US TSYS: TSYS OFF MID-WEEK/MULTI-YR LOWS AHEAD FRI'S SEP NFP

US TSY SUMMARY: Another volatile day, Tsys back near post ECB/Twist story highs.

Heavy carry-over selling after Tsy ylds climbed to multi-year levels Wed, TYZ

volume >1.1M on open to 2.6M after the close. 10YY currently +.0057 at 3.1870%

vs. 3.2305% high revisits mid 2011 levels.

- Early carry-over selling after Fed Chairman Powell's late Wed comment "funds

rate is likely to get above 'neutral' (i.e., above 3%) at some point, albeit

slowly." Curves continued to steepen. 

- Treasury futures bounced sharply by midmorning on the back of an MNI Sources

story in which the ECB is said to pondering "a possible Twist-like reinvestment

of its maturing debt portfolios next year." The story spurred heavy buying in

Bunds, with Treasury futures close behind.

- US equities cratered (w/gobal eq's) adding to midmorning bounce, weak EM

shares blamed. Ongoing flattener unwinds. Massive Tsy and Eurodollar option

flow, some profit taking on long put positions. Implieds steady/mildly weaker

ahead Fri's Sep NFP. Tsy cash/ylds: 2Y 99-24.25 (2.872%), 5Y 99-06.5 (3.047%),

10Y 97-11.5 (3.187%), 30Y 93-17 (3.343%).

US TSY FUTURES CLOSE: Trades weaker/off lows to near mid-range; Heavy volume

(TYZ 2.53M), curves continue to steepen; update:

* 2s10s +0.906, 31.432 (29.522L/33.671H);

* 2s30s +1.317, 47.245 (45.200L/50.279H);

* 5s30s +1.048, 29.918 (28.875L/32.044H);

Current futures levels:

* Dec Ultra bonds down 29/32 at 150-10 (149-11L/150-28H)

* Dec 30-yr Bond futures down 18/32 at 137-30 (137-08L/138-09H)

* Dec 10-yr futures down 8.5/32 at 117-27.5 (117-19.5L/118-01H)

* Dec 5-yr futures down 04/32 at 112-01 (111-28.5L/112-3.5H)

* Dec 2-yr futures down 01/32 at 105-08 (105-6.5L/105-8.75H)

US EURODOLLAR FUTURES CLOSE: Trading steady to moderately lower, middle of the

range, strong volume with Red Dec seeing the heaviest (EDZ9 677k). Current White

pack (Dec'18-Sep'19):

* Dec'18 -0.000 at 97.340

* Mar'19 -0.015 at 97.135

* Jun'19 -0.020 at 96.960

* Sep'19 -0.030 at 96.850

* Red pack (Dec'19-Sep'20) -0.050-0.040

* Green pack (Dec'20-Sep'21) -0.045

* Blue pack (Dec'21-Sep'21) -0.040

* Gold pack (Dec'22-Sep'22) -0.040-0.035

US DOLLAR LIBOR: Latest settles,

* O/N -0.0029 to 2.1652% (-0.0061/wk) 

* 1 Month +0.0014 to 2.2806% (+0.0201/wk) 

* 3 Month +0.0014 to 2.4096% (+0.0113/wk) 

* 6 Month +0.0147 to 2.6235% (+0.0197/wk) 

* 1 Year +0.0296 to 2.9568% (+0.0382/wk)

US DOLLAR LIBOR: Latest settles,

* O/N -0.0029 to 2.1652% (-0.0061/wk) 

* 1 Month +0.0014 to 2.2806% (+0.0201/wk) 

* 3 Month +0.0014 to 2.4096% (+0.0113/wk) 

* 6 Month +0.0147 to 2.6235% (+0.0197/wk) 

* 1 Year +0.0296 to 2.9568% (+0.0382/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.20% vs. 2.22% prior, $855B

* Broad General Collateral Rate (BGCR): 2.18% vs. 2.20% prior, $427B

* Tri-Party General Collateral Rate (TGCR): 2.18% vs. 2.20% prior, $413B

PIPELINE: Limited issuance after heavy placement first half of week

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

10/04 $750M #AIB Group 5Y +175

-

$10B Priced Wednesday, 47.375B on week ($27B *Comcast jumbo 12-part)

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

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

- Oct 05 Sep nonfarm payrolls (201k, 190k) 0830ET

- Oct 05 Sep private payrolls (204k, 185k) 0830ET

- Oct 05 Sep unemployment rate (3.9%, 3.8%) 0830ET

- Oct 05 Sep average hourly earnings (0.4%, 0.3%) 0830ET

- Oct 05 Sep average workweek, all workers (34.5hrs, 34.5hrs) 0830ET

- Oct 05 Aug trade balance (-$50.1B, -$53.4B) 0830ET

- Oct 05 Q4 St. Louis Fed Real GDP Nowcast 1100ET

- Oct 05 Q4 NY Fed GDP Nowcast 1115ET

- Oct 05 Atl Fed Pres Bostic, Fncl Literacy/Econ Educ'n Conf, GA, Q&A. 1230ET

- Oct 05 Dal Fed Pres Kaplan, Fed sponsored Luncheon, Waco, Texas. 1230ET

- Oct 05 Aug Consumer Credit ($16.6B, $14.5B) 1500ET

- Oct 05 Sep Treasury Allotments (final) 1500ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* 15,000 Short Dec 65/66 2x1 put sprd at 1

* -5,000 Short Mar 63 puts at 3 vs 72/0.12%

* -20,000 Short Mar 66/67 put sprd at 6

* 6,500 Short Mar 62/63/65 put fly, on screen

* -20,000 Short Mar 66/67 put sprd at 6

* 6,500 Short Mar 62/63/65 put fly, on screen

* 47,000 Dec 71 puts at 0.5 vs 9733/0.10%

* +9,000 Blue Dec 67 Straddle at 36.5

Blocks, 1110-1111ET

* total +30,000 Mar 68 puts, 1.0

Block, 11:23:28ET 

* 22,500 Green Dec 66/68 put sprd at 14.5 with 11,250 Green Dec 66/67 put sprd

at 6, bought as a strip 35 total debit, ratio put sprd strip

* 5,000 Short Mar 70 calls at 7 vs 9675/0.25%

* 6,000 Short Jan 65 puts at 2.5 vs 8675/0.15%

* -30,000 Short Dec 71/73 put sprd at 23.5 vs 9781/0.08%

* Total -40,000 all day Short Nov 67 puts at 5.5 vs 77.5/0.48%

* +15,000 Red Mar 60 puts at 3 vs 73/0.10%

* 16,000 Red Sep 60/63 put sprd at 10

* -30,000 Red Dec 63/65/67 put fly at 6.5

* 15,000 Red Dec 68/73 2x1 put sprd at 11.5

* 10,000 Short Dec 68/73 2x1 put sprd at 30

* 5,000 Long Green Jun 55/61 2x1 put sprd at 6

* -7,000 Short Mar 65 puts at 5

* -20,000 Short Nov 67 puts at 5.5

* 15,000 Short Mar 62/63/65 put fly at 1.5 vs 9672.5/0.10%

* 10,000 Red Mar 60 puts at 3

Early screen flow includes

* 10,000 Red Dec 63/65/67 put flys

* just over 34,000 short Dec 96 puts, 3.0

* 7,000 short Mar 65/67 2x1 put spds

Tsy options, Pit/screen:

* 4,000 TYX 115.75/116.5/117.25 put flys on screen, 7/64

Block, 13:02:00ET,

* +18,000 TYF 114.5 puts at 9 vs 117-28/0.10%

* -2,000 TYZ 117 puts at 21

* +4,000 TYZ 116/117 put spds, 12/64

* +1,500 TYX 117 puts at 11 vs 29.5/0.25%

Block, 0848:19ET

* +9,514 TYX 118.5 puts, 50/64

* -17,080 TYZ 117.5 puts, 32/64

* 5,000 TYX 116.25/117.25 put sprd at 11

* -2,000 TYX 117.5 puts at 20

Heavy option volume overnight, some highlight trade w/Block recap below:

* 45,000 TYX 117 puts, 15- to 18/64 (some traded around Nov Bund 161 call blocks

at 5)

* 12,000 TYX 116.75 puts, 11/64 (some traded around Nov Bund 161 calls at 6)

* 20,000 TYX 117.5 puts, 29/64

* 18,000 TYX 118 puts, 44/64

* 13,000 TYX 116.5/117.5 put spds, 16- to 19/64

* 10,000 TYX 116.25/117.25 put spds, 16

* 9,500 TYX 116.5/117.25/117.5/118.25 put condors, 18/64

* 8,000 TYX 117.25/118 2x1 put spds, 3/64 net/2-legs over

* 5,000 TYX/TYZ 115 put spds, 4/64

Blocks recap:

* 20,000 TYX 117.5 puts, 27/64, 0038ET adds to another 20k at 30/64

* 10,000 TYX 117/118 3x1 put spds, 11/64 net/3-leg over 0403ET

* 10,000 TYX 118.7/119.5 call spds, 5/64, 0409:47ET

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

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