US TSYS: TSY CURVES FLATTER PARING THIS WEEKS LARGE STEEPENING

US TSY SUMMARY: Tsy trading mildly higher into the bell, middle of the range

with strong volume (TYZ 1.45M), Curves flatter today but having pared loses this

afternoon; This afternoons 9Y-10M TIPS auction high yld at .910% vs a WI bid at

.902% prior, the highest 10Y TIP award this year was .934% in May; Data out

today included US Leading Index which came in just off expectations while

Existing Home Sales came in weaker than expected; Philly Fed came in much

stronger than expected at +22.9 vs +18.0 expected, Initial Jobless Claims came

in lower than expected at 201k vs 210k expected, US Tsy fell slightly on the

release.

-US$ fell today DXY -.639, 93.898 (93.829L/94.563H), $/Eur higher +0.0107 at

1.1780, $/Yen up +.17 112.45; equities saw large gains making new session highs

after the bell (emini +23.50, 2938.50 vs. 2940.75H); Gold up slightly (XAU

+3.50, 1207.54); West Texas crude down(WTI -0.32, 70.80).

-Tsy cash/ylds: 2Y 99-21 (2.803%), 5Y 99-01.5 (2.957%), 10Y 98-10.5 (3.070%),

30Y 96-01 (3.206%).

US TSY FUTURES CLOSE: Trading higher in the middle of the range, strong volume

(TYU 1.44M), curves flatter but have pared loses; update:

* 2s10s -0.339, 26.432 (24.945L/27.542H);

* 2s30s -1.271, 40.218 (38.711L/42.474H);

* 5s30s -1.212, 24.958 (24.469L/26.838H);

Current futures levels:

* Dec Ultra bonds up 22/32 at 153-30 (153-03L/154-11H)

* Dec 30-yr Bond futures up 13/32 at 140-10 (139-24L/140-19H)

* Dec 10-yr futures up 1.5/32 at 118-19.5 (118-14L/118-23.5H)

* Dec 5-yr futures up 0.25/32 at 112-12 (112-9.25L/112-14.75H)

* Dec 2-yr futures up 0.25/32 at 105-10.75 (105-9.5L/105-11.75H)

US EURODOLLAR FUTURES CLOSE: Trading lower with a parallel shift across the

strip, near the bottom of a tight range, strong volume continues throughout the

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

* Dec'18 -0.020 at 97.330

* Mar'19 -0.020 at 97.150

* Jun'19 -0.015 at 96.990

* Sep'19 -0.010 at 96.900

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

* Green pack (Sep'20-Jun'21) -0.015-0.010

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

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

US DOLLAR LIBOR: Latest settles,

* O/N -0.0012 to 1.9174% (+0.0023 wk)

* 1 Month +0.0298 to 2.2122% (+0.0475 wk)

* 3 Month +0.0130 to 2.3664% (+0.0293 wk)

* 6 Month +0.0131 to 2.5849% (+0.0161 wk)

* 1 Year +0.0095 to 2.8966% (+0.0164 wk)

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

* Secured Overnight Financing Rate (SOFR): 1.92% vs. 1.94% prior, $794B

* Broad General Collateral Rate (BGCR): 1.90% vs. 1.91% prior, $430B

* Tri-Party General Collateral Rate (TGCR): 1.90% vs. 1.91% prior, $415B

US SWAPS: Latest spd levels:

* 2Y +0.88/18.13

* 5Y +0.88/12.38

* 10Y +0.80/6.49

* 30Y +1.48/-6.03

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

- Sep 21 Sep Markit Services Index (flash) (54.8, --) 0945ET 

- Sep 21 Sep Markit Mfg Index (flash) (54.7, --) 0945ET 

- Sep 21 Aug BLS state payrolls 1000ET 

- Sep 21 Q3 St. Louis Fed Real GDP Nowcast (-- , --) 1100ET 

- Sep 21 Q3 NY Fed GDP Nowcast (--, --) 1115ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 10,000 Dec 77 puts at 42.5, note 2k in pit BLOCK

* 20,000 Dec 75/76 1x2 call sprd at CAB vs 9732/0.10%

* +10,000 Short Nov 66 puts at 1.5

UPDATE: Total +40,000 Short Dec 66 puts at 0.5 over Dec 72 puts

* +20,000 Short Mar 63/67 put sprd with Short Mar 65/67 put sprd for net 19.5

* 10,000 Green Nov 70/72 call sprd with Green Nov 71/73 call sprd for net 4.5 vs

9681.5/0.28%

* 5,000 Front Nov/Front Dec 72 3x2 put sprd at 1.25

* -10,000 Nov 72 puts at 1

* 5,000 Dec 72/73/75 call fly at 4.5

* -4,000 Short Mar 67 Straddle at 32 vs 9680/0.12%

* -5,000 Oct 73 calls at 0.75

* 5,000 Dec 72 puts at 2

* -17,000 Short Dec 67 puts at 5.5 vs 9683.5/0.36%, BLOCK

* -7,500 Dec 73/75 put sprd at 9.5 vs 9685/0.25%, BLOCK

     US TSY OPTIONS

US TSY OPTIONS: Latest trade,

* -10,000 TYX 117.5 at 10

* 10,000 USX 136 puts at 14

* -5,000 TYV 118.25/118.75 put sprd at 15

* 14,000 USX 136 puts at 14

* +2,500 USV 140.5 calls at 6

* +4,000 TY Week 1 119/120 call sprd at 9

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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