/26 $700M *Black Hills 10Y +140, 30Y +175

-

$2.55B priced Wednesday, $23.23B/wk

09/25 $1.25B *Province of Ontario 10Y +47

09/25 $800M *Atmos Energy $300M 10Y +90, $500M 30Y +120

09/25 $500M *Duke Energy Indiana 30Y +120

Eurodollar/Tsy options: 

Eurodollar Options:

* +5,000 short Jan 91/93/96 call trees 0.5 over Dec 86 calls

* +5,000 Dec 81/82/83/86 call condors, 1.5

* +4,000 Dec 81/82 call spds, 2.75

* +3,500 Jun 90/95 call spds, 4.5

* +8,000 Dec 85 calls, 1.75

* -2,500 Oct 78/80 put spds, 2.0

* 9,700 Jun 83/85 call spds, screen

* +25,000 Green Nov 82 puts, 2.5

* +10,000 Green Nov 77/80/82 put flys, 1.25

* +5,000 Dec 77 puts, 1.25 (bought vs. Dec 81 call earlier on 6x1 ratio)

* -4,000 Mar 80/82 3x2 put spds, 15.5 vs. 98.295/0.16%

* -2,000 Blue Dec 86 straddles, 31.0

* Update, total +45,000 Mar 81/82 put spds, 6.0 vs. 98.29/0.13%

* Block: 10,000 Green Nov 82/83/85 put flys, 2.0 net at 0836:10ET

* +2,500 Dec 81/82/83/85 call condors, 2.0

* 5,000 short Oct 81/82 put spds, 1.0

* 6,000 Dec 77 puts vs. 1,000 Dec 81 call, 2.0 net package

* +4,000 Dec 76/78 put spds, 3.5 vs. 98.01

Tsy options:

* Over 6,000 TYZ 132 calls, 28/64 screen

* +2,000 TYZ 128/132 strangles, 43/64

* +1,100 TYX 131.5 calls, 20/64

* +1,000 TYX 128.5 puts, 11/64

* +20,000 TYX 128.75/131.25 combos

* -9,000 USX 167 calls 2-3 over USZ 171 calls

* over 3,000 TYX 127/127.5/128/128.5 put condors, 3/64

* +1,000 TYX 128/130.5/132 iron flys, 61/64 vs. 129-29.5/0.24%

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

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