US TSYS: STRONG EMPLOY DATA RULES OUT DEC HIKE

US TSY SUMMARY: Fri's stronger than exp Oct NFP (+128k vs. +85k est) saw rates

gap lower followed by decent two-way positioning from fast$ and prop accts in

intermediates. Midmorning bounce reversed on weaker than expected manufacturing

PMI (48.3 vs. 49.0 exp). Post-data perspective: Tsy futures only unwound half

Thursday's strong rally that was driven by US/China long-term trade deal doubts

and weakest PMI in near 4 years.

- Fed speakers out of blackout, Dallas Fed Pres Kaplan said current mon/pol

"basically appropriate" and "strongly advocates remaining patient". Lead

quarterly Eurodollar futures traded off on decent volume, Dec rate cut chances

back to the mid-teens.

- Decent but not heavy volume trade, rather disappointing for a NFP miss. 3M10Y

curve lead steepening to near 7 month highs ahead NY Fed bill buy operation:

purchases $7.501B in 30 minute op. Long end buying late with modest short

duration unwinds in 30s.

- The 2-Yr yield is up 4bps at 1.564%, 5-Yr is up 3.8bps at 1.5572%, 10-Yr is up

3.9bps at 1.7295%, and 30-Yr is up 3.3bps at 2.2125%.

US TSY FUTURES CLOSE: Lower but well off lows amid late short covering on

lighter volume by the bell. Decent but not heavy volume trade, rather

disappointing for a NFP miss. 3M10Y curve lead steepening to near 7 month highs

ahead NY Fed bill buy operation: purchases $7.501B in 30 minute op. Update

* 3M10Y  +5.2, 19.599 (L: 12.356 / H: 21.718)

* 2Y10Y  -0.185, 16.123 (L: 13.947 / H: 17.098)

* 2Y30Y  -0.538, 64.579 (L: 62.49 / H: 66.094)

* 5Y30Y  -0.669, 65.283 (L: 63.831 / H: 67.149)

Current futures levels:

* Dec 2-Yr futures down 2.125/32  at 107-23.5 (L: 107-21.75 / H: 107-26.37)

* Dec 5-Yr futures down 5/32  at 119-1.5 (L: 118-29.5 / H: 119-10.5)

* Dec 10-Yr futures down 7/32  at 130-2.5 (L: 129-27 / H: 130-15.5)

* Dec 30-Yr futures down 17/32  at 160-27 (L: 160-10 / H: 161-22)

* Dec Ultra futures down 28/32  at 188-28 (L: 187-29 / H: 190-06)

US EURODLR FUTURES CLOSE: Weaker across the strip but off lows, lead quarterly

lead volume (>310k) as year end rate chances fell back to mid-teens following

stronger than expected Oct employ data (+128k vs. +85k est). Current White pack

(Dec 19-Sep 20): 

* Dec 19 -0.025 at 98.105

* Mar 20 -0.040 at 98.350

* Jun 20 -0.045 at 98.445

* Sep 20 -0.045 at 98.515

* Red Pack (Dec 20-Sep 21) -0.055 to -0.05

* Green Pack (Dec 21-Sep 22) -0.055 to -0.045

* Blue Pack (Dec 22-Sep 23) -0.045 to -0.035

* Gold Pack (Dec 23-Sep 24) -0.035 to -0.025

US EURODLR FUTURES: Weekly Update: Headline risk wagged markets in lead-up to

Wed's FOMC. Mild risk-on Monday, rates eased on headlines that the EU agreed to

Jan 31 Brexit extension as well as DC officials expecting US/China phase 1 deal

in Nov. 

- Quiet consolidation Tue as China cast doubt on deal, position squaring ahead

FOMC. Rates rallied after Fed delivered "hawkish" cut Wed, telegraphing another

cut unlikely. Reds-Golds gained on Fed chair comment: not seeing

significant upward inflation. 

- Rates surged higher Thu, kicked off on early headlines that China officials

doubt long-term (phase 2) deal w/US; again after Chicago PMI fell 3.9 to 43.2 in

Oct, lowest since Dec'15. 

- Fri's stronger than exp Oct NFP (+128k vs. +85k est) saw rates gap lower,

reversing half Thu's rally. W/Fed out of blackout, Dallas Fed Pres Kaplan said

current mon/pol "basically appropriate" and "strongly advocates remaining

patient".

- For the week: Taking the current Friday session into account, lead EDZ9

futures only gained 0.005 to 98.095, while EDH0 through EDU0 climbed

0.035-0.070; Reds (EDZ0-EDU1) +0.080-0.085 higher, Greens through Golds

(EDZ1-EDU4) 0.090-0.105 higher.

US DOLLAR LIBOR: Latest settles

* O/N -0.0077 at 1.5922% (-0.2138/wk)

* 1 Month -0.0106 to 1.7743% (-0.0305/wk)

* 3 Month -0.0118 to 1.8905% (-0.0377/wk)

* 6 Month -0.0139 to 1.9024% (-0.0308/wk)

* 1 Year -0.0301 to 1.9252% (-0.0306/wk) 

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

* Daily Effective Fed Funds Rate: 1.58% vs. 1.82% prior, volume: $71B

* Daily Overnight Bank Funding Rate: 1.57% vs. 1.80% prior, volume: $172B

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

* Secured Overnight Financing Rate (SOFR): 1.76%, $1.174T

* Broad General Collateral Rate (BGCR): 1.73%, $467B

* Tri-Party General Collateral Rate (TGCR): 1.73%, $444B

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

04-Nov 0945 Oct ISM-NY current conditions

04-Nov 1000 Sep durable goods orders (-1.1%, -1.1%)

04-Nov 1000 Sep factory new orders (-0.1%, -0.5%)

04-Nov 1000 Sep factory orders ex transport (-0.5%, --)

04-Nov 1000 Oct ETI

04-Nov 1505 NY Fed Lorie Logan, $mkt developments, primary dealer meet

04-Nov 1700 SF Fed Pres Mary Daly, fireside chat Global Economy, NYU

PIPELINE: Issuers sidelined ahead NFP

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

11/01 Nothing in pipeline for Friday; $100B est for month of November

11/?? Chatter: T-Mobile US 

-

$2.65B priced Thursday; $26.65B/wk, $101B/month of Oct

10/31 $2B *HSBC 6NC5 fix/FRN +112

10/31 $350M *Private Export Funding (PEFCO) 5Y +25

10/31 $300M *PACCAR Financial WNG +3Y +38

Eurodollar/Tsy options: 

Eurodollar Options

* -5,000 Dec 81/82 call strip, 5.0

* 3,000 Dec 81 puts, 6.5 vs. 98.10

* 4,000 Jan 86/87 call spds, 0.75

* -5,000 Jan 83 straddles, 16.0

* 5,000 Dec 81/82/83 call flys, 2.0

* 2,000 Jun 90/91/92 call flys, 1.0

* 2,000 Jun 90/92/95 call flys, 1.5

* appr +10,000 Sep 97/100 call spds, 0.5

* 5,000 Mar 85/87 1x2 call spds, 1.0

* +20,000 Dec 83 calls, 0.5

* -4,000 short Jun 85 straddles, 43.5-44.0

* total +10,000 EDZ 81/83 1x3 call spds earlier, 0.5

* over 12,000 short Nov 88 calls 0.5 on screen

Recap overnight trade, block

* Block 40,000 short Jan 83/88 put over risk 0.5

* Block 5,000 short Dec 83/85 2x1 put spds, 1.0

* 8,000 Dec 81/82 1x3 call spds, cab

Tsy options:

* -3,000 TYF 129/132 strangles, 38/64

* over +6,500 TYZ 129.5/130.5 strangles, 36/64

* +2,000 TYF 130 straddles, 1-41/64

* appr 8,500 TYZ 133.25 calls, 1/64 on screen

Flow largely bullish on direction, vol offered post data

* +4,000 wk2 TY 129.5/131 call over risk reversals, 1/64 vs. 130-08.5/0.36%

* -3,000 TYZ 128.75/131.75 strangles, 10/64

* -3,000 FVF 117.25/118.25 put spds, 5/64 on screen

* +2,000 FVZ 120.25 calls, 1.5/64

* -5,000 TYZ 129.75 puts, 21- to 20/64

* 2,000 FVH 117.5/118/118.5 put trees, 2/64

* 1,500 TYZ 130/130.75 1x2 call spds, 4/64 vs. 129-29

* 3,000 TYZ 129 puts, 6/64

Recap overnight trade, block

* Block 40,000 FVF 118.75/120.5 put over risk reversals 3.5/64 vs.

119-05.5/0.50%

* 20,000 wk1 10Y 130 calls, 6- to 7/64

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

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