US TSYS: TSY CURVES BEAR FLATTEN, MIDTERMS UNDERWAY

     US TSY SUMMARY: Tsys trading mildly weaker/off lows after decent $27B 10Y

auction (9128285M8), trades through/awarded 3.209% rate (3.225% in October;

3.111% avg) vs. 3.218% WI; 2.54 bid/cover (2.39 previous).

- Early Tsy support evaporated as equities opened bid, held gains into midday,

but support tenuous during Midterm elections. Reports of large equity sell

imbalances induced late chop as stocks pared gains, Tsys inched off lows, late

position squaring.

- Otherwise, early two-way flow turned better selling by prop, fast- and real$

in 5s-10s. Midterm election risk-event buoys implied vol in at-the-money 5- and

10Y options read higher on the day. Better put volume on net, calls more

two-way. 

- Tsy futures flattener Block: -11,398 FVZ 112-05 vs. +2,103 WNZ 148-19; Large

TYZ 117.5 put roll to TYF Block ahead quarterly expiry in couple weeks.

- Tsy cash/ylds: 2Y 99-28.75 (2.924%), 5Y 99-06.75 (3.045%), 10Y 97-06 (3.210%),

30Y 92-03 (3.425%).

US TSY FUTURES CLOSE: Trading mostly/mildly lower with Ultra-Bond outperforming,

narrow overall range; moderate volume (TYZ 1.04M); curves flattening; update:

* 2s10s -0.868, 28.054 (27.863L/29.402H);

* 2s30s -1.991, 49.668 (49.259L/52.371H);

* 5s30s -2.069, 37.777 (37.434L/40.539H);

Current futures levels:

* Dec Ultra bonds up 05/32 at 148-20 (148-09L/148-28H)

* Dec 30-yr Bond futures down 03/32 at 137-15 (137-08L/137-23H)

* Dec 10-yr futures down 03/32 at 118-1.5 (117-31L/118-7.5H)

* Dec 5-yr futures down 03/32 at 112-3.5 (112-2.25L/112-08H)

* Dec 2-yr futures down 1.25/32 at 105-07 (105-6.75L/105-09H)

US EURODOLLAR FUTURES CLOSE: Steady to mildly lower in the middle of a tight

range; moderate volume. Current White pack (Dec'18-Sep'19):

* Dec'18 0.000 at 97.240

* Jun'19 -0.005 at 97.090

* Jun'19 -0.010 at 96.935

* Sep'18 -0.015 at 96.830

* Red pack (Dec'19-Sep'20) -0.020-0.015

* Green pack (Dec'20-Sep'21) -0.020-0.015

* Blue pack (Dec'21-Sep'21) -0.010

* Gold pack (Dec'22-Sep'22) -0.010-0.005

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0014 to 2.1766% (+0.0020/wk) 

* 1 Month +0.0008 to 2.3168% (-0.0010/wk) 

* 3 Month +0.0020 to 2.5912% (-0.0011/wk) 

* 6 Month +0.0058 to 2.8415% (+0.0127/wk) 

* 1 Year -0.0005 to 3.1163% (+0.0115/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.24% vs. 2.25% prior, $842B

* Broad General Collateral Rate (BGCR): 2.23% vs. 2.24% prior, $436B

* Tri-Party General Collateral Rate (TGCR): 2.23% vs. 2.24% prior, $418B

SWAPS: Spds hold mostly tighter by the close, long end resisting move amid

better sellers in intermediates after equities traded higher much of session.

Second half flow included better rate and spd paying in 2s (3.116-3.117%),

receivers in 5s from 3.1768-3.1801%, 2s3s5s payer fly. First half flow included

better rate receiving in short end, mild paying in 2s, 3s and 10s, switches in

5s around 3.184-3.166%, 2s5s10s payer fly. Limited deal-tied flow w/issuers

sidelined ahead Midterm elections. Latest spd levels:

* 2Y -0.69/18.44

* 5Y -0.69/13.50

* 10Y -0.38/5.75

* 30Y +0.38/-10.62

PIPELINE: Rentenbank 5Y priced earlier

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

11/06 $1.25B *Rentenbank 5Y +5

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

- Nov 07 Day one of two FOMC policy meeting, Washington

- Nov 07 02-Nov MBA Mortgage Applications (-2.5%, --) 0700ET

- Nov 07 02-Nov crude oil stocks ex. SPR w/w (3.22m bbl, --) 1030ET

- Nov 07 Oct Kansas City Fed LMCI (0.89, --) 1100ET

- Nov 07 US Tsy $19B 30Y bond auction (912810SE9) 1300ET

- Nov 07 Sep consumer credit ($20.1b, $17.0B) 1500ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* -3,000 short Feb 67 straddles, 26.0

* -7,500 Short Mar 67 Straddle at 29.5

* +4,000 short Jan71/72 call spds 1.0 over short Jan 70 puts

* +15,000 Short Dec 66/68 call over risk reversal at 1 vs 74.5/0.50%

* -5,000 Green Jun/Blue Sep 67 Straddle Sprd at 7.5

* -10,000 short Dec/Green Dec 66 put strip, 6.5

* -3,000 Green Mar 67 Straddle at 22 over the Green Nov 67 Straddle

* +10,000 Jan 68/70 2x1 put sprd at 1

* -5,000 Green Nov 63/65/67 2x3x1 put fly at 4 vs 9676/0.34%

UPDATE: Total +10,000 Green Jan 65/66/67 put tree at 2.5

* 5,000 Green Jan 65/66/67 put tree at 2.5

* 4,000 Short Dec 65 puts at 1 vs 9675/0.10%

Tsy options, Pit/screen:

Despite the limited range in underlying, Midterm election

risk-event buoys implied vol in at-the-money 5- and 10Y options read higher on

the day. Better put volume on net, calls more two-way.

* -35,000 TYZ 119 calls at 8 vs.

* +35,000 TYG 118 calls at 49, 2,900 OI

* over +10,000 TYZ 119.25 calls, 6/64 on screen

* 2,600 TYZ 117.5/118 put spds, 12/64

* +5,000 TYZ 118.5/119 call sprd at 8

Block, 11:07:10ET

* -30,000 TYZ8 117.5 puts vs +30,000 TYF9 117.5 puts at 20

* Update, appr 10,000 FVF 111.25/112 3x1 put spds, 0.5- to 1/64 so far

* 2,400 wk3 TY 117.5/117.7/118.2 put trees, 3/64

* +2,500 wk2 TY/TYZ 117 put spds, 5/64

* ongoing seller up to -7,000 TYZ/TYF 121 call spds, 3/64

* 5,000 FVF 111.25/112 3x1 put sprd at 1 vs 03/0.02%

* 3,000 FVZ 111.75/112.75 risk reversals, 0.0 vs. 112-06.7/0.42%

* +4,300 TYZ 116.5/117.5 2x1 put spds, 7/64

* 1,000 TYZ 117.5 puts, 12/64 vs. 118-07/0.10%

* -4,000 TYZ/TYF 121 call spds, 3/64

* +4,000 TYZ 117/117.5/118 put flys, 4/64

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

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