US TSYS: HEADLINE RISK CONTINUE TO ROIL, TENSION EASILY STOKED

US TSY SUMMARY: Headline risks continue to roil markets. Off second half lows on

late chop - risk-off unwound on Fed chair Powell comments re: growing balance

sheet; rates gapped higher on US/China trade related headlines few minutes

later: "U.S. Bans Travel by Chinese Officials Linked to Xinjiang Abuses".

Tensions still easily stoked ahead Thu's trade delegation visit in DC.

Speculation by traders over whether the meeting will go forward.

- Sidebar: "TRUMP'S TREASURY WEIGHS WEAKENING OBAMA'S TAX AVOIDANCE RULES" bbg

appeared to help support equities briefly. Equities extended session lows into

the close, ESZ9 -45.0.

- Small tail, US Tsy $38B 3Y note auction (912828YK0) awarded 1.413% (1.5730%

previous) vs. 1.410% WI, bid/cover 2.43 vs. 2.42 previous (3.05 avg).

- Decent deal-tied flow, hedge unwinds on just over $11B priced on day. Session

flow included bank and fast$ buying short end, prop and real$ two-way in 5s-10s.

- The 2-Yr yield is down 3.6bps at 1.4255%, 5-Yr is down 3.4bps at 1.3566%,

10-Yr is down 2.2bps at 1.5357%, and 30-Yr is down 1bps at 2.0382%.

US TSY FUTURES CLOSE: Off second half lows on late chop. Risk-off unwound on Fed

chair Powell comments re: growing balance sheet; rates gapped higher on US/China

trade related headlines few minutes later: "U.S. Bans Travel by Chinese

Officials Linked to Xinjiang Abuses". Yld curves mostly flatter, update: 

* 3M10Y  -0.864, -17.364 (L: -20.777 / H: -13.794)

* 2Y10Y  +1.895, 11.117 (L: 7.033 / H: 11.599)

* 2Y30Y  +3.129, 61.394 (L: 56.216 / H: 62.022)

* 5Y30Y  +2.564, 68.164 (L: 64.75 / H: 69.375)

Current futures levels:

* Dec 2-Yr futures up 2.625/32  at 108-3.25 (L: 107-30.25 / H: 108-04.62)

* Dec 5-Yr futures up 5/32  at 120-2 (L: 119-23 / H: 120-06.25)

* Dec 10-Yr futures up 7.5/32  at 131-24 (L: 131-06.5 / H: 131-30.5)

* Dec 30-Yr futures up 8/32  at 164-21 (L: 163-18 / H: 165-07)

* Dec Ultra futures up 12/32  at 195-9 (L: 193-11 / H: 196-07)

US EURODLR FUTURES CLOSE: Bid across the strip, off top end of range,

Reds-Greens outperform. Current White pack (Dec 19-Sep 20): 

* Dec 19 +0.030 at 98.175

* Mar 20 +0.025 at 98.50

* Jun 20 +0.030 at 98.625

* Sep 20 +0.040 at 98.715

* Red Pack (Dec 20-Sep 21) +0.050 to +0.055

* Green Pack (Dec 21-Sep 22) +0.045 to +0.050

* Blue Pack (Dec 22-Sep 23) +0.035 to +0.040

* Gold Pack (Dec 23-Sep 24) +0.030

US DOLLAR LIBOR: Latest settles

* O/N -0.0027 at 1.8055% (-0.0153/wk)

* 1 Month -0.0015 to 1.9387% (-0.0387/wk)

* 3 Month -0.0025 to 2.0095% (-0.0175/wk)

* 6 Month +0.0030 to 1.9634% (+0.0127/wk)

* 1 Year +0.0208 at 1.8885% (+0.0354/wk)

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

* Daily Effective Fed Funds Rate: 1.82%, volume: $76B

* Daily Overnight Bank Funding Rate: 1.80%, volume: $172B

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

* Secured Overnight Financing Rate (SOFR): 1.83%, $1.070T

* Broad General Collateral Rate (BGCR): 1.80%, $457B

* Tri-Party General Collateral Rate (TGCR): 1.80%, $428B

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

09-Oct 0700 04-Oct MBA Mortgage Applications (8.1%, --)

09-Oct 1000 Aug wholesale inventories (0.4%, 0.4%)

09-Oct 1000 Aug wholesale sales (0.3%, --)

09-Oct 1000 Aug JOLTS job openings level (7217, 7250)

09-Oct 1000 Aug JOLTS quits rate

09-Oct 1000 Oct help-wanted online ratio

09-Oct 1030 04-Oct crude oil stocks ex. SPR w/w

09-Oct 1030 Fed chair Powell, Fed Listens event, Nasas City

09-Oct 1300 $24B US Tsy 10Y Note (912828YB0) auction/Re-open

09-Oct 1400 FOMC Sep minutes release

PIPELINE: $11.4B Priced Tuesday, much better than anticipated; $15.65B/wk

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

10/08 $3B *JBIC (Japan Bank for International Cooperation) $1B Each: 3Y +34, 5Y

+42, 10Y +55

10/08 $2B *IFC (International Finance Corp) 5Y +11

10/08 $1.5B *Dexia 5Y +38

10/08 $1.25B *CBA (Commonwealth Bank of Australia) 3Y +27.8

10/08 $1.25B *Macquarie Bank 3Y +75

10/08 $1B *Societe Generale 5Y +130

10/08 $1B *BNG Bank 5Y +18

10/08 $400M *IADB 3Y SOFR+26

10/08 $Benchmark CBA (Commonwealth Bank of Australia) 3Y +33a

- On tap for Wednesday

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

10/09 $Benchmark Rep of Italy (first $ bond sale since 2010, $3B est) 5Y +125a,

10Y +165a, 30Y +250a

10/?? $Benchmark Industrial Bank of Korea

10/?? $1.1B OCI 5NC2

Eurodollar/Tsy options: 

Eurodollar Options:

* -10,000 Oct 82 calls, 0.5

* -4,000 Dec 78/80/81 put trees, 4.

* +6,000 short Nov 82/85 put spds, 3.75

* total +40,000 Dec 85/87 call strips, 3.0-3.25 vs. -30,000 Dec 80 puts, 3.0

* 5,000 Nov 82 calls, 4.75 (traded on screen earlier vs. Dec 86 calls on 1x2

ratio

* 20,000 Dec 85/87 call strips, 3.0 vs.

* 15,000 Dec 80 puts, 3.0

* -15,000 Oct 81 calls, 5.0 earlier

* +7,000 Jun 93/96/98 call flys, 2.0 on screen

* +10,000 Dec 86/90 call spds, 1.0

* +5,000 Dec 78/80 put spds, 2.25

* -3,000 Oct 82/83/85 call trees, 0.5

* +8,000 Nov 77/78 2x1 put spds, 0.0 earlier

* Update, total -30,000 Dec 76 puts, cab

Block, 0841:49

* 10,000 Dec 76 puts, cab

Block, 0712:08-0724:13ET, adds to >18k on screen

* total +60,000 Dec 86 calls, 1.25

Block early overnight

* -30,000 Mar 88 calls, 6.0 vs. 98.48/0.21%

Tsy options:

* over 9,000 TYZ 134.5/135.5 call spds, 6/64 on screen

* -7,000 TYX 132.5 calls, 21/64, total screen volume >15.8k

* 2,500 FVZ 121/121.5 call spds, 6.5

* -2,000 TYZ 130/133.5 strangles, 43/64

* +2,500 TYZ 131 calls, 1-26- to 1-27/64

Block, 0851:42ET,

* +8,440 TYX 130.5 calls, 1-28/64 vs.

* -5,674 TYZ 131-24.5

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

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