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AUSSIE 10-YEAR TECHS

(H1) Fragile Outlook

US TSYS SUMMARY

Curve Lower, Flatter as Yields Reverse Off Cycle Highs

US TSY/RECAP

Yield Curve Update

STIR FUTURES

Eurodollars Futures Snapshot

USDCAD TECHS

Consolidating

AUDUSD TECHS

Probes Key Support

     
US TSY SUMMARY: Strong risk-off bid for rates all session, kicked off early
London trade on headlines that China officials doubt long-term (phase 2) deal
w/US. Kicking rates higher midmorning: Chicago Business Barometer fell 3.9
points to 43.2 in October, the lowest level since December 2015. Sights now on
Fri's Oct NFP if data comes in anywhere near Sep (+136k), or there are strong
up-revisions (unlikely) to prior, Tsys are going to reverse current levels.
- Sources reported prop and real$ buying 10s, small 3M10Y steepener unwinds put
on earlier in week. Eurodollar futures climbed higher as well post data, lead
quarterly gained +0.030 as rate cut chances for year end gather momentum day
after Fed dropped rate for third time this year. Bbg model showed 31.5% vs. 25%
pre-open. Option flows leaning towards better upside call buying.
- Large midday Block buying 2s, 5s and 10s underpinned futures while
market-on-close month-end flow saw Tsys retrace slightly, mixed curve flow,
light corporate hedging. The 2-Yr yield is down 7.6bps at 1.5219%, 5-Yr is down
9bps at 1.5163%, 10-Yr is down 8.4bps at 1.6875%, and 30-Yr is down 7.5bps at
2.1776%.
MONTH-END EXTENSIONS: FINAL 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........0.09........0.06
*Agencies................0.10........0.06........0.19
*Credit..................0.10........0.09........0.06
*Govt/Credit.............0.08........0.09........0.06
*MBS.....................0.09........0.05........0.06
*Aggregate...............0.08........0.08........0.06
*Long Govt/Credit........0.06........0.09........0.05
*Interm Credit...........0.09........0.07........0.06
*Interm Govt.............0.08........0.08........0.06
*Interm Govt/Cred........0.07........0.08........0.06
*High Yield..............0.09........0.07........0.07
US TSY FUTURES CLOSE: Broadly higher but off top end of wide range in late
trade, pressure by market-on-close month end flow. Yld curves mixed/off flatter
levels. Update
* 3M10Y  -2.669, 15.434 (L: 12.773 / H: 18.329)
* 2Y10Y  -0.158, 16.832 (L: 14.045 / H: 17.646)
* 2Y30Y  +0.635, 65.684 (L: 60.665 / H: 65.971)
* 5Y30Y  +1.594, 66.03 (L: 61.225 / H: 66.243)
Current futures levels:
* Dec 2-Yr futures up 5.75/32  at 107-25.625 (L: 107-19.5 / H: 107-26.25)
* Dec 5-Yr futures up 17.5/32  at 119-6.25 (L: 118-21 / H: 119-08)
* Dec 10-Yr futures up 25.5/32  at 130-09 (L: 129-17 / H: 130-13)
* Dec 30-Yr futures up 1-23/32  at 161-10 (L: 159-21 / H: 161-21)
* Dec Ultra futures up 3-3/32  at 189-16 (L: 186-14 / H: 190-06)
US EURODLR FUTURES CLOSE: Broadly higher after the bell, near highs. Reds-Golds
outperforming while Dec cut chances drifting around 27.7%. Current White pack
(Dec 19-Sep 20): 
* Dec 19 +0.030 at 98.130
* Mar 20 +0.080 at 98.390
* Jun 20 +0.095 at 98.485
* Sep 20 +0.115 at 98.560
* Red Pack (Dec 20-Sep 21) +0.120 to +0.130
* Green Pack (Dec 21-Sep 22) +0.130 to +0.135
* Blue Pack (Dec 22-Sep 23) +0.115 to +0.125
* Gold Pack (Dec 23-Sep 24) +0.095 to +0.115
US DOLLAR LIBOR: Latest settles
* O/N -0.2045 at 1.5999% (-0.2061/wk)
* 1 Month +0.0035 to 1.7849% (-0.0199/wk)
* 3 Month -0.0069 to 1.9023% (-0.0259/wk)
* 6 Month -0.0032 to 1.9163% (-0.0169/wk)
* 1 Year -0.0245 to 1.9553% (-0.0005/wk)
STIR: Federal Reserve Bank of New York EFFR for prior session:
* Daily Effective Fed Funds Rate: 1.82%, volume: $69B
* Daily Overnight Bank Funding Rate: 1.80%, volume: $178B
US TSYS: REPO REFERENCE RATES: (rate, volume),
* Secured Overnight Financing Rate (SOFR): 1.82%, $1.099T
* Broad General Collateral Rate (BGCR): 1.80%, $450B
* Tri-Party General Collateral Rate (TGCR): 1.80%, $425B
OUTLOOK: *** US Data/speaker calendar (prior, estimate):
01-Nov  -   Oct NA-made light vehicle sales SAAR
01-Nov 0830 Oct nonfarm payrolls (136k, 85k); private payrolls (114k, 80k)
01-Nov 0830 Oct unemploy rate (3.5%, 3.6%); avg hourly earnings (0.0%, 0.3%)
01-Nov 0830 Oct average workweek, all workers (34.4hrs, 34.4hrs)
01-Nov 0930 Dal Fed Pres Kaplan, Rice Energy Finance Summit, Q&A
01-Nov 0945 Oct Markit Mfg Index (final) (51.5, 51.5)
01-Nov 1000 Sep construction spending (0.1%, 0.2%)
01-Nov 1000 Oct ISM Manufacturing Index (47.8, 49.0)
01-Nov 1100 Q4 St. Louis Fed Real GDP Nowcast 
01-Nov 1115 Q4 NY Fed GDP Nowcast
01-Nov 1300 VC Richard Clarida luncheon at Japan Society
01-Nov 1300 VC Quarles, "Friedrich Hayek & Price System", Yale conf, Q&A
01-Nov 1300 SF Fed Pres Daly, Howard Univ, DC talk, livestreamed
01-Nov 1430 NY Fed Williams, moderated discussion, Rutgers
PIPELINE: 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
10/??-11/?? Chatter: T-Mobile US 
-
10/29 No new issuance early Wed; $24B total/wk ($98.3B/month)
-
Unexpected $15.95 total issuance Tue pushed wk total to $24B ($98.3B/month)
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 $650M *PNC 5Y Green bond +55
Eurodollar/Tsy options: 
Eurodollar Options
* Update, total -30,000 Mar 80/82 put spds 1.25 over Mar 87 calls vs.
98.385/0.40%
* +18,500 Sep 97/100 call spds, 0.5, huge open interest already for the par call
at 244,653
* +30,000 Dec 83/85 call spds, 0.5 (chatter partial unwind existing fly position
* +5,000 Feb 88 calls, 1.25
* +22,000 Feb 88 calls, 1.5 on screen
* -10,000 short Jan 83/87 put over risk reversals, 1.5
Block, 1002:50ET adds to +15k earlier
* another +10,000 Mar 87/91 call spds, 2.0 vs. 98.36
* +5,000 Dec 83 calls, 0.75
* +10,000 Red Jun21 88/90/97 broken call trees, 1.25
* total +10,000 Apr/Jun 86/88 1x2 call spd strip, 0.0 net
* +14,000 Mar 80 puts, 1.0
* +5,000 Apr/Jun 86/88 1x2 call spd strip, 0.0 net
* +4,000 Dec 82/85 call spds vs. Dec 80 puts, 0.0 net
* BLOCK +15,000 Mar 87/91 call spds, 2.0
* +10,000 Dec 83 calls, 0.75 vs. 98.13/0.10%
* -3,000 short Nov 83/86 strangles, 4.0
* 2,000 Dec 81/82/85 2x3x1 call flys, 4.5
* +5,000 Feb 85/86/87 call flys, 1.0
* -7,000 Dec 80/82 strangles, 6.0
Block, 0831:59ET
* -20,000 Nov 80/81/82 call flys, 7.5 vs.
* -20,000 Dec 81 calls, 5.0 vs.
* +12,600 Dec'19 98.11
Early overnight block recap:
* total -80,000 short Jan 83/87 put over risk reversals, 2.5-3.0
Tsy options:
flurry sub cab trade
* +10,000 FVZ 115.5 puts, cab-7 as well as (open interest 18,954)
* +6,000 FVZ 115.75 puts, cab-7 (open interest 46,545)
* -10,000 TYZ 129.75 puts, 21- to 20/64
* Update, over +15,000 TYZ 130.25 straddles, 104-105 pit/screen
* 3,000 TYZ 131/132 call spds 7/64 over TYZ 127/128 put spds
* 2,000 TYF 131 calls, 37/64 vs. 131-00/0.36%
Block, 0745:45ET adding to 24k on screen
* -39,740 TYZ 132 calls, 3/64
Screen trade,
* -20,000 TYZ 132 calls, 3/64, total volume just over 24k
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com