US TSYS END LOWER, BUT OFF DAY'S LOW, AMID RISK-OFF MOOD BID

     US TSYS SUMMARY: Treasuries prices end Mon lower but well off day's low as

muted risk-off bid helped Tsys on Spain/Catalan vote, US Las Vegas shooting that

killed 50. Tsys o/night dipped in Asia as accts react to Fri US talk others

besides Yellen being eyed for Fed Chr, like ex Gov Warsh. Strong China PMIs hurt

Tsys tho flows 2way in both Asia, UK. 

- Tsys then dipped on very strong 60.8 Sept. US ISM Manufactrg Index, highest

since 1987, then rebounded as ISIS website claimed responsibility for Las Vegas

shooting; Wash. Times said shooter a recent Muslim convert; some US sources

disputes link (Reuters). Spain/Catalan vote spurred dip buys in Bunds, hurts EGB

peripherls. UK Gilts, Bunds gain on light FTQ bid. 

- Tsy futures blocks: had 11:48am ET buy of 3,519 Dec 10Y Ultras at 11:48 am ET

and 8:42am ET buy of 7,350 TYZ7 at 125-09, buy through; also a big 4:29am ET

block buy at 4:29am ET of 7,350 TYZ7 stabilized Tsys off UK morning lows. 

- US CORPS: Busy issuance Mon. TIPS underperform. MBS tight. 

- TSYS 3pm ET: 2Y 1.487%, 3Y 1.628%, 5Y 1.934%, 7Y 2.171%, 10Y 2.337%, 30Y

2.866%

US TSY FUTURES CLOSE: Generally quiet start to the week, Tsy futures see-saw in

first half, finishing lower, well off late overnight lows. Limited react to data

(as well as limited risk-off to Las Vegas mass shooting w/equities strong (emini

+9.0, 2525.0), gold lower (-6.64, 1273.51), start to new month, sidelined accts

ahead Friday's NFP. Current futures levels: 

* Dec Ultra bonds down 9/32 at 164-27 (164-03L/165-20H) 

* Dec 30-yr Bond futures down 5/32 at 152-21 (152-02L/153-04H) 

* Dec 10-yr futures down 2/32 at 125-08 (124-30L/125-12.5H) 

* Dec 5-yr futures down 1.75/64 at 117-14.25 (117-09L/117-17H) 

* Dec 2-yr futures down 1/32 at 107-26.25 (107-25L/107-27.25H)

US EURODLR FUTURES CLOSE: Mildly lower across the strip by the close, near highs

on narrow range all day. Current White pack (Dec'17-Sep'18): 

* Dec'17 -0.010 at 98.510 

* Mar'18 -0.010 at 98.395 

* Jun'18 -0.010 at 98.285 

* Sep'18 -0.010 at 98.205 

* Red pack (Dec'18-Sep'19) -0.015-0.020 

* Green pack (Dec'19-Sep'20) -0.010 

* Blue pack (Dec'20-Sep'21) -0.010-0.005 

* Gold pack (Dec'21-Sep'22) -0.010-0.015

US SWAPS: Spds running mildly wider by the close, off early session wides in the

long end on light two-way flow in second half. Early trade included receivers in

5s, hedge fund payers in 10s and 30s, light supra-sovereign issuance hedging.

One swap desk views curve flattening as attractive entry point for steepeners in

spot and forward space. OTC vol gradually slipped lower on the day, modest

two-way flow. Latest spread levels: 

* 2Y +0.31/25.94 

* 5Y +0.38/7.94 

* 10Y +0.12/-4.25 

* 30Y +0.50/-32.25

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

- Oct 03 Sep NA-made light vehicle sales SAAR (12.3M, 13.6M)

- Oct 03 Fed Gov Powell: Reg Reform; Reuters Conv, DC Q/A 0830ET

- Oct 03 30-Sep Redbook retail sales m/m (0.0%, --) 0855ET

- Oct 03 Sep ISM-NY current conditions (56.6, --) 0945ET

Eurodollar/Treasury option summary

Eurodollar options,

Blocks:

0316-0320ET

+16k E2Z 86c, 1.0

0731ET

-5k E2Z 75/77/80p flys, 7.0

Pit/Screen:

18k EDX 85p, 2.25

15k EDF 82p, 1.75

5k EDH 80/81/82p flys

-----------------------------

+15k EOX 80p, 2.5

-10k EOZ 78p, 1.5

+10k EOZ 77/80p spds, 4.0

6k EOX 81 straddles, 13 w/

6k E3X 77 straddles, 19.0

-5k EOV 81p, 4.0

-5k EOZ 78p, 1.5

4k EOX 78/80/81p flys, 3.0

4k EOZ 83/85/86c flys, 0.5

2.5k EOH 71/77 3x1p spds, 7.0

2k EOZ 85c, 1.0

-----------------------------

+15k E2Z 76/77p spds, 2.5 vs.

-15k E2Z 82/83c spds, 1.0, add to +30k last wk

-10k E2Z 77p, 5.0 vs. 97.925/0.20%

7k E2Z 80/81/83 1x1x1c flys, 5.5

6.5k E2Z 73/75/77p flys, 3.5

-4k E2Z 77/E4Z 72p spds, 2.5

Tsy options

Pit/screen:

-5k TYX 124.2/126.2 R/R, 1c ovr

1.5k TYX 125+/TTYZ 124+p spds, 14

1.1k FVZ 116.2/117.2/118.2p flys, 23

-1k USX 155c, 28

--MNI New York Bureau; tel: +1 212-669-6432; email: sheila.mullan@marketnews.com

[TOPICS: MTABLE,MNUEQ$,M$U$$$,MR$$$$,M$$FI$,MN$FI$]