US TSYS: FROM PORK AND BEANS TO PINS AND NEEDLES

US TSY SUMMARY: Rates weaker but off lows after the bell. Aside from earlier

China "Pork & Beans" trade related headlines no mkt moving headlines reported as

Tsys inched off pre-auction lows as equities trimmed gains. Sources noted decent

sized sell program (1,149) went through, equity move lead Tsys bounce.

- Chatter but NO confirm of foreign real$ and global macro fund selling in the

first half. Better algo-driven selling on headlines and tweets noted by several

desks, in addition to prop, fast- and real$ selling in intermediates, swap-tied

selling in 10s and 30s along with pre-auction short sets ahead the 30Y R/O.

Several decent Dec 10Y sell blocks helped extend session lows. Others reported

steepener unwinds/taking profits from some accts while others unwind 3M10Y

flatteners as spd has steepened some 18.0bps from Monday's low around -21.5.

Option flow mixed, two-way with better buyers of wings (OTM puts/calls).

- Small tail and new low yld, US Tsy $16B 30Y bond auction (912810SJ8) awarded

2.170% (2.270% last month) vs. 2.167% WI; w/ 2.25 bid/cover (2.22 prior). The

2-Yr yield is up 6.7bps at 1.5322%, 5-Yr is up 7.5bps at 1.4787%, 10-Yr is up

7.6bps at 1.6595%, and 30-Yr is up 6.9bps at 2.1531%.

US TSY FUTURES CLOSE: Weaker but off midday lows, markets hyper focused on any

NEW US/China trade related headlines. Several Fed speakers still on tap:

Bullard, Daly, Mester and Bostic. Yld curves mostly steeper, update: 

* 3M10Y  +8.102, -2.755 (L: -16.847 / H: -1.211)

* 2Y10Y  +0.921, 12.519 (L: 11.012 / H: 14.453)

* 2Y30Y  +0.166, 61.809 (L: 61.465 / H: 65.75)

* 5Y30Y  -0.676, 67.203 (L: 67.061 / H: 71.061)

Current futures levels:

* Dec 2-Yr futures down 4.125/32 at 107-27.625 (L: 107-27.5 / H: 108-03.5)

* Dec 5-Yr futures down 11.25/32 at 119-13.75 (L: 119-13.25 / H: 120-02.75)

* Dec 10-Yr futures down 19.5/32 at 130-21.5 (L: 130-19 / H: 131-24)

* Dec 30-Yr futures down 1-12/32 at 162-6 (L: 161-29 / H: 164-11)

* Dec Ultra futures down 2-14/32 at 191-00 (L: 190-14 / H: 194-24)

US EURODLR FUTURES CLOSE: No late trade related fireworks like late Wednesday

evident (yet) after the bell -- futures weaker across the strip, at/near lows.

Current White pack (Dec 19-Sep 20): 

* Dec 19 -0.025 at 98.140

* Mar 20 -0.050 at 98.40

* Jun 20 -0.070 at 98.495

* Sep 20 -0.080 at 98.565

* Red Pack (Dec 20-Sep 21) -0.085 to -0.08

* Green Pack (Dec 21-Sep 22) -0.075 to -0.07

* Blue Pack (Dec 22-Sep 23) -0.07 to -0.065

* Gold Pack (Dec 23-Sep 24) -0.07

US DOLLAR LIBOR: Latest settles

* O/N +0.0026 at 1.7926% (-0.0282/wk)

* 1 Month -0.0061 to 1.9213% (-0.0562/wk)

* 3 Month +0.0019 to 1.9861% (-0.0409/wk)

* 6 Month -0.0072 to 1.9355% (-0.0151/wk)

* 1 Year +0.0141 at 1.8960% (+0.0429/wk)

STIR: Federal Reserve Bank of New York EFFR for prior session:

* Daily Effective Fed Funds Rate: 1.82%, volume: $66B

* Daily Overnight Bank Funding Rate: 1.80%, volume: $153B

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

* Secured Overnight Financing Rate (SOFR): 1.85%, $1.061T

* Broad General Collateral Rate (BGCR): 1.82%, $462B

* Tri-Party General Collateral Rate (TGCR): 1.82%, $432B

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

11-Oct 0800 Mn Fed pres Kashkari, moderated Q&A, NY

11-Oct 0830 Sep imports price index (-0.5%, 0.0%)

11-Oct 0830 Sep exports price index (-0.6%, -0.1%)

11-Oct 1000 Oct Michigan sentiment index (p) (93.2, 92.0)

11-Oct 1100 Q4 St. Louis Fed Real GDP Nowcast

11-Oct 1115 Q4 NY Fed GDP Nowcast

11-Oct 1315 Boston Fed Rosengren, mon-pol syposium

11-Oct 1500 Dallas Fed Kaplan, mon-pol event, SF

PIPELINE: ADB and EBRD have priced, think we've seen the last of corp issuance

today

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

10/10 $3B *ADB (Asia Development Bank) 5Y +13

10/10 $350M *EBRD (European Bank for Reconstruction & Development) 3Y SOFR+26

10/?? $Benchmark Industrial Bank of Korea

-

$10.065B priced Wednesday, $25.715B/wk

10/09 $7B *Rep of Italy $2.5B 5Y +105, $2B 10Y +150, $2.5B 30Y +235

10/09 $500M *Suntory Holdings Ltd 5Y +88

10/09 $1B *Bank of Nova Scotia +3Y +60

10/09 $1B *NIB (Nordic Investment Bank) 3Y +8

10/09 $565M *Thai Oil 30Y +145

Eurodollar/Tsy options: 

Eurodollar Options (October options expire Friday)

* +5,000 Sep 93/96 call spds, 3.5

* +2,000 Mar 83 straddles, 32.0

* Update, total +10,000 Jun 91/95 call spd w/Jun 92/96 call spd, 7.0

* -20,000 Nov 82 calls, 3.25 vs. 98.155/0.30%

* -5,000 Blue Dec 81/86/81 call flys, 25.0 

* -4,000 short Nov 82/83/85 put trees, 2.5

* Update, total +15,000 Red Mar 87/90/91 call flys, 5.5

Renewed interest in par call buying, fading the sell-off in underlying with mind

to hedge future 0.0% rate risk

* +5,000 Red Dec'20 100 calls, 1.0. This after paper bought +4,000 long Green

(EDZ1, EDH2, EDM2, EDU2) 100 call strip, 28.0 yesterday.

* 2,500 Mar 92/93/95 call flys, cab

* ongoing position squaring in soon to expire October options

* 5,500 Dec 81/82/85 broken call flys, 1.0 net

* 10,500 Mar 88 calls, 5.5 vs. 98.475/0.21%

* 5,000 Jan 86/88 call spds, 4.5 vs. 98.465/0.16%

* +5,000 short Oct 87 calls, 0.5

* -5,000 Jan 86/88 call spds, 4.5

* +5,000 Dec 81/82/83 put flys, 2.25

* >+20,000 Dec 78 puts, 1.0 on screen adds to earlier Blocks

* 15,000 Dec 78 puts, 1.0 Block, 0742-0750ET, w/another +9k/screen

* +5,000 Mar 82 puts, 7.5 vs. 98.445/0.25% Block, 0619:01ET

* +30,000 short Jan 85 puts, 6.5 late Wed Block

* +20,000 short Dec 83 puts, 4.0 late Wed Block

Tsy options:

* -10,000 TYZ 129 puts, 16/64 vs. 130-26 to -26.5

* 3,000 FVX 119.75 calls, 14.5

* +3,000 TYX 132/132.25 call spds, 3/64

* 2,000 wk3 FV 120.5/120.75 call spds, 1/64

* -14,825 FVZ 120 calls on screen just ahead data at 32/64

* +1,800 FVX 120 calls, 17.5/64

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

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