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EUROZONE ISSUANCE

EGB Supply for W/C Jul 26

USDCAD TECHS

Pullback Considered Corrective

US TSYS SUMMARY

What a Short, Strange Trip It's Been

GLOBAL POLITICAL RISK

Pfizer, Moderna Jabs Retain High Trust; AZ, Sputnik Lower

AUDUSD TECHS

Trend Indicators Remain Bearish

     
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$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com