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Tsys well bid but off top end of.......>

US TSY FLOWS
US TSY FLOWS: Tsys well bid but off top end of range despite melt-down in global
equities overnight (Hang Seng -3.08%, CSI 300 -2.66%; European indexes lower but
weathering weakness better; SPX currently -41.0). SPX taking leg lower after
Caterpillar earnings a few minutes ago, beat est' by only a penny. Gold well bid
in turn, XAU 1238.79H +16.70.
- Heavy volume Tsy futures (TYZ>655k), yield curves mostly flatter. Sources note
macro fund selling 3s, bank selling 5s, prop and real$ buying 10s.
- Adding to volume, corp deal-tied and pre-auction ($38B 2Y) hedging, Nov Tsy
options expire Friday w/two-way flow tied to position exits, rolls.
- Note, VIX vol index +4.55 to 24.19 vs. 24.66H.
- Another light data day w/Redbook retail sales, but multiple Fed speakers
through the session.
- Tsy cash/ylds: 2Y 99-24 (2.879%), 5Y 99-13.5 (3.000%), 10Y 97-23 (3.145%), 30Y
92-17.5 (3.343%).

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