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     US TSYS SUMMARY: US Treasuries ended Tuesday mainly higher, 30Y bond the
exception, after a rangebound afternoon followed morning short- covering,
black-box tied buying and technical buying too. Action proved fairly quiet as
all await Fri Sept. jobs report and before then the 8:15am ET Wed ADP private
payrolls report; MNI has a +70K median estimate for the Sept. jobs. 
- Tsys began NY mixed, steepener after overnight two-way flows tilted toward
selling. Tsys digested weaker 49.7 US ISM-NY Current Conditions Index morning
data, and 4.7M annualized Sept. N.Amer car sales and 9.6M annualized N.Amer
truck sales 
- But then Tsys rose as some accounts covered shorts, responding to JPM Tsy
Client survey (All Clients) saying shorts this wk at 44%, the most since May
- US govt bonds also had technical buying as cash 10Y note yld declined below
2.35%; overnight had selling as yld rose above 2.35% rate. 
- Black boxes bought Tsys in morning as US$ receded vs Japanese yen. Tsys saw
2/30Y, 3/30Y and 5/30Y steepeners too. Earlier NY mixed flows by foreign
accounts and mild US$ real money profit-taking. 
- US SWAPS: Spreads mostly tighter by close bell, curve flatter vs. steeper Tsy
curve; $100M receiver in 5Y US$ swaps at 1.999%, $110M 10Y receiver at 2.2875%. 
- US CORPS/SOVS: Abu Dhabi priced its $10B 3-part debt deal; 
- TSYS 3PM ET: 2Y 1.475%; 3Y 1.615%; 5Y 1.923%; 7Y 2.161%; 10Y 2.332% and 30Y
US TSY FUTURES CLOSE: Tsy curve holds flatter into the close, long end
underperforming but well off session lows. Volume well off Mon's levels (TYZ
>870k). Current futures levels: 
* Dec Ultra bonds down 9/32 at 164-20 (163-26L/164-30H) 
* Dec 30-yr Bond futures down 2/32 at 152-20 (152-00L/152-26H) 
* Dec 10-yr futures up 2.5/32 at 125-10.5 (125-01.5L/125-12.5H) 
* Dec 5-yr futures up 2/64 at 117-16.5 (117-11.75L/117-17.75H) 
* Dec 2-yr futures up .25/32 at 107-26.75 (107-25.75L/107-27.5H)
US EURODLR FUTURES CLOSE: Trading mixed after the bell, short end
underperforming after heavy selling in Dec'17 and Mar'18 futures. Rate hike
probability at 67.3% for Dec while March climbs to 35.1%. Current White pack
* Dec'17 -0.005 at 98.510 
* Mar'18 -0.015 at 98.385 
* Jun'18 -0.005 at 98.285 
* Sep'18 +0.005 at 98.215 
* Red pack (Dec'18-Sep'19) +0.010-0.015 
* Green pack (Dec'19-Sep'20) +0.015-0.020 
* Blue pack (Dec'20-Sep'21) +0.015-0.010 
* Gold pack (Dec'21-Sep'22) +0.010-0.005
US SWAPS: Spds mostly tighter by the bell, spd curve flattens further vs.
steeper Tsy curve as short end widens to top of range. Swap desks reported a
swath of deal-tied flow in the first half (eye on $10B Abu Dhabi 3-part deal),
rate paying in 2s and 3s, receivers in 5s, 7s and 10s on lighter volume. Some
swap desks continue to express interest in spd curve flatteners/Tsy steepeners
on pull-backs. OTC vol mildly weaker across the surface, much better exchange
traded option volume dominated by low delta puts, better buying. Latest spread
* 2Y +0.88/26.62 
* 5Y -0.12/7.81 
* 10Y -0.38/-4.50 
* 30Y -0.44/-32.56
OUTLOOK: *** Data/speaker calendar (prior, estimate):
- Oct 04 29-Sep MBA Mortgage Applications (-0.5%, --) 0700ET
- Oct 04 Sep ADP private payrolls (237K, --) 0815ET
- Oct 04 Sep Markit Services Index (final) (55.1, --) 0945ET
- Oct 04 Sep ISM Non-manufacturing Index (55.3, 55.4) 1000ET
- Oct 04 Oct help-wanted online ratio (1.17, --) 1000ET
- Oct 04 29-Sep crude oil stocks ex SPR w/w (-1.85m bbl, --) 1030ET
- Oct 04 StL Fed Bullard welcome remarks, Comm Bkg St. Louis 1500ET
- Oct 04 Fed Chair Yellen open remarks Comm Bkg conf St.L MO 1515ET
Eurodollar/Treasury option summary
Eurodollar options,
+5k E2Z 78p, 10.0 vs. 97.925/0.40%
+25k EDF 82p, 1.0
+10k EDG 82p, 1.75
+6k EDF/Edg 81/82/83 3x2x1p fly strip, 4.25
5k EDH 81/82p spds
+5k EDV/EDZ 85p spds, 3.0 vs. 98.52/0.10%
2k EDU'19 80/87 1x2c spds, 16.5
+82k EOG 76/78p spds, 4.0 opener
-20k EOH 77/80p spds vs.
+E2H 75/77p spds, 0.5cr steepener
10k e2Z 77p, 4.5 vs.
+10k EOZ/EOV 81 straddle spds, 5.5
-8.5k EOZ 80p, 4.0 vs. 98.12/0.28%
5k EOZ 78/80/81p flys
+5k EOF 85c, 1.5
+3k EOZ/E2Z 81/82c spd spd, 2.5 steepener
+2.5k EOH81/82p spds, 8.0
+2.5k EOZ 78/82p spds, 15.5
+2k EOX/EOZ 82 straddle spds, 3.5
+2k EOZ 80/81/82 3x2x1p flys, 2.0
1.3k EOH 78/80p spds vs. EOH 82/83c spds, 1.0
-7k E2Z 76p, 2.5
7k E2Z 77p
5k E2V/E2X 78p spds
+5k E2V 81c w/E2X 81/83c spd, 3.0
+3k E2H 72/75p spds, 3.0
-3k E2Z 77/78c spds vs.
+E2Z 72/76p spds, 6.5cr
3k E2H 72/75p spds
3k E2V/E2X 75/77p spd strip, 2.5
+3k E3H 78c, 14.0
Tsy options
2k TYZ 126/127c spds, 16
1.25k TYX 125+/127+ 1x2c spds, 7
1k TYZ 126c, 31
1k TYX 123/126+ strangles, 12
2,000 FVZ 116+p, 6.5 vs. 117-17/0.10%
--MNI New York Bureau; tel: +1 212-669-6432; email:

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