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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
* -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
* 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
* 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%
* 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
* +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: firstname.lastname@example.org
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