US TSYS: TSYS OFF EARLY LOWS, QUIET START TO PAYROLLS WEEK

US TSY SUMMARY: Rate selling leg of Mon's risk-off tone evaporates late (block

buy in WNZ adding impetus to rebound), volumes accelerated late w/TYZ just over

1M. Meanwhile, equities hold near highs (ESZ9 +16.0), gold sharply lower but off

lows (-23.5). Yld curves mostly steeper w/exception on 3M10Y flattening.

- Not much flow to report in late trade, long end has drifted back to mildly

higher, many sidelined ahead Wed's ADP (+140k est), Fri's NFP (+148k)

- Early risk-on, proved ephemeral, could be related to stories saying US TSY has

no current plans to block China listings on US exchanges. Risk-off never far

away as mkts wary of headline risks related to impeachment inquiry, Brexit,

global trade, et al. Swap spds hold wider by the bell, limited action after

first half moves. Short end holds mildly positive territory after dis-inverting

first time since beginning of the month. Modest swap-tied volume on the session

includes better rate paying in 5s and 7s. Limited deal-tied flow, appears specs

positioning for further widening.

- The 2-Yr yield is down 1bps at 1.6217%, 5-Yr is down 1.6bps at 1.5457%, 10-Yr

is down 1bps at 1.6697%, and 30-Yr is down 1bps at 2.1182%.

US TSY FUTURES CLOSE: Rate selling leg of Mon's risk-off tone evaporates late

(block buy in WNZ adding impetus to rebound), volumes accelerated late w/TYZ

just over 1M. Meanwhile, equities hold near highs (ESZ9 +16.0), gold sharply

lower but off lows (-22.70). Yld curves mostly steeper w/exception on 3M10Y

flattening. Update: 

* 3M10Y  -3.161, -14.933 (L: -16.805 / H: -9.33)

* 2Y10Y  +0.119, 4.947 (L: 4.158 / H: 6.476)

* 2Y30Y  +0.075, 49.583 (L: 48.872 / H: 52.179)

* 5Y30Y  +0.233, 56.737 (L: 56.107 / H: 58.857)

Current futures levels:

* Dec 2-Yr futures down 0.5/32  at 107-24 (L: 107-21.625 / H: 107-24.37)

* Dec 5-Yr futures down 1.75/32  at 119-4.5 (L: 118-31.25 / H: 119-05.75)

* Dec 10-Yr futures down 3/32  at 130-9.5 (L: 130-01 / H: 130-12.5)

* Dec 30-Yr futures down 1/32  at 162-10 (L: 161-17 / H: 162-14)

* Dec Ultra futures up 3/32  at 191-30 (L: 190-12 / H: 192-02)

US EURODLR FUTURES CLOSE: Well off session lows, levels near top end of range

w/Whites-Blues mildly lower, Golds outperform. Current White pack (Dec 19-Sep

20): 

* Dec 19 -0.005 at 98.035

* Mar 20 -0.005 at 98.330

* Jun 20 -0.010 at 98.445

* Sep 20 -0.010 at 98.525

* Red Pack (Dec 20-Sep 21) -0.02 to -0.015

* Green Pack (Dec 21-Sep 22) -0.015 to -0.01

* Blue Pack (Dec 22-Sep 23) -0.01 to -0.005

* Gold Pack (Dec 23-Sep 24) -0.005 to +0.005

US DOLLAR LIBOR: Latest settles

* O/N -0.0056 at 1.8215% (-0.0414 last wk)

* 1 Month -0.0159 to 2.0156% (-0.0050 last wk)

* 3 Month -0.0135 to 2.0851% (-0.0360 last wk)

* 6 Month -0.0074 to 2.0556% (-0.0074 last wk)

* 1 Year -0.0111 at 2.0321% (-0.0218 last wk)

US SWAPS: Spds hold wider by the bell, limited action after first half moves.

Short end holds mildly positive territory after dis-inverting first time since

beginning of the month. Modest swap-tied volume on the session includes better

rate paying in 5s and 7s. Limited deal-tied flow, appears specs positioning for

further widening. Current spd levels:

Time (ET)   2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

Mon 1500    +0.12/+1.25    +0.38/-4.50   +0.44/-10.50   +0.69/-40.44

1330        +0.12/+1.25    +0.31/-4.56   +0.50/-10.44   +0.56/-40.56

1130        +0.25/+1.38    +0.50/-4.38   +0.44/-10.50   +0.56/-40.56

0930        +0.12/+1.25    +0.38/-4.50   +0.56/-10.38   +0.62/-40.50

Mon Open    +0.12/+1.25    +0.44/-4.44   +0.44/-10.50   +0.44/-40.69

Mon 0730    +0.38/+1.50    +0.56/-4.31   +0.50/-10.44   +0.38/-40.75

Fri 1500    +1.25/+0.81    +1.75/-4.75   +1.38/-10.56   +2.00/-40.56

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

* Daily Effective Fed Funds Rate: 1.83%, volume: $85B

* Daily Overnight Bank Funding Rate: 1.82%, volume: $183B

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

* Secured Overnight Financing Rate (SOFR): 1.82%, $1.084T

* Broad General Collateral Rate (BGCR): 1.80%, $453B

* Tri-Party General Collateral Rate (TGCR): 1.80%, $427B

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

01-Oct 0315 Chi Fed Evans, on mon pol, Bundesbank, Q&A

01-Oct  -   Sep NA-made light vehicle sales SAAR

01-Oct 0850 Fed VC Clarida, intro remarks AI conf, DC

01-Oct 0855 28-Sep Redbook retail sales m/m

01-Oct 0915 StL Fed Bullard open remarks policy conf

01-Oct 0930 Fed Gov Bowman, open remarks Comm Bank Research conf 

01-Oct 0945 Sep Markit Mfg Index (final) (51.0, 51.0)

01-Oct 1000 Aug construction spending (0.1%, 0.4%)

01-Oct 1000 Sep ISM Manufacturing Index (49.1, 50.3)

01-Oct 1000 Sep ISM Prices Paid Index (46.0, 50.5)

01-Oct 1030 Oct Dallas Fed services index

PIPELINE: *** Quiet end to month after whopping $156.18B priced, most in first

two weeks

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

Slow high-grade pick-up, week estimate less than $20B; $85B est for Oct

09/30 $1.6B #Diageo Capital PLC $600M 5Y +58, $1B 10Y +80

09/30 $1.35B #American Tower $750M 7Y +115, $600M 30Y +160

-

09/27 No new high grade issuance Friday, $23.93B priced on week

09/27 C$400M *Newfoundland and Labrador 30Y +93 

Eurodollar/Tsy options: 

Eurodollar Options:

* +6,000 Jun 86/90 call spds 3.5 over Jun 80 puts

* -5,000 short Oct 87/88/90 call flys, 0.5

* +5,000 Dec 81/82/83 call flys, 1.5 vs. 98.055/0.05%

* +12,500 Mar 88/91 1x2 call spds1.0

* +5,000 Nov 82 puts, 2.5

Block, 0953ET,

* 10,000 Red Mar21 95/91/98 call trees, 1.5

* 10,000 Red Sep21 95/97/98 call trees, 1.0

* +10,000 short Oct/short Nov 81 put spds, 1.5

* +5,000 Mar 85/87 call spds, 4.5

* 2,500 Mar 87/90/92 call trees, 0.5

* 1,500 Nov 80 straddles, 16.5

* 1,500 Feb 82/83 strangle, 26.0

* +7,500 Dec 82/83/85 call flys, 1.0 vs. 98.045/0.05

* +10,000 Mar 88/91 1x2 call spds, 0.75vs. 98.26/0.02%

* +10,000 Jun 91/95 call spds, 3.5 vs. 98.435/0.05%

* -2,000 Mar 83/85 call spds, 3.75 vs. 98.315/0.10%

* 1,500 Oct 80/81/82 call flys, 3.0

Tsy options:

* 1,500 TYZ 129/129.5 put strip, 1-7/64

* 1,500 TYX 130 puts, 38/64

* +4,500 TYZ 133.5 calls, 12/64

* -8,000 FVX 118.5 puts, 14/64, mostly on screen

* -3,500 FVX 118.25/118.75 2x1 put spds, 1/64

* 1,200 FVX 118/118.5 2x1 put spds, 1.5/64

* +1,800 TYX 130.5/131/131.25 call trees, 3/64 earlier

* +2,000 TYX 127/128.5 2x1 put spds, 6/64

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

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