US TSYS: TSY YLDS BREAK-OUT MULTI YR RANGE POST ISM SVC PMI

US TSY SUMMARY: Rates finish sharply lower, kick from higher than expected ADP

private employ (+230k vs. +185K est), but ISM services PMI (61.6; biz index

65.2) w/largest two month increase on record -- spurred renewed selling through

second half. 

- Stops triggered on way down as Tsy ylds climbed to highest lvls in years

(10Y), curve flattener unwinds in 2s and 5s vs. 30s, receivers, payer unwinds in

5s and 10s, decent deal-tied selling in mix.

- Anecdotal comment from long-time market watcher on sell-off: "If I were a

voting member of FOMC I would want rates up good bit higher than today. I think

next recession is going to be brutal unless Fed has ample room to cut. Yield

curve be damned." Source added it's "easy to see next recession will be squarely

on Fed's shoulders. There won't be any fiscal room to maneuver." 

- Much better selling on way down, rather heavy put buying in Eurodollar and Tsy

options, implied vol not consistently higher.

- Tsy cash/ylds: 2Y 99-25.5 (2.854%), 5Y 99-10 (3.023%), 10Y 97-18.5 (3.161%),

30Y 94-01 (3.315%).

US TSY FUTURES CLOSE: Trading sharply lower, long end near the bottom of a large

3-handle range, multi-year highs for ylds (2014 for USZ), heavy volume (TYZ

2.27M), curves large steepening; update:

* 2s10s +4.883, 29.707 (24.113L/30.964H);

* 2s30s +5.141, 45.484 (39.440L/47.264H);

* 5s30s +2.644, 29.184 (25.940L/30.241H);

Current futures levels:

* Dec Ultra bonds down 2-23/32 at 151-12 (150-20L/154-02H)

* Dec 30-yr Bond futures down 1-30/32 at 138-18 (138-03L/140-16H)

* Dec 10-yr futures down 22/32 at 118-04 (118-00L/118-28.5H)

* Dec 5-yr futures down 11.5/32 at 112-5.25 (112-2.75L/112-17.75H)

* Dec 2-yr futures down 03/32 at 105-9.25 (105-08.5L/105-12.75H)

US EURODOLLAR FUTURES CLOSE: Trading steady to moderately lower with the short

end, broadly lower out the strip. Strong volume with Red Dec seeing the heaviest

(EDZ9 738k), near the bottom of a wide range. Current White pack

(Dec'18-Sep'19):

* Dec'18 0.000 at 97.335

* Mar'19 -0.015 at 97.145

* Jun'19 -0.030 at 96.980

* Sep'19 -0.045 at 96.880

* Red pack (Dec'19-Sep'20) -0.065-0.050

* Green pack (Dec'20-Sep'21) -0.085-0.075

* Blue pack (Dec'21-Sep'21) -0.090-0.085

* Gold pack (Dec'22-Sep'22) -0.095

US DOLLAR LIBOR: Latest settles,

* O/N -0.0006 to 2.1707% (+0.2504 last wk) 

* 1 Month +0.0046 to 2.2651% (+0.0447 last wk) 

* 3 Month -0.0002 to 2.3981% (+0.0257 last wk) 

* 6 Month +0.0024 to 2.6062% (+0.0118 last wk) 

* 1 Year +0.0069 to 2.9255% (+0.0103 last wk)

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

* Secured Overnight Financing Rate (SOFR): 2.20% vs. 2.25% prior, $861B

* Broad General Collateral Rate (BGCR): 2.18% vs. 2.24% prior, $419B

* Tri-Party General Collateral Rate (TGCR): 2.18% vs. 2.24% prior, $400B

PIPELINE: $10B Priced Wednesday, 47.375B on week

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

10/03 $3B *Enterprise Products $750M 3Y +55, $1B 10Y +100, 1.25B 30Y +150

10/03 $2B *Colombia +1.5B 10Y +140, $500M tap COLOM 5%

10/03 $1.75B *American Honda $700M 3Y +45, $350M 3Y FRN +29, $700M 5Y +62

10/03 $1.5B *CenterPoint Energy, $500M @ 3Y fix +67, 5Y +85, 10Y +115

10/03 $1B *Total Capital 10Y +73

10/03 $750M *MetLife Global funding 3Y +52

- 

$32.75B priced Tuesday, Comcast jumbo 12-part lead, 37.375B/wk

10/02 $27B *Comcast jumbo 12-part: 

      $1.75B 2Y fix +50, 1.25B 2Y FRN +33, $2B 3Y fix +60, $1B 3Y FRN +44,

      $2.5B 5Y fix +75, $500M 5Y FRN +63, $3B 7Y +95, $4B 10Y +110

      $1.5B 12Y +120, $3B 20Y +140, $4B 30Y +150, $2.5B 40Y +175

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

- Oct 04 Clev Fed Pres Mester, Comm Bnkng 21st Cent/research & policy conf, StL

- Oct 04 Fed VC for Supervision Quarles, Comm Banking in 21st Cent Conf, StL

- Oct 04 NY Fed Exec VP Stiroh, "Complexity of Culture Reform in Finance", 4th

Annual Culture and Conduct Forum for Fncl Services Ind, London. 0540ET

- Oct 04 Sep challenger layoff plans (13.7%, --) 0730ET

- Oct 04 29-Sep jobless claims (214k, 216k) 0830ET

- Oct 04 30-Sep Bloomberg comfort index (61.2, --) 0945ET

- Oct 04 Aug factory new orders (-0.8%, 2.2%) 1000ET

- Oct 04 Aug factory orders ex transport (0.2%, --) 1000ET

- Oct 04 28-Sep natural gas stocks w/w 1030ET

- Oct 04 Sep Treasury STRIPS Holdings 1500ET

- Oct 04 03-Oct Fed weekly securities holdings 1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* +30,000 EDU 63/65 put spds, 2.0 vs. 96.855/0.10%

* 30,000 Red Dec 55/60 2x1 put sprd at 4

* 7,000 Short Nov 67/68/70 put fly at 3 vs 9682/0.12%

* 25,000 Red Dec 55 puts at 3.5

Total 25,000 Red Jun'20 56/58 3x2 put spds at 2.5

* 5,000 Red Jun'20 56/58 3x2 put spds at 2.5

* 7,500 Green Dec 66/67 put sprd at 5 vs 9678/0.15%

* 10,000 Front Sep 67/Green Sep 63 put sprd at 1 vs 9686.5/0.10%

* 5,000 Short Mar 68 Straddle at 30

Blocks

* -165,000 Green Dec 67 puts at 8.5 vs 9679.5/0.42%, adds to recent -50k

block/-75k in pit

Total 60,000 Red Mar 57/60 put sprd at 1.5 vs 9681/0.10%

More color to recent trade,

* 20,000 Short Mar 63/66 put sprd at 5 vs 9682.5/0.19%;

-Monday we saw +80k bought at 5 vs 9682.5/0.20% and yesterday we saw +45,000

Short Mar 63/66 put sprd at 4.5 vs 9685.5/0.17%

Block, 11:09:08ET

* 20,000 Green Oct 68/70 call sprd at 1, appears to be a buy

Block, 1059:30ET CME has two posts of 4,200 same price/time

* 4,200 Green Dec'20 96.795, sell through 96.80 post time bid

* 30,000 Red Mar 57/60 put sprd at 1.5 vs 9681/0.10%

* 20,000 Short Mar 63/66 put sprd at 5 vs 9682.5/0.19%

* 10,000 Short Nov 70 calls at 2.5 vs 9683.5/0.22%

* +10,000 Red Jun'20 57/60 3x2 put spds, 3.5

Tsy options, Pit/screen:

* +10,600 TYX 117 puts at 6

Block, 12:50:20ET,

* 11,585 WK1 TYV 118.5 put vs Wk3 TYV 118.25 for net 2 vs 118-09.5/0.20%

* +8,000 TYX 118 puts, 15/64

Long-end scale put buyer, implieds running directionally firmer with rise in

ylds

* +12,000 USX 136 puts from 6/64 to 8/64

Little noise out of the pit with latest trade, underlying futures took out Mon's

lows/rebounds

* +12,500 TYX 117.25/118.25 put spds, 13/64 vs. 118-17

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

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