US TSYS: US RATES MIRROR EGB YLD DECLINE, MUTED WK OPENER

US TSY SUMMARY: US rates bid but well off late morning highs on a rather muted

week opener, yld curves steeper/well off flatter levels in first half. Equities

on session highs (ESZ9 +10.0), crude firmer (WTI +.40), Gold stronger (+6.35).

- Early Tsys rally mirrored EGBs after weaker than expected French, German and

Eurozone flash PMI. Tsys held narrow range through midmorning, gaining on mixed

US Markit PMI manufacturing/services data. Fed speak: StL Fed Bullard would cut

another 25bp, citing trade war and willingness to "take out some insurance

against" potential slowdown. On  flipside, StL Fe Williams said Fed "should

conserve firepower," as "reducing policy room may prompt risky QE in downturn."

- Unexpected pick-up supra-sov issuance w/Abu Dhabi issuing $10B 3-part debt.

Week note auctions resume Tue w/$40B 2Y. Early front to intermediate receiving

gave way to rate paying across the curve. 

- Quick O/N repo operation interest receding w/$65.750B submitted vs. $75.550B

Fri ($83.875B high on Thu). The 2-Yr yield is down 1bps at 1.6729%, 5-Yr is down

1.3bps at 1.587%, 10-Yr is down 1bps at 1.7111%, and 30-Yr is down 0.1bps at

2.1602%.

US TSY FUTURES CLOSE: Bid after the bell but continuing to slip off late morning

highs, yld curves bounce off flatter levels in first half. Update: 

* 3M10Y  +0.685, -18.402 (L: -24.432 / H: -14.732)

* 2Y10Y  +0.349, 3.579 (L: 1.706 / H: 4.514)

* 2Y30Y  +1.072, 48.314 (L: 45.708 / H: 49.313)

* 5Y30Y  +1.007, 56.983 (L: 48.249 / H: 58.675)

Current futures levels:

* Dec 2-Yr futures up 1.75/32 at 107-21.375 (L: 107-19.125 / H: 107-24.50)

* Dec 5-Yr futures up 5.75/32 at 118-29.25 (L: 118-22 / H: 119-05.50)

* Dec 10-Yr futures up 10.5/32 at 130-0.5 (L: 129-18.5 / H: 130-13.5)

* Dec 30-Yr futures up 20/32 at 161-16 (L: 160-16 / H: 162-16)

* Dec Ultra futures up 1-7/32 at 190-15 (L: 188-26 / H: 192-07)

US EURODLR FUTURES CLOSE: Bid across the strip after the bell, near midrange

with support evaporating gradually through second half. Current White pack (Dec

19-Sep 20): 

* Dec 19 +0.025 at 98.025

* Mar 20 +0.030 at 98.285

* Jun 20 +0.035 at 98.40

* Sep 20 +0.035 at 98.485

* Red Pack (Dec 20-Sep 21) +0.040 to +0.050

* Green Pack (Dec 21-Sep 22) +0.045

* Blue Pack (Dec 22-Sep 23) +0.045 to +0.050

* Gold Pack (Dec 23-Sep 24) +0.035 to +0.040

US DOLLAR LIBOR: Latest settles

* O/N -0.0210 at 1.8475% (-0.2263 last wk)

* 1 Month -0.0181 to 2.0183% (+0.0115 last wk)

* 3 Month -0.0283 to 2.1062% (-0.0049 last wk)

* 6 Month -0.0118 to 2.0585% (+0.0001 last wk)

* 1 Year -0.0316 at 2.0333% (+0.0159 last wk)

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

* Daily Effective Fed Funds Rate: 1.90%, volume: $59B

* Daily Overnight Bank Funding Rate: 1.85%, volume: $160B

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

* Secured Overnight Financing Rate (SOFR): 1.86%, $1.121T

* Broad General Collateral Rate (BGCR): 1.85%, $504B

* Tri-Party General Collateral Rate (TGCR): 1.85%, $490B

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

24-Sep 0830 Sep Philadelphia Fed Nonmfg Index (21.4, --)

24-Sep 0855 21-Sep Redbook retail sales m/m

24-Sep 0900 Jul FHFA Home Price Index (0.2%, 0.3%)

24-Sep 0900 Jul Case-Shiller Home Price Index (0.04%, 0.10%)

24-Sep 1000 Sep Richmond Fed Mfg Index (1, 1)

24-Sep 1000 Sep Conference Board confidence (135.1, 133.0)

24 Sep 1300 US Tsy $40B 2Y Note auction (912828YJ3)

PIPELINE: $10B Abu Dhabi 3-part jumbo leads; waiting for KDB to price

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

09/23 $10B #Abu Dhabi $3B 5Y +65, $3B 10Y +85, $4B 30Y +110

09/23 $1B #Korean Development Bank (KDB) $500M 3Y +47.5, $500M 5Y +60

09/23 $300M #PACCAR Financial WNG 3Y +45

09/23 $Benchmark Codelco 10Y +130, 30Y +155

09/23 $330M Union Electric 30Y +125a

09/23 $300M Camden Property Trust WNG 30Y +140a

Later in week:

09/24 $Benchmark Kommunivest 3Y +17a

09/?? $Benchmark IDB Invest roadshow

-

$1.75B priced Friday, $24.7B/wk

09/20 $1.25B *Province of British Colombia 5Y +21a

09/20 $500M *European Bank for Reconstruction and Development (EBRD) 5Y +15

Eurodollar/Tsy options: 

Eurodollar Options:

* +20,000 Oct 80/892 2x1 put spds, 4.25

* +5,000 Jun 90/91 call spds, 2.0

* -5,000 Oct 76/78/80/81 put condors, 7.0

Block, 0826:07ET, adds to +15k at 1.0 in pit

* +10,000 Dec 86/90 call spds, 1.25 vs. 98.07/0.05

* Update, total +12,000 short Mar 87/90/91 call tree w/short Mar 88/91/92 call

tree, 1.0 total

* total 5,000 Dec 81/82/83 call trees, cab-0.0

* +5,000 Mar 91/95 1x2 call spd w/Mar 90/93 1x2 call spd strip, 1.5 total

* +10,000 Dec 83/86/87 call flys, 1.0

* +7,500 Mar 86/92 call spd w/Mar 87/93 call spd, 10.5 total

* +5,000 Mar 92 calls, 2.0

* 2,500 Dec 81/82/83 call trees, cab

* Update, total -15,000 Dec 77/81 call spds 19.5 over Dec 77 puts vs.

98.02/0.63%

* -10,000 Dec 77/81 call spds 19.5 over Dec 77 puts

* 3,000 short Dec 83 puts, 9.5 vs. 98.515

* -4,000 Jun 95/98 call spds, 1.25

* 1,300 Green Oct 83/86 2x3 call spds, 23.5

* 1,300 Green Nov 86/88 2x3 call spds, 8.5

Block, 0826:07ET, adds to earlier +6k block

* +20,000 Dec 77 puts, 1.5

Overnight trade includes

* -15,000 Oct 82 calls, 1.25

* +15,000 Oct 83 calls, 0.50

* +20,000 Oct 80/81 2x1 put spds, 4.25

* +6,000 Dec 77 puts, 1.5 Block

* +11,000 Green Oct 90 calls, 1.5

* 5,000 Green Oct 88 calls, 2.5

* +6,000 Green Mar 73 puts. 0.5

Tsy options:

* +28,500 FVX 113 puts, 0.5/64

* 11,000 TYX 137.25 calls, 1/64

* +10,350 TYX 123.5/123.75 put strips, 2/64

* -3,000 FVZ 120 calls, 18

* +18,000 FVX 115.5 puts, 1/64 on screen

* +10,000 TYX 128/129 put spds, 10/64 vs. 130-13.5/0.12%

* +4,000 TYX 130/131 1x2 call spds, 5.0

* Update, +10,000 USX 167/USZ 171 call spds, 5- to 4/64 net

Overnight trade, including earlier Block

* 5,000 TYX 130 calls, 44/64

* 5,000 FVZ 119.25 calls, 27.5- to 30.5/64

* +15,000 USX 159/165 put over risk reversals, 6/64 vs. 161-25/0.54% Block at

0416ET

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

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