US TSYS: TO IMPEACH OR NOT TO IMPEACH, LARGE RISK-OFF RALLY

US TSY SUMMARY: The "I"s have it? Impeachment probe gains traction, spurs late

rate rally. We shall see if buy rumor sell the fact holds true, but Democrat

move has little bite without Senate. Tsys well bid after the bell but off late

session highs on choppy trade tied to headline risk: Trump to release Ukraine

call transcript spurred short lived risk-off unwind; Speaker Pelosi going ahead

w/impeachment according to Washington Post pushed rates to new session highs.

Equities trade weak late (ESZ9 -35), Oil weaker (WTI -1.35), Gold strong

(+11.5).

- Overall volumes rather moderate (TYZ only 1.5M), market taking political risk

in stride it appears. 

- Incoming supply: strong US Tsy $40B 2Y note auction (912828YJ3) awarded a

1.612% rate (1.516% in Aug) vs. 1.620% WI, bid/cover 2.64 vs. 2.60 previous

(2.83 avg). Corporate issuance strong again w/$6.25B adding to Mon's $13.930B.

- Short end Eurodollar spds flatten, EDZ9/EDZ0 -0.060, appears rate cut chances

moving out to early 2020.

- The 2-Yr yield is down 6.8bps at 1.6132%, 5-Yr is down 8.8bps at 1.514%, 10-Yr

is down 9bps at 1.637%, and 30-Yr is down 7.9bps at 2.0939%.

US TSY FUTURES CLOSE: Well bid after the bell but off late session highs on

choppy trade tied to headline risk: Trump to release Ukraine call transcript

spurred short lived risk-off unwind; Speaker Pelosi going ahead w/impeachment

according to Washington Post pushed rates to new session highs. Update: 

* 3M10Y  -11.514, -28.786 (L: -30.074 / H: -22.498)

* 2Y10Y  -1.63, 2.509 (L: 0.925 / H: 4.066)

* 2Y30Y  -0.479, 48.278 (L: 45.754 / H: 48.969)

* 5Y30Y  +1.065, 57.983 (L: 55.226 / H: 58.621)

Current futures levels:

* Dec 2-Yr futures up 4.75/32 at 107-26.5 (L: 107-20.875 / H: 107-27.25)

* Dec 5-Yr futures up 12/32 at 119-10.75 (L: 118-27.75 / H: 119-12.5)

* Dec 10-Yr futures up 18/32 at 130-20.5 (L: 129-29.5 / H: 130-24.5)

* Dec 30-Yr futures up 1-10/32 at 162-31 (L: 161-06 / H: 163-06)

* Dec Ultra futures up 1-29/32 at 192-22 (L: 189-26 / H: 193-02)

US EURODLR FUTURES CLOSE: Also well bid across the strip after the bell, near

session highs. Short end lagging rally, appears probability of more rate cuts

deferred to early 2020. Current White pack (Dec 19-Sep 20): 

* Dec 19 +0.025 at 98.050

* Mar 20 +0.065 at 98.360

* Jun 20 +0.080 at 98.490

* Sep 20 +0.090 at 98.585

* Red Pack (Dec 20-Sep 21) +0.080 to +0.090

* Green Pack (Dec 21-Sep 22) +0.080

* Blue Pack (Dec 22-Sep 23) +0.075 to +0.080

* Gold Pack (Dec 23-Sep 24) +0.075 to +0.075

US DOLLAR LIBOR: Latest settles

* O/N -0.0055 at 1.8420% (-0.0265/wk)

* 1 Month +0.0275 to 2.0458% (+0.0094/wk)

* 3 Month +0.0067 to 2.1129% (-0.0216/wk)

* 6 Month +0.0045 to 2.0630% (-0.0073/wk)

* 1 Year -0.0041 at 2.0295% (-0.0357/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%, $1.140T

* Broad General Collateral Rate (BGCR): 1.82%, $490B

* Tri-Party General Collateral Rate (TGCR): 1.82%, $470B

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

25-Sep 0700 20-Sep MBA Mortgage Applications (-0.1%, --)

25-Sep 0800 Chi Fed Pres Evans on Eco outlook/mon-pol, Q&A

25-Sep 0900 Aug bldg permits revision

25-Sep 1000 KC Fed Pres George, Senate Bank Comm, pmt system, text

25-Sep 1000 Aug new home sales (635k, 657k)

25-Sep 1030 20-Sep crude oil stocks ex. SPR w/w

25 Sep 1130 US Tsy $18B 2Y FRN auction (9128287D6), Re-open

25 Sep 1300 US Tsy $41B 5Y Note auction (912828YH7)

25-Sep 1900 Dallas Fed Pres Kaplan, eco update, Q&A 

PIPELINE: Waiting for SMFG, CIT to price

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

09/24 $1B #Sumitomo Mitsui Financial Grp (SMFG) 5Y +95, 10Y +115

09/24 $550M #CIT Bank6NC5 +145

09/24 $1.25B *Kommunivest 3Y +15

09/24 $1B *Noble Energy $500M 10Y +150, $500M 30Y +210

09/24 $900M *Thermo Fisher WNG 10Y +110

09/24 $750M *BPCE 10Y +112.5

09/24 $400M *Hudson Pacific Properties 10Y +170

09/24 $400M *KEB Hana Bank 3Y +L+70

Later in week:

09/25 $Benchmark Province of Ontario 10Y +40a

Eurodollar/Tsy options: 

Eurodollar Options:

* Update +62,500 (+30k Blocked) Jan 90 calls, 2.5 vs. 98.36/0.10%

* +40,000 (+30k Blocked) Jan 90 calls, 2.5 vs. 98.36/0.10%

* +10,000 Red Dec 73 puts, 1.5

* Update, over 31,000 Green Mar 80 puts on screen, 2.5-3.0

* 16,000 Mar 88/91 call spds, 2.25

* ongoing sell up to -15,000 Dec 78/80/81 put trees, 4.0

* +10,000 Jun 95/96 call spds1.0 vs. 98.52/0.03%

* +8,000 Dec 86/87 call spds, 0.5 vs. 98.04/0.05%

* 6,000 Oct 80/81 2x1 put spds, 4.5 vs. 98.01/0.11%

* +5,000 Mar 91/93 call spds, 1.25

* -1,000 Red Mar 86 straddles, 63.0

* 7,000 Mar 91/93 call spds, 1.25

* +4,000 Dec 81/83/86 call flys, 3.25

* +5,000 Green Nov 81 puts, 1.0

* -4,000 Green Oct 87 calls, 4.0 vs. 98.62/0.25%

* -11,000 Jun 78/82 2x1 put spds, 8.0 vs. 98.395/0.17%

* total 5,000 Nov 80/81/82 call trees 1.0 over Nov 77 puts

* +4,000 short Oct 83/85 2x1 put spds, 2.0 on screen

* +6,000 Oct 80/81 2x1 put spds, 4.25 vs. 98.01/0.11%

* near +50,000 short Nov 81/82 put spds, 2.5-2.0

* +12,000 Green Mar 80 puts, 3.0

* +37,500 Mar 88/91 call spds 0.5 over the Dec 85 calls

* +12,000 Dec 83/86/88 call flys, 1.0

Tsy options:

* 5,000 TYX 129/130.5 put spds 33/64 vs.

* 11,000 TYX 131.25 calls, 32/64

* over +35,000 (7k on screen) TYX 123.25 puts, 1/64

* 4,000 FVZ 119.75 calls, 25.5/64 vs. 119-05.7

* 5,000 TYX/TYZ 131 call spd, 17/64 net/Dec over

* 4,000 TYX/TYZ 132 call spd, 15/64 net/Dec over

* 5,000 TYX/TYZ 129 put spd, 13/64 net/Dec over

* +37,300 FVZ 115 puts, 1.5/64 still offered

* -5,800 FVX 117/117.5/118.5/119 put condors, 9.5-10 earlier

Block, 1126:02ET,

* 13,634 TYZ 132/133 call spds, 13/64

* +24,000 USX 141/141.5 put strip, 2/64 -- looking for more

* -10,000 TYX 128.5/132 strangles, 26/64

* another +8,000 TYX 128/129 put spds, 13/64 adds to 9k on screen ahead open

* +3,000 TYV 126 puts, 3/64 vs. 130-02

* +9,000 TYX 128/129 put spds on screen ahead the opening bell, 13/64

Earlier screen trade includes

* additional 10,000 TYX 129 puts in small bits from 23- to 26/64

* 8,000 TYX 132 calls, 12/64

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

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