US TSYS: QUIET FI BOUNCE AHEAD LIKELY FOMC CUT WED

US TSY SUMMARY: Generally quiet trade at start of two day FOMC policy annc (CB

policy focus Wed includes FOMC, BOC and BOJ), many near sidelines ahead an

expected 25bp (hawkish) cut from the FOMC, with others more focused on Fri's NFP

(+85k est). 

- Headline risks continue to wag mkt: Tsys gained on back of US/China headline

calling into question chance of Phase I signing at APEC Chile conf Equities

pared, move just as quickly both retrace half the move while WH officials said

US/China officials "working to finalize" Phase I text.

- Two-way flow, position squaring ahead policy Wed, unexpectedly heavy

high-grade corporate issuance >$15B spurred hedges in 3s-30s, 30s/ultra bond

steepener Block, TYZ block buy late.

- The 2-Yr yield is down 0.2bps at 1.6415%, 5-Yr is down 0.2bps at 1.6602%,

10-Yr is down 0.5bps at 1.8367%, and 30-Yr is up 0bps at 2.334%.

MONTH-END EXTENSIONS: UPDATED Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2018; TIPS -0.01Y; Govt inflation-linked, -0.04Y

*.....................Projected...1Y Avg Incr..Last Year

*US Tsys.................0.06........0.08........0.06

*Agencies................0.10........0.08........0.19

*Credit..................0.10........0.09........0.06

*Govt/Credit.............0.08........0.08........0.06

*MBS.....................0.09........0.07........0.06

*Aggregate...............0.08........0.08........0.06

*Long Govt/Credit........0.06........0.10........0.05

*Interm Credit...........0.09........0.08........0.06

*Interm Govt.............0.08........0.08........0.06

*Interm Govt/Cred........0.07........0.08........0.06

*High Yield..............0.09........0.08........0.07

US TSY FUTURES CLOSE: Mostly bid, near middle session range with short end

slipping late. Rather modest volume (TYZ<975k) ahead not just Wed's widely

expected 25bp rate cut, but Fri's NFP data as well. Yld curves steady/mixed.

Update

* 3M10Y  +1.414, 21.039 (L: 17.599 / H: 22.769)

* 2Y10Y  -0.525, 19.119 (L: 18.657 / H: 20.471)

* 2Y30Y  +0.000, 68.843 (L: 67.065 / H: 69.989)

* 5Y30Y  +0.001, 67.047 (L: 65.437 / H: 67.664)

Current futures levels:

* Dec 2-Yr futures down 0.125/32 at 107-18.875 (L: 107-18.125 / H: 107-20.375)

* Dec 5-Yr futures up 0.5/32 at 118-17 (L: 118-14 / H: 118-20)

* Dec 10-Yr futures up 3/32 at 129-8 (L: 129-01.5 / H: 129-11.5)

* Dec 30-Yr futures up 11/32 at 158-20 (L: 158-06 / H: 158-30)

* Dec Ultra futures up 13/32 at 184-11 (L: 183-27 / H: 185-10)

US EURODLR FUTURES CLOSE: Modestly higher across the strip, near middle narrow

range on quiet trade ahead Wed FOMC, mkts still reflecting likelihood of 25bps

rate cut. Current White pack (Dec 19-Sep 20): 

* Dec 19 +0.005 at 98.090

* Mar 20 +0.010 at 98.305

* Jun 20 +0.005 at 98.375

* Sep 20 +0.005 at 98.425

* Red Pack (Dec 20-Sep 21) +0.005 to +0.010

* Green Pack (Dec 21-Sep 22) +0.015

* Blue Pack (Dec 22-Sep 23) +0.015 to +0.020

* Gold Pack (Dec 23-Sep 24) +0.010 to +0.015

US DOLLAR LIBOR: Latest settles

* O/N -0.0006 at 1.8010% (-0.0050/wk)

* 1 Month -0.0137 to 1.7859% (-0.0189/wk)

* 3 Month -0.0084 to 1.9271% (-0.0010/wk)

* 6 Month -0.0100 to 1.9298% (-0.0034/wk)

* 1 Year -0.0065 to 1.9888% (+0.0330/wk) 

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

* Daily Effective Fed Funds Rate: 1.83%, volume: $72B

* Daily Overnight Bank Funding Rate: 1.80%, volume: $183B

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

* Secured Overnight Financing Rate (SOFR): 1.82%, $1.089T

* Broad General Collateral Rate (BGCR): 1.80%, $450B

* Tri-Party General Collateral Rate (TGCR): 1.80%, $423B

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

30-Oct ---- FOMC policy meeting resumes

30-Oct 0700 25-Oct MBA Mortgage Applications (-11.9%, --)

30-Oct 0815 Sep ADP private payrolls (135k, 110k)

30-Oct 0830 Q3 GDP (adv) (2.0%, 1.6%)

30-Oct 0830 Q3 GDP Price Index (2.4%, 1.9%)

30-Oct 1000 Oct help-wanted online ratio

30-Oct 1030 25-Oct crude oil stocks ex. SPR w/w

30-Oct 1400 FOMC policy announcement

PIPELINE: Unexpected $15.3B total issuance on day pushes wk total over $23.3B

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

10/29 $4.75B #Comcast $1.6B 10Y +83, $1.35B 20Y +93, $1.8B 30Y +113

10/29 $4B #Danaher $700M 3Y +40, $700M 5Y +55, $800B 10Y +85, $900M 20Y +100,

$900M 30Y +115

10/29 $3.5B #Mamoura $1B 5Y +95, $1B 10Y +125, $1.5B 30Y +175

10/29 $1.5B #State Street $1B 6NC5 fix/FRN +70, $500M 10NC10 +120

10/29 $750M #Royal Bank of Scotland 10NC2 +210

10/29 $800M #DTE Energy 3Y +70, 10Y +120

10/29 $650M #PNC 5Y Green bond +55

10/?? Chatter: possible T-Mobile US 

Eurodollar/Tsy options: 

Eurodollar Options

* +5,000 Red Dec'20 92 calls, 5.5 

* +5,000 short Dec/Green Dec 87 call strips, 5.0

* +15,000 Sep 88/93 call spds, 7.0

* Update, total -40,000 Dec 82/83 call spds .25 over Jun 91/92 call spds

* +10,000 Jun 75 puts, 0.5 vs. 98.37/0.05%

* -5,000 short Nov 86 calls

* +5,000 Dec 83/85 call spds, 0.5

* +5,000 Red Jun 65 puts, 1.0

* update, total +15,000 Sep/Red Dec'20 92 2x1 call spds, 14.0

* +30,000 short Jan 87/90 call spds w/ short Mar 90/92 call spd strip, 6.25

total (short Mar on splits)

* total over +25,000 Jan 78/81 put spds, 1.75 (mostly on screen)

* -2,500 Mar 82 puts, 9.5 vs. 98.31

* 3,000 Nov 82/83 call spds, cab

* +17,000 Jan 78/81 put spds, 1.75

Tsy options:

* -3,000 TYZ 129.25 straddles, 112

* +25,000 FVZ 116 puts, 1

* +4,500 USZ 156.5/161.5 strangles vs. 1,500 USZ 159 straddles

* +5,600 TYZ 133.25 calls, 1/64

* 10,400 FVZ 121.5 calls, .5/64

* 10,900 USZ 167 calls, 2/64

* 9,100 TUZ 106.75 puts, .5/64

* -2,500 TYZ 127 puts, 4/64

* +2,500 TYZ 126 puts, 2/64

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

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