US TSYS: US TSY CURVES CONTINUE LARGE STEEPENING

US TSY SUMMARY: Tsys trading moderately lower into the bell, in the bottom half

of the range, strong volume (TYZ 1.72M). Curve steepening continued today as

2s10s steepened by 1.8bps to over 27 while 5s30s jumped 2.0bps to over 27, both

approaching their 50 day moving averages. Light data today as US Housing Starts

come in much stronger than expected (1282k vs 1238 expected) and Building

Permits come in much weaker than expected (1229k vs 1320k expected). Looking

ahead to FOMC, Sept is priced for a hike while Dec continues to move closer to a

hike. With a Sep hike all but certain, CME group has a 83.2% chance of a Dec

hike to bring the rate to 2.25%-2.50%. MNI's Pinch Model has a 90.2% chance of a

Dec hike given a Sep hike.

-US$ lower DXY -.105, 94.535 (94.320L/94.727H), $/Eur slightly slightly higher

+0.0007 at 1.1667, $/Yen lower -.10 112.26, (112.16L/112.36H); equities higher

(emini +1.25, 2913.00 vs. 2918.75H); Gold up (XAU +5.40, 1203.78); West Texas

crude higher (WTI +1.31, 71.16).

-Tsy cash/ylds: 2Y 99-21 (2.803%), 5Y 99-1.25(2.958%), 10Y 98-08 (3.079%), 30Y

95-18 (3.232%).

US TSY FUTURES CLOSE: Trading moderately lower near the bottom of the range,

strong volume (TYU 1.72M), curve steepening; update:

* 2s10s +1.795, 27.009 (23.851L/27.480H);

* 2s30s +2.672, 42.512 (38.316L/43.116H);

* 5s30s +2.155, 27.667 (24.931L/27.909H);

Current futures levels:

* Dec Ultra bonds down 1-00/32 at 153-10 (152-30L/154-15H)

* Dec 30-yr Bond futures down 21/32 at 139-31 (139-23L/140-23H)

* Dec 10-yr futures down 06.5/32 at 118-19 (118-16L/118-27H)

* Dec 5-yr futures down 03/32 at 112-12.25 (112-10.5L/112-16.25H)

* Dec 2-yr futures down 0.75/32 at 105-10.75 (105-10L/105-11.75H)

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

white and red pack, at the bottom of a tight range; Strong volume with EDZ9

leading in volume >366K. Current White pack (Sep'18-Jun'19):

* Dec'18 -0.020 at 97.350

* Mar'19 -0.015 at 97.170

* Jun'19 -0.015 at 97.005

* Sep'19 -0.015 at 96.910

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

* Green pack (Sep'20-Jun'21) -0.025-0.020

* Blue pack (Sep'21-Jun'21) -0.025-0.020

* Gold pack (Sep'22-Jun'22) -0.030

TECHNICALS: 

US DOLLAR LIBOR: Latest settles,

* O/N -0.0003 to 1.9186% (+0.0035 wk)

* 1 Month +0.0171 to 2.1824% (+0.0177 wk)

* 3 Month +0.0159 to 2.3534% (+0.0163 wk)

* 6 Month +0.0039 to 2.5718% (+0.0030 wk)

* 1 Year +0.0076 to 2.8871% (+0.0069 wk)

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

* Secured Overnight Financing Rate (SOFR): 1.94% vs. 2.00% prior, $819B

* Broad General Collateral Rate (BGCR): 1.91% vs. 1.97% prior, $424B

* Tri-Party General Collateral Rate (TGCR): 1.91% vs. 1.97% prior, $412B

US SWAPS: Latest spd levels:

* 2Y +0.05/16.65

* 5Y -0.05/11.58

* 10Y -0.14/5.74

* 30Y -0.39/-7.60

     PIPELINE: $500M IADB priced, upsized $750M ADB launched

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

09/20 $500M *IADB 4Y flat

09/20 $750M ADB 10y +11, upsized from $500M/launched

09/20 Rabobank 5Y fix +112.5, 5Y FRN Libor equiv

09/20 $500M BOC Aviation 5Y FRN Libor +112.5

09/20 $500M Interstate P&L WNG 10Y +115a

09/20 $500M Southern Carolina Gas long 30Y +120a

On tap....

09/21 World Bank 5Y global, MS+3

09/21 Wells Fargo 1.5Y FRN

09/21 $1.5B Dexia 5Y MS +32

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

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

- Sep 20 15-Sep jobless claims (204k, 208k) 0830ET 

- Sep 20 Sep Philadelphia Fed Mfg Index (11.9, 20.0) 0830ET 

- Sep 20 16-Sep Bloomberg comfort index (--, --) 0945ET 

- Sep 20 Aug existing home sales (5.34m, 5.36m) 1000ET 

- Sep 20 Aug leading indicators (0.6%, 0.5%) 1000ET 

- Sep 20 14-Sep natural gas stocks w/w (--, --) 1030ET 

- Sep 20 19-Sep Fed weekly securities holdings 1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 6,000 Short Jan 77 calls at 1 vs 9685.5/0.10%

* 9,250 Front Oct/Front Dec 76 2x1 call sprd at CAB

* -12,000 Short Dec 68/70 put sprd at 8.5, BLOCK

* 20,000 Short Dec 66/67/68 put fly at 3

* 12,500 Red Mar 58/61 put sprd at 2.5

* 10,000 Short Oct 67/68/70 put fly at 4.5

* +5,000 Dec 71 puts at 0.5 vs 9734/0.10%, adds to recent 10k block

* +8,500 Dec 77 calls at 0.25, pit and screen

* 5,000 Mar 71/72 call sprd at 5.5 vs 9720/0.10%

* 5,000 Dec 75/76 1x2 call sprd at 0.5

* +5,000 Blue Oct 67 puts at 0.5 over Short Oct 67 puts

* -4,500 Dec 72/73 put sprd at 4.75 vs 9735.5/0.40%

* +5,000 Short Oct 68/70/71 call fly at 2

* +20,000 Mar 80 calls at 0.5

UPDATE: Total 33,000 Front Nov/Front Dec 72 put sprd for net 0.75, 10k blocked

and 23k on screen

UPDATE: Total 35,000 Short Oct 76 calls at CAB vs 9685.5/0.10%

     US TSY OPTIONS

US TSY OPTIONS: Latest trade,

* 7,500 TYX 118 puts at 18

* +11,000 TYZ 117/120.5 puts over risk reversal at 0 vs 24/0.30%

* -8,000 TYV 118.75/119.25 put sprd at 24

* -2,000 TYZ 117.5 puts at 17

* +2,500 TYV 118.75 calls at 5

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

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