US TSYS: ADIEU DRAGHI, FINAL ECB POLICY ANNC/PRESSER

US TSY SUMMARY: Reversion to the day's mean, levels gradually receded through

the second half to near middle session range after the bell amid better volume

than the first 3 days of week w/ TYZ>1.1M.

- Quiet 2-way trade, positioning ahead weekend, while the surprise $6.5B Wells

Fargo issuance weighed on intermediates late. Yld curves were marginally steeper

for most part (3M10Y little flatter).

- Tsys extended session highs after making new session lows in early trade

(brief dip on stronger than exp Markit U.S. Manufacturing PMI: 51.5 vs 50.9exp).

No one specific driver for apparent risk-off move though several TYZ block/buy

throughs provided some impetus on way while EGBs made similar gains.

- Third strong auction in a row, US Tsy $32B 7Y Note auction (912828YQ7) awarded

1.657% rate vs. 1.664% WI (previous $32B 7Y awarded 1.633%); 2.46 bid/cover vs.

2.49 prior. Indirects drew 65.4420% vs. 65.20% prior, directs 14.49% vs. 14.60%,

dealers 20.07%.

- The 2-Yr yield is down 0.4bps at 1.5777%, 5-Yr is down 0.6bps at 1.5848%,

10-Yr is down 0.2bps at 1.7625%, and 30-Yr is up 0.1bps at 2.2557%.

US TSY FUTURES CLOSE: Weaker but off early session lows. Rates traded higher

most of the session but gradually pared gains after making session highs around

midday. Yld curves marginally steeper for most part. Update

* 3M10Y  -0.663, 9.358 (L: 6.973 / H: 11.678)

* 2Y10Y  +0.155, 18.013 (L: 16.731 / H: 19.058)

* 2Y30Y  +0.307, 67.168 (L: 65.049 / H: 68.528)

* 5Y30Y  +0.78, 66.959 (L: 65.186 / H: 67.885)

Current futures levels:

* Dec 2-Yr futures down 0.25/32  at 107-23.375 (L: 107-22.25 / H: 107-25)

* Dec 5-Yr futures down 1/32  at 118-29 (L: 118-26.25 / H: 119-01.75)

* Dec 10-Yr futures down 1.5/32  at 129-26 (L: 129-20.5 / H: 130-02)

* Dec 30-Yr futures down 5/32  at 159-30 (L: 159-20 / H: 160-20)

* Dec Ultra futures down 11/32  at 186-28 (L: 186-17 / H: 188-08)

US EURODLR FUTURES CLOSE: Steady to marginally weaker after the bell, quiet

trade on narrow ranges. Current White pack (Dec 19-Sep 20): 

* Dec 19 steady at 98.110

* Mar 20 -0.005 at 98.350

* Jun 20 -0.005 at 98.435

* Sep 20 steady at 98.495

* Red Pack (Dec 20-Sep 21) -0.01 to -0.005

* Green Pack (Dec 21-Sep 22) -0.01 to -0.005

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

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

US DOLLAR LIBOR: Latest settles

* O/N -0.0112 at 1.8027% (-0.0123/wk)

* 1 Month -0.0185 to 1.8042% (-0.0461/wk)

* 3 Month -0.0040 to 1.9356% (-0.0176/wk)

* 6 Month +0.0180 to 1.9320% (-0.0198/wk)

* 1 Year +0.0181 to 1.9608% (-0.0264/wk) 

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

* Daily Effective Fed Funds Rate: 1.85%, volume: $65B

* Daily Overnight Bank Funding Rate: 1.82%, volume: $175B

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

* Secured Overnight Financing Rate (SOFR): 1.87%, $1.065T

* Broad General Collateral Rate (BGCR): 1.84%, $462B

* Tri-Party General Collateral Rate (TGCR): 1.84%, $437B

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

25-Oct 1000 Oct Michigan sentiment index (f) (96.0, 96.0)

25-Oct 1100 Q4 St. Louis Fed Real GDP Nowcast

25-Oct 1115 Q4 NY Fed GDP Nowcast

PIPELINE: Well Fargo launch, 2-part nearly matches TOTAL supply for week

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

10/24 $6.5B #Wells Fargo $3B 6NC5 fix/FRN +82, $3.5B 11NC10 fix/FRN +112

10/24 $800M #Norfolk Southern Corp $400M 10Y +83, $400M 30Y +120

10/24 $500M *Zions Bancorp 10Y +153

10/?? Chatter: possible T-Mobile US 

Canadian issuance:

10/24 C$300M CN Rail 30Y +147a

10/24 C$385M Laurentian Bank NHA MBS +52a 

Eurodollar/Tsy options: 

Eurodollar Options

Block, 1144:10ET, adds to 15,000 in pit

* -10,000 Dec 82/83 call spds, 1.5

* +10,000 Jun 91/92 call spds, 1.0

* 10,000 Green Dec 77/78 put spds, cab/Block

* +5,000 Mar 83 calls, 13.0

* +5,000 Jun 90/91/93/95 call condors 1.0 vs. 98.48/0.05%

* +10,000 short Jan 85 puts, 11.0 vs. 98.58/0.40%

* +5,000 Green Dec 82/85 put spds vs. Green Dec 87 calls, 0.0 net

* -5,000 Blue Jan 82 puts, 5.5

* Update, total +9,000 Nov 80/82 strangles w/Nov 78/80 put spds, 2.0

* -2,500 Dec 81/82/83 call flys, 2.0

* -2,500 Dec 80/81/82 put flys, 3.25

* -2,500 short Nov 85 straddles, 16.5

* +2,500 short Mar/Red Mar 87 call spds, 10.5/Red March over

* -5,000 Mar/Jun 83 put spds, 0.5, adds to -10k on Wed

Early screen trade,

* 5,000 short Dec 86/87 2x1 put spds 

* +5,000 Jan 82/83 2x1 put spds, 1.25

* Red Dec'20 100 calls trading, volume just over >3,700

* +4,250 Green Dec 81/83 put spds, 5.0

* 4,800 short Dec 82 calls, 0.5

Overnight (late Wednesday night) Block recap

* +40,000 short Dec 82/83/85 put trees, 3.0

* +30,000 short Jan 82/83/85 put trees, 2.0

* -40,000 short Dec 86/87 1x2 call spds, 0.5

Tsy options:

* -5,000 TYZ 128/132 strangles, 14/64

* -2,000 TYZ 130 calls, 41/64

* 2,500 USZ 163/USH 169 call spds, 4/64, Dec ovr

* 1,000 TYF 128.5/129.5 2x1 put spds, 6/64

* appr 8,000 TYX 130.75 calls, cab-10

* 20,000 FVZ 121.25 calls, 2/64 on screen earlier

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

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