MNI ASIA MARKETS ANALYSIS: Taper, Coming Soon to CB Near You

US TSYS: Tsy Ylds Resume Climb Ahead Midweek FOMC Annc

• Sights set on Wed's FOMC policy annc where $15B/month taper is expected with particular attention on inflation dynamics. Last but not least: Friday's October employment data: +450k median estimate up from +400k job gains last Friday.
• Session flow largely two-way position squaring ahead the Fed and jobs data risk events. Nevertheless, Tsy futures held weaker levels/off lows by the close, equities higher/off new all-time highs from the first half (ESZ1 4619.5). US$ pared some of Fri's strong gains (DXY -.235 at 93.888).
• Data remains muted Tuesday but picks up early Wednesday with ADP private employ figures at 0815ET (+400k est vs. +568k prior), and Tsy quarterly refunding at 0830ET.
• The 2-Yr yield is up 1bps at 0.5071%, 5-Yr is up 0.7bps at 1.1896%, 10-Yr is up 1.6bps at 1.568%, and 30-Yr is up 3bps at 1.9631%.

SHORT TERM RATES

US DOLLAR LIBOR: Latest settlements

• O/N -0.00450 at 0.06763% (-0.00138 total last wk)
• 1 Month -0.00637 to 0.08113% (-0.00038 total last wk)
• 3 Month +0.00863 to 0.14088% (+0.00738 total last wk) ** Record Low 0.11413% on 9/12/21
• 6 Month +0.00988 to 0.21088% (+0.02900 total last wk)
• 1 Year +0.00612 to 0.36725% (+0.04425 total last wk)

• Daily Effective Fed Funds Rate: 0.07% volume: $70B
• Daily Overnight Bank Funding Rate: 0.06% volume: $222B

• Secured Overnight Financing Rate (SOFR): 0.05%, $847B
• Broad General Collateral Rate (BGCR): 0.05%, $336B
• Tri-Party General Collateral Rate (TGCR): 0.05%, $317B
• (rate, volume levels reflect prior session)

• Tsy 22.5Y-30Y, $1.999B accepted vs. $4.601B submission
• Next scheduled purchases
• Tue 11/02 1010-1030ET: TIPS 1Y-7.5Y, appr $2.025B
• Wed 11/03 No buy operation due to FOMC annc
• Thu 11/04 1010-1030ET: Tsy 4.5Y-7Y, appr $6.025B
• Thu 11/04 1100-1120ET: Tsy 10Y-22.5Y, appr $1.425B
• Fri 11/05 1010-1030ET: Tsy 2.25Y-4.5Y, appr $8.425B

FED Reverse Repo Operation

NY Fed reverse repo usage declines as November gets underway: at $1,358.606B from 74 counterparties vs. Friday's second highest usage on record of $1,502.296B. Record high remains at $1,604.881B from Thursday, September 30.

EURODOLLAR/TREASURY OPTIONS SUMMARY

• -3,000 short Dec 99.25/99.37/99.50 put flys, 2
• 2,500 Jun 98.62/99.25 put spds
• 5,000 Sep 97.00/97.75 put spds
• Block, 15,000 Red Dec 99.00/99.25 put spds, 9.5
• 6,900 short Jan 98.00 puts, 2.5
• Overnight trade
• Block, 7,500 short Dec 98.75/98.87/99.00 put flys, 1.5 vs. 99.08/0.05%
• 37,800 short Mar 97.87 puts, 3.5
• 3,000 Red Dec 100.12 calls, 1.0
• 2,250 Blue Dec 97.50/97.87 3x2 put spds
• 2,500 Blue Dec 98.25/98.50 call spds

• 5,000 TYZ 129/130 put spds, 16
• Overnight trade
• 10,000 wk1 TY 129 puts
• 5,500 TYZ 129

FOREX: Swiss Franc and Swedish Krona Shine As Greenback Fades

• The greenback started the week on the backfoot after Friday's strong near 1% rally. The dollar index (-0.26%) slipped back below the 94.00 mark with EURUSD also regaining the 1.16 handle.
• Of note throughout the session were strong performances for both the Swiss Franc and the Swedish krona.
• EURCHF (-0.27%) and USDCHF (-0.70%) have continued recent trajectories lower, with both pairs approaching support areas worth noting. For EURCHF, 1.0505/10 represents an area of multiple lows between April-May 2020.
• On a slightly shorter-term note, USDCHF right around 0.9100 horizontal support across the mid-August lows. Additionally, an upward sloping trendline across the 2021 lows intersects near 0.9085. A break of this technical point could have the potential to accelerate CHF strength and would target the August and June lows at 0.9019 and 0.8926 respectively.
• USDSEK finds itself 0.81% lower on the session as EURSEK accelerates recent weakness below the 10.00 handle. Following the breach of the 2021 lows and a period of consolidation, EURSEK now trades below 9.90 and the lowest levels since February 2018.
• Elsewhere, EURGBP (+0.58%) enjoyed a relief rally, completing a full point bounce from the 0.84 lows made last week.
• In emerging markets, MXN and ZAR extended recent weakness and were particular underperformers both falling roughly 1.2% versus the dollar.
• Markets will focus on the RBA decision due overnight ahead of Swiss data to kickstart the European session.

PIPELINE: $11.45B To Price Monday

• Date $MM Issuer (Priced *, Launch #)
• 11/01 $3B #JP Morgan 11NC10 fix/FRN +97
• 11/01 $3B #American Express $800M 2Y +25, $600M 2Y FRN/SOFR+23, $1.1B 5Y +50, $500M 5Y FRN/SOFR+65
• 11/01 $2.1B #Raytheon Tech $1B +10Y +80, $1.1B +30Y +105
• 11/01 $1B #Invitation Homes $600M 7Y +87, $400M 12Y +115
• 11/01 $700M #Republic Services 11Y +83 (upsized from $600M)
• 11/01 $650M #Southwestern Electric Power 30Y +130
• 11/01 $500M #Duke Realty +10Y +82
• 11/01 $500M Jane Street Group 8NC3

EQUITIES

• DJIA up 73.4 points (0.2%) at 35889.29
• S&P E-Mini Future up 0.25 points (0.01%) at 4596.5
• Nasdaq up 32.9 points (0.2%) at 15529.23

COMMODITIES

• WTI Crude Oil (front-month) up $0.42 (0.5%) at $83.99
• Gold is up $9.75 (0.55%) at $1793.23