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US TSYS: HEAVY PRESSURE ON RATES AFTER STRONG JOBS GAIN

US TSY SUMMARY: Rates continued to grind lower into the close, prospect of more
rate hikes as economy gains momentum finally catching up with long end; Tsy yld
curves well off early flats; Equities off lows, however, while EUR currency
traded lower after MNI Sources story that ECB considering fresh TLTRO.
- Better selling returns after two-way in midmorning, prop and fast$ selling 5s,
bank and real$ selling out the curve, stops triggered on latest down turn, curve
flattener unwinds in 2s and 5s vs. 10s. No deal-tied flow to speak of.
- Better sellers earlier/immediately after better than expected headline jobs
gain of +250k vs. +190k est -- and NO down revisions. Intermediates took brunt
of selling, curves bear flattening w/5s30s sliding to 38.347 low vs. appr 41.0
at moment. Attention turns to next week's Midterm elections Tuesday, latest FOMC
on Thu (no change exp on latter).
- Heavy options volume, Tsy option accts sold >12k Dec 10Y 117/117.25/117.5 put
strips from 23- to 26/64.
- Tsy cash/ylds: 2Y 99-29.5 (2.912%), 5Y 99-07.75 (3.038%), 10Y 97-05 (3.214%),
30Y 91-18.5 (3.454%).
US TSY FUTURES CLOSE: Sharply lower at the bottom of a wide range; strong volume
(TYZ 2.17M); curves mixed; update:
* 2s10s +1.489, 29.869 (27.591L/30.561H);
* 2s30s +1.033, 53.977 (50.158L/54.944H);
* 5s30s -0.143, 41.656 (38.347L/42.388H);
Current futures levels:
* Dec Ultra bonds down -1-23/32 at 147-28 (144-27L/150-00H)
* Dec 30-yr Bond futures down -1-09/32 at 137-05 (137-04L/138-24H)
* Dec 10-yr futures down 17/32 at 118-1.5 (118-0.5L/118-22.5H)
* Dec 5-yr futures down 10.5/32 at 112-05 (112-4.75L/112-17.5H)
* Dec 2-yr futures down 3.75/32 at 105-08 (105-7.75L/105-12.5H)
US EURODOLLAR FUTURES CLOSE: Trading moderately lower at the bottom of the
range, parallel shift across reds through golds; strong volume. Current White
pack (Dec'18-Sep'19):
* Dec'18 -0.010 at 97.230
* Jun'19 -0.030 at 97.080
* Jun'19 -0.045 at 96.930
* Sep'18 -0.055 at 96.830
* Red pack (Dec'19-Sep'20) -0.065-0.055
* Green pack (Dec'20-Sep'21) -0.060
* Blue pack (Dec'21-Sep'21) -0.065-0.060
* Gold pack (Dec'22-Sep'22) -0.065-0.060
US DOLLAR LIBOR: Latest settles, 
* O/N -0.0007 to 2.1746% (-0.0021/wk) 
* 1 Month +0.0043 to 2.3178% (+0.0211/wk) 
* 3 Month +0.0108 to 2.5923% (+0.0720/wk) 
* 6 Month +0.0123 to 2.8288% (+0.0521/wk) 
* 1 Year +0.0087 to 3.1048% (+0.0481/wk)
US TSYS: *** /REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): 2.22% vs. 2.22% prior, $835B
* Broad General Collateral Rate (BGCR): 2.20% vs. 2.19% prior, $434B
* Tri-Party General Collateral Rate (TGCR): 2.20% vs. 2.19% prior, $411B
SWAPS: Spds tighter across the curve, narrow w/short end lead move since
midmorning. Flurry of better receiving as Tsys extended session lows and yld
curves rebounded. Flow in second half included receiving in 2s around 3.0780%, ,
receiving 3s at 3.1407%, decent receiving 5s at 3.15496%, receiving in 10s at
3.23957%. Spd curve had bent mildly steeper earlier as 3M FRA/OIS retraced
earlier widening. Earlier flow included rate receiving in 2s at 3.0879%, s25s
steepener, and flurry of paying in 5s-7s. Latest spd levels:
* 2Y -1.38/20.00
* 5Y -1.19/14.25
* 10Y -0.81/5.88
* 30Y -0.31/-11.25
PIPELINE: Quiet end to week --
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
No new issuance Friday, $21.75B priced on wk
-
$6.75B priced Thursday
11/01 $3B *American Express $1.25B 3Y +80, $1B 3Y FRN +60, $750M 7Y +118
11/01 $1.35B *GM Financial $1B 3Y +130, $350M 3Y FRN +110
11/01 $2B *BP Capital Markets Amer $1B Long 5Y +83, $1B 10Y +110
11/01 $400M *One Gas WNG 30Y; IPT +118
OUTLOOK: *** Data/speaker calendar (prior, estimate): 
- Nov 05 Oct Markit Services Index (final) (54.7, --) 0945ET
- Nov 05 Oct ISM Non-manufacturing Index (61.6, 59.3) 1000ET
- Nov 05 Oct ETI (110.77, --) 1000ET
- Nov 05 US Tsy $45B 13W bill auction (912796QW2) 1130ET
- Nov 05 US Tsy $39B 26W bill auction (912796RP6) 1130ET
- Nov 05 US Tsy $37B 3Y note auction (9128285LO) 1300ET
- Nov 05 Dal Fed Pres Kaplan, national/global eco issues, Q&A 1900ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/Screen: 
* -30,000 Short Dec 65/66/67/68 Put Condor at 6 vs 9681.5/0.10%
Block, 10:25:44ET,
* +10,000 Short Mar 63/65 put sprd at 2.5 vs 9674.5/0.10%
* -10,000 Red Mar 67 puts at 26.5 vs 9674/0.48%
* +15,000 Dec 70/71 put sprd at 0.75 vs 9724.5/0.10%
* +10,000 Long Green Dec 62 puts at 18.5 vs 9676/0.25%
* -7,000 Short Dec/Short Feb 67 Straddle Sprd at 11 vs 9679/0.10%
* -5,000 short Jan 70/Red Dec 67 2x3 put spds, 4.5/Red Dec over
* 5,000 Short Dec 68/70 call sprd at 2.5 vs 9678.5/0.10% vs
* 5,000 Green Dec 70/71 call sprd at 1.5 
Note: earlier 5,000 short Dec 68/70 call spds at 3.0 vs 5,000 Green Dec 70/71
call spds at 2.0
* +10,000 Short Sep 65/66 put sprd at 5 vs.
* -10,000 Short Sep 73/75 call sprd at 2 vs 9679.5/0.10%
* -5,000 Dec 71/72 put spds, 3.75 over the Dec 75 calls
* -6,000 Nov 72 Straddle at 5
* 5,000 Short Mar 65/67 put sprd at 10 vs 9676/0.26%
* 5,000 short Dec 68/70 call spds, 3.0 vs.
* 5,000 Green Dec 70/71 call spds, 2.0
* -2,000 Green Nov 63/67 put spds, 5.0 vs. 96.80
Tsy options, Pit/screen:
* 10,000 FVZ 112/112.25/112.50 put tree at 0
Block, 1159:01ET,
* +8,094 USZ 137 puts, 57/64 (was offered at 56/64 at post time)
* +10,000 FVZ 112.25 vs FVF 111.75 put sprd at 1
* -5,000 TYZ 117.5 puts, 12/64
* 2,000 TYZ 116/117 put spds, 4/64
* 2,000 wk2 TY 117.5/118 put spds, 8/64
* 3,000 wk1 TY 118.25/118.5 put over risk reversals, 0.0
* -5,000 TYZ 118.25/118.75 call spds, 14/64 earlier
implied vol getting pressed on the post-data range trade, downside puts sold
* -6,000 TYZ 117/117.25/117.5 put strips from 26- to 23/64
* sellers TYZ 118.25 straddles down to 58/64
* -7,500 TYZ 117.5 puts, 12/64
Block, 08:49:17ET,
* +25,000 2wk TYX 118 puts at 14
* +6,000 TYZ 119 calls on screen, 13/64
* 1,000 TYZ 116.5/120.5 strangles, 5/64
Block, 0720:15ET,
* 4,374 wk2 TY/TYZ 118.5 straddle spds, 13/64 net vs. 118-17.5
Block, 0609:38ET, another 5k on screen 
* 5,000 FVZ 111.2/112 put spds, 6.5/64 vs. 112-11.5/0.23%
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]

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