US TSYS: TSY YLDS SINKING AHEAD OCT NFP

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$]