US TSYS: MIXED EMPLOY DATA NOT AS BAD AS FEARED

US TSY SUMMARY: Rates mixed after the bell, short end underperforming while 30Y

bonds come to life late -- pushing past post NFP gap high, yld curves bull

flattening. Nothing new from several Fed speakers including Fed chair Powell who

reiterated economy faces risks but remains in a "good place."

- Generally quiet end to wk where risk-off remained primary theme. Barring Fri's

mixed employment data, weak data coupled with ongoing headline risk from

US/China trade and constantly evolving impeachment inquiry of Pres Trump saw

Eurodollar futures surge higher across the strip.

- Big gap range post data, futures surge to new highs within seconds of nearly

extending session lows. Large flattener blocks: -54k TUZ vs. +25k TYZ (appr DV01

$2.1M), as well as 2s5s: -27.9k TUZ vs. +23.1k FVZ ($1.15M DV01). 

- Heavy option positioning for lower ylds as chances of third rate cut holds

around mid-90%. Implied vol cratered w/data, speaker risk in the rear view.

- The 2-Yr yield is up 0.4bps at 1.3936%, 5-Yr is down 1.5bps at 1.3325%, 10-Yr

is down 2.2bps at 1.5119%, and 30-Yr is down 2.1bps at 2.011%.

US TSY FUTURES CLOSE: Tsy futures coming to life after the bell -- yld curves

bull flattening -- Long end just pushed past post NFP gap high, update: 

* 3M10Y  -1.432, -19.325 (L: -20.347 / H: -15.742)

* 2Y10Y  -2.688, 11.519 (L: 9.364 / H: 14.639)

* 2Y30Y  -3.074, 60.928 (L: 58.731 / H: 65.159)

* 5Y30Y  -0.627, 67.691 (L: 65.676 / H: 69.217)

Current futures levels:

* Dec 2-Yr futures down 0.625/32 at 108-5.25 (L: 108-03 / H: 108-09)

* Dec 5-Yr futures up 1/32 at 120-7 (L: 119-31.25 / H: 120-13)

* Dec 10-Yr futures up 5.5/32 at 131-29.5 (L: 131-15.5 / H: 132-01)

* Dec 30-Yr futures up 23/32 at 165-4 (L: 164-05 / H: 165-05)

* Dec Ultra futures up 1-10/32 at 196-12 (L: 194-24 / H: 196-14)

US EURODLR FUTURES CLOSE: Trades mixed by the bell, Whites through Greens

underperforming but off lows. Current White pack (Dec 19-Sep 20): 

* Dec 19 -0.020 at 98.170

* Mar 20 -0.015 at 98.530

* Jun 20 -0.010 at 98.665

* Sep 20 -0.010 at 98.750

* Red Pack (Dec 20-Sep 21) -0.015

* Green Pack (Dec 21-Sep 22) -0.015 to -0.005

* Blue Pack (Dec 22-Sep 23) -0.005 to +0.010

* Gold Pack (Dec 23-Sep 24) +0.015 to +0.025

US DOLLAR LIBOR: Latest settles

* O/N -0.0016 at 1.8208% (-0.0063/wk)

* 1 Month -0.0115 to 1.9780% (-0.0534/wk)

* 3 Month -0.0161 to 2.0270% (-0.0716/wk)

* 6 Month -0.0343 to 1.9506% (-0.1123/wk)

* 1 Year -0.0611 at 1.8531% (-0.1900/wk)

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

* Daily Effective Fed Funds Rate: 1.83%, volume: $80B

* Daily Overnight Bank Funding Rate: 1.82%, volume: $176B

US TSYS: REPO REFERENCE RATES: (rate, volume), Climb higher again 

* Secured Overnight Financing Rate (SOFR): 1.84%, $1.120T

* Broad General Collateral Rate (BGCR): 1.81%, $458B

* Tri-Party General Collateral Rate (TGCR): 1.81%, $430B

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

07-Oct 1000 Sep ETI

07-Oct 1020 Mn Fed Kashkari, native American disc, live streamed

07-Oct 1130 $45B US Tsy 13W Note (912796TA7) auction

07-Oct 1130 $42B US Tsy 26W Note (912796TQ2) auction

07-Oct 1500 Aug consumer credit ($23.29B, $14.85B)

PIPELINE: Slow start to October w/ $9.25B/wk, well off September pace

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

10/04 No new US$ denominated issuance 

10/04 C$500M Quebec 10Y +68

In the works:

10/?? $Benchmark Rep of Italy, first $ bond sale since 2010, $3B est

10/?? $Benchmark International Finance Corp (IFC) 5Y 

10/?? $Benchmark Industrial Bank of Korea

10/?? $Benchmark BNG Bank 5Y

Eurodollar/Tsy options: 

Eurodollar Options:

* 10,000 Mar 80/82 put spds 4.75

* 10,000 Mar 90/92 1x2 call spds, cab

* 15,000 Dec 76 puts, cab

Block, 1207:56ET

* -10,000 Dec 81/83/86/88 call condors, 7.75 vs.

* +10,000 Dec 77 puts, .75 vs. 98.155/0.30

* -10,000 Mar 80/82 put spds 4.75

* +10,000 Mar 90/92 1x2 call spds, cab

* 15,000 Dec 76 puts, cab

* -25,000 Nov 82 calls, 4.5 vs. 98.145/0.32%

Additional earlier flow includes

* -20,000 Oct 80/81/82 put flys, 10.5

* +10,000 Dec 83/85 1x2 call spds, 0.75

* -7,000 Oct 82 calls,.75

* 5,000 Jun/short Jun 80 put spds, 0.0 / EOM over

* +5,000 short Oct 90 calls, 0.5

* +5,000 Green Oct 88/Green Nov 91 call spds, 1.0/Nov over

chunky ratio put fly, 100k package

* -10,000 Oct 80/81/82 3x5x2, 10.5

* 10,000 long Green Mar'22 95/97 1x2 call spds, 0.0

* 8,750 Dec 78/80/81 put trees, 3.5

* +11,500 Dec 78/80/81 put flys, 2.5 screen

* -3,000 Green Oct 85/87 put spds, 4.0

* 7,500 Mar 80 puts, 1.75

Block, 0755:30ET,

* 5,000 long Green Dec'21 97 calls, 7.5 vs. 98.795/0.15%

Block, 0730:14ET,

* 10,000 Nov 81/82/83 call trees, 2.25 adding to additional 6,500 on screen

Really decent Eurodlr option volume overnight near 400k so far, recent 32.5k Dec

88/91 call spds at .75 includes 12k Blocked. Other highlights:

* 25k Dec 86 calls blocked at 2.0

* 24k Jan 85/87 1x2 call spds

* +20k Nov Nov 82/83 call spds vs. 78/80 put spds, 1.75

* 20k Mar 83/85 call spds vs. Mar 81 puts

Tsy options: 

* +2,000 TYZ 132 calls, 58/64

* Update, over +22,000 TYX 130.75/133.25 call over risk reversals, 2/64

pit/screen

* 3,000 TYZ 130/130.5 put spds, 34/64 vs. 131-22.5

* 1,250 TYX 129 puts, 2/64

* +2,000 TUX 107.62/108 2x1 put spds, 5.0

* -2,000 TUX 107.75 puts, 2/64

Trades point out heavy November 5Y call spd trade

* over 23,000 FVX 120/120.5 1x2 call spds from 3- to 4/64. Note, heavy early

overnight blocks of same call strikes on a 1x1.5 basis: 50,000

* +20,000 TYX 134/134.5/135 call flys, 1/64 on screen

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

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