US TSYS: RISK-ON MOMENTUM, TSY BID AS EQ ROUT RESUMES

US TSY SUMMARY: Risk-off day two, after the fall. Less hectic if not altogether

less painful session after the midweek rout in most asset classes (but equities

in particular). 

- At least Thursday's session traded with intuitive correlations, Treasuries

strong/extending session highs late as equities rout resumed late (S&Ps -1.24%,

DJIA -1.97%), Gold surged over $30 at one point, VIX surged nearly 6.0 to

session high of 28.84 before settling in late at 25.78. US$ receded for second

session.

- Early flow, sources note prop buying short end, bank and real$ buying

intermediates to long end. Heavy two-way across the curve from midmorning to

midday, rate buying surged late (heavy TYZ volume >3.5M late).

- Treasuries holding near highs after $15B 30Y auction trades through, awarded

3.344% rate (3.088% previous) vs. 3.352% WI; 2.42 bid/cover (2.34 previous).

Massive (near 1800 name) sell-program pushed eq's to new lows late.

- Tsy cash/ylds: 2Y 99-25.75 (2.846%), 5Y 99-14 (2.998%), 10Y 97-24 (3.138%),

30Y 94-04 (3.310%).

US TSY FUTURES CLOSE: Trading sharply higher with the long end just off late

session highs, heavy volume (TYZ 3.19M), curves continue flattening; update:

* 2s10s -2.812, 29.859 (28.689L/32.869H);

* 2s30s -3.784, 46.355 (46.097L/51.540H);

* 5s30s -2.985, 31.365 (30.870L/35.704H);

Current futures levels:

* Dec Ultra bonds up 2-13/32 at 151-18 (149-25L/151-22H)

* Dec 30-yr Bond futures up 1-18/32 at 138-26 (137-23L/138-29H)

* Dec 10-yr futures up 20.5/32 at 118-12.5 (117-30.5L/118-14.5H)

* Dec 5-yr futures up 10/32 at 112-10.5 (112-3.25L/112-11.75H)

* Dec 2-yr futures up 2.25/32 at 105-10.5 (105-8.75L/105-11.75H)

US EURODOLLAR FUTURES CLOSE: Short end lags broadly higher out the strip. Strong

volume lead by Red Dec (EDZ9 590k). Current White pack (Dec'18-Sep'19):

* Dec'18 -0.005 at 97.325

* Mar'19 +0.005 at 97.145

* Jun'19 +0.025 at 96.990

* Sep'19 +0.045 at 96.885

* Red pack (Dec'19-Sep'20) +0.070-0.050

* Green pack (Dec'20-Sep'21) +0.080-0.070

* Blue pack (Dec'21-Sep'21) +0.085

* Gold pack (Dec'22-Sep'22) +0.090

US DOLLAR LIBOR: Latest settles,

* O/N +0.0002 to 2.1722% (+0.0005/wk)

* 1 Month -0.0037 to 2.2795% (+0.0028/wk)

* 3 Month +0.0111 to 2.4363% (+0.0282/wk)

* 6 Month -0.0010 to 2.6352% (+0.0123/wk)

* 1 Year -0.0149 to 2.9542% (-0.0041/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.15% vs. 2.15% prior, $839B

* Broad General Collateral Rate (BGCR): 2.14% vs. 2.13% prior, $431B

* Tri-Party General Collateral Rate (TGCR): 2.14% vs. 2.13% prior, $409B

PIPELINE: Slow day for issuance after $12.65B priced Wed

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

10/11 $1.5B *Kommunalbanken 3Y +3

-

$12.65B priced Wednesday

10/10 $4B *KFW 3Y flat

10/10 $2.5B *Province of Ontario Canada 5Y +25

10/10 $1.4B *TransCanada Pipeline $400M tap 4.25%, $1B 30Y +170

10/10 $750M *CPPIB Capital Inc +3

10/10 $500M *Jackson National Life 2Y +30

10/10 $2.5B *Sumitomo Mitsui Financial Grp (SMFG) $1.85B 5Y fix/FRN, $650M 10Y

+112

10/10 $1B *Sumitomo Mitsui Banking Corp 2Y +37

Chatter $3B total US$ denominated PBOC 5Y, 10Y and 30Y

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

- Oct 12 Sep imports price index (-0.6%, 0.1%) 0830ET

- Oct 12 Sep exports price index (-0.1%, --) 0830ET

- Oct 12 Chi Fed Pres Evans, ENGAGE Undergrad Inv Conf, UofM, MI, Q&A. 0930ET

- Oct 12 Oct Michigan sentiment index (p) (100.1, 100.6) 1000ET

- Oct 12 Q4 St. Louis Fed Real GDP Nowcast (+4.47%, --) 1100WT

- Oct 12 Q4 NY Fed GDP Nowcast (+2.8%, --) 1115ET

- Oct 12 Atl Fed Pres Bostic, recruitment, economics, and public policy prof'n,

Network of Schools of Public Policy, Affairs and Admin Conf, Ga, Q&A. 1230ET

- Oct 12 US Fed VC Quarles discussion w/ Tim Adams, President and CEO Int Inst

of Finance, IIF Annual Membership Meeting in Bali, Indonesia, audience Q&A.

2230ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: Block, 1154-1156ET

* total +20,000 short Nov 68/71 call spds, 3.0 vs. 96.79/0.24%

* -20,000 Dec 72/73 Strangle at 4

* +25,000 Nov 73 calls at 1 vs 9732/0.20%

* 6,500 Red Jun 55/57 5x4 put sprd at 7.5

* +4,000 short Mar 63/66 put spds, 6.5

* +80,000 Mar 68 puts at 1.0-1.25 vs 9712.5/0.13%

* 45,000 (15k Blocked) Jun 66/67/68 put fly at 2.5 vs 9696/0.05%

* 4,000 Short Mar 61/63/66 2x3x1 put fly, on screen

* 8,000 Short Dec 70 calls at 3.5 vs 9681/0.10%

* +4,000 Mar 70/71 strangles, 12.0

* +6,500 Red Sep 55/57 5x4 put spds 7.5, 4-leg over

* -15,000 Short Mar 66 puts vs Blue Mar 63/66 put sprds, 2.5 net/Blue Mar over

Block, 09:07:53ET,

* 13,750 Red Mar 72/77 1x2 call sprd at 2, note recent 4k at 1.5 in pit

* +10,000 long Green Mar 62/72 call over risk reversals, 4.5

* +5,000 short Nov 67 puts, 5.0

* 6,000 Dec 70/71 put sprd at CAB

* 4,000 Red Mar 72/77 1x2 call sprd at 1.5

* -5,000 Blue Nov 67 Straddle at 18 vs 78/0.18%

Block, 0854:28ET

* +20,000 Sep 73/78 1x2 call spds, 1.5

* 5,000 Mar 66/68/71 put fly at 5.5

* 10,000 Short Dec 70/71 call sprd at 1.5 vs 9675/0.09%

Recapping overnight trade, decent volume >250k (not including sizable Blocks)

* Over 80,000 (50k Blocked) Mar 72/73 1x2 call spds, 0.00

* 85,000 (70k Blocked) short Oct 70 calls from 0.25-0.50

* Over 41,000 short Dec 71 calls, 1.5 last

* over 10,000 short Nov 70 calls, 2.0 last

* 6,500 short Nov 66 puts, 2.0 last

* Misc flow short Mar & Dec, Green Mar & Dec 70 calls

Tsy options, Pit/screen:

concerted effort to buy upside calls, outright and vs. OTM puts, implieds

steady/firmer

* >-15,000 FVZ 112 puts from 16- to 16.5/64

* +2,000 TYF 116/120 call over risk reversals, 0.0 vs. 118-00.5/0.32%

* +4,000 TYF 119.5 calls at 17 vs 28.5/0.20%

* +5,000 TYZ 116.5/117.5 put sprd at 16

* +4,900 TYZ 117 puts at 15 vs -2,000 TYZ 119 calls at 19 vs 118-05/0.80%

* +10,000 TYG 115/116 2x1 put sprd for net 

Block, 09:07:53ET,

* 18,000 TYF 114.5 puts at 5

* 5,000 TYX 116.25/117.25 put spds, 5/64 vs. 118-04

* Sellers TYZ 118 straddles 118-117

* Total -20,000 TYZ 116/117.5 put sprd at 16

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

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