US TSYS: ALL QUIET ON THE BREXIT FRONT

US TSY SUMMARY: Continuing theme: quiet trade on limited data, Fed in blackout

ahead next week's policy annc, thin markets on light volumes (TYZ<815 well after

the bell). Even limited headline interest after late Tuesday Brexit vote

excitement. Taking wind out of mkt action: EU DECISION ON BREXIT DELAY WILL

PROBABLY COME FRIDAY, Bbg

- Rates quietly receded since setting highs around midmorning, late Microsft

earnings beat ($33.1B vs. $32.2B est) underpinned equities late.

- Light two way flow, light deal-tied flow in 5s. Another decent auction, US Tsy

$41B 5Y Note (912828YM6) awarded 1.570% rate vs. 1.576% WI (previous $41B 5Y

awarded 1.600%); 2.41 bid/cover vs. 2.32 prior. Indirects drew 65.69% vs. 58.80%

prior, directs 11.52% vs. 14.20% prior, dealers 22.78%.

-  Thu 14 day term operation with the Fed is $45B with minimum bid of 172

Overnight operation has been increased to $120....adding ample liquidity heading

into month end.

- The 2-Yr yield is down 1.1bps at 1.5837%, 5-Yr is up 0.7bps at 1.5925%, 10-Yr

is up 0.5bps at 1.766%, and 30-Yr is up 0.1bps at 2.2535%.

US TSY FUTURES CLOSE: Trades steady/mixed by the bell, long end weaker after

trading higher much of the session, volume remains light (TYZ<740k). Tsy yld

curves mostly steeper. Update

* 3M10Y  -0.421, 9.495 (L: 5.763 / H: 9.751)

* 2Y10Y  +1.513, 17.731 (L: 15.815 / H: 18.996)

* 2Y30Y  +1.829, 67.043 (L: 64.81 / H: 68.384)

* 5Y30Y  -0.004, 66.46 (L: 64.701 / H: 67.661)

Current futures levels:

* Dec 2-Yr futures down 0.125/32  at 107-23.625 (L: 107-23.375 / H: 107-25.75)

* Dec 5-Yr futures up 0.75/32  at 118-29.75 (L: 118-29.25 / H: 119-03.25)

* Dec 10-Yr futures up 1.5/32  at 129-27.5 (L: 129-26.5 / H: 130-04.5)

* Dec 30-Yr futures up 1/32  at 160-3 (L: 160-00 / H: 160-22)

* Dec Ultra futures down 4/32  at 187-4 (L: 187-02 / H: 188-12)

US EURODLR FUTURES CLOSE: Mildly higher for most part, at/near low end narrow

range, lead quarterly underperforming all session. Current White pack (Dec

19-Sep 20): 

* Dec 19 -0.010 at 98.110

* Mar 20 +0.005 at 98.355

* Jun 20 +0.010 at 98.440

* Sep 20 +0.010 at 98.495

* Red Pack (Dec 20-Sep 21) +0.010 to +0.015

* Green Pack (Dec 21-Sep 22) +0.015

* Blue Pack (Dec 22-Sep 23) +0.015 to +0.020

* Gold Pack (Dec 23-Sep 24) +0.010 to +0.015

US DOLLAR LIBOR: Latest settles

* O/N +0.0012 at 1.8140% (-0.0011/wk)

* 1 Month +0.0009 to 1.8227% (-0.0276/wk)

* 3 Month +0.0036 to 1.9396% (-0.0136/wk)

* 6 Month -0.0186 to 1.9140% (-0.0378/wk)

* 1 Year -0.0245 to 1.9427% (-0.0445/wk) 

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

* Daily Effective Fed Funds Rate: 1.85%, volume: $67B

* Daily Overnight Bank Funding Rate: 1.83%, volume: $173B

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

* Secured Overnight Financing Rate (SOFR): 1.87%, $1.079T

* Broad General Collateral Rate (BGCR): 1.85%, $456B

* Tri-Party General Collateral Rate (TGCR): 1.85%, $439B

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

24-Oct 0830 19-Oct jobless claims (214K, 215k)

24-Oct 0830 Sep durable goods new orders (0.2%, -0.7%)

24-Oct 0830 Sep durable new orders ex transport (0.5%, -0.2%)

24-Oct 0900 Sep bldg permits revision

24-Oct 0945 Oct Markit Mfg Index (flash) (51.1, 50.9)

24-Oct 0945 Oct Markit Services Index (flash) (50.9, 51.0)

24-Oct 1000 Sep new home sales (713k, 702k)

24-Oct 1000 Sep new home sales (7.1%, -1.6%)

24-Oct 1030 18-Oct natural gas stocks w/w

24-Oct 1100 Oct Kansas City Fed Mfg Index (-2, -4)

24-Oct 1300 US Tsy $32B 7Y Note auction (912828YQ7)

24-Oct 1630 23-Oct Fed weekly securities holdings

PIPELINE: Fifth Third launched

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

10/23 $750M #Fifth Third +5Y +80

10/23 $300M Reliance Standard Life 5Y +95

-

$3.5B priced Tuesday, $6.5B/wk

10/22 $2.5B *Saudi Arabia 10Y Sukuk +127

10/22 $1B *CPPIB (Canada Pension Plan Investment Board) WNG 10Y +38

Canadian issuance

10/22 C$200M *Translink 300Y +102

Eurodollar/Tsy options: 

Eurodollar Options

* +2,000 long Green Dec 85/Green Mar 85 straddle spds, 36.0

* +5,000 Red Dec 85/87 call spds, 8.5

* +2,500 Green Jun 87 calls, 14.5 

* -5,000 Mar/Jun 83 put spds, 0.5 net flattener

* -5,000 Red Dec 90 calls, 11.5

* +2,000 Blue Jun 83/Blue Nov 85 straddle spds, 29.5

* +>15,000 Mar 78 puts, 0.75 pit/screen

Block, 1058:54ET

* 10,000 Red Dec'20 83/86 call spds, 10.5 vs.

* 15,000 Red Dec'20 80 puts, 7.0 vs.

* 4,500 EDZ0 98.505

* +5,000 short Dec 85/87 call spds, 8.5 vs. 98.52/0.26%

* -2,500 long Green Dec 76 puts, 8.5

* +2,500 short Nov 87/88 1x2 call spds, 0.0

* 2,000 Nov 80/82 1x2 call spds, 10.5

Light mixed vol flow

* -1,000 short Nov 85 straddles, 19.0

* +1,000 Sep 85 straddles, 47.0

Tsy options:

* 2,000 FVZ 119.25/120 1x2 call spds, 5/64

* 1,200 TYZ 130 straddles, 1-29/64 vs. 400 USX 160.5 straddles, 62/64

* 1,500 FVX 119 straddles, 19/64

* 1,000 FVX 118.75 straddles

* -2,000 TYF 131.5 calls, 33/64

Overnight screen trade

* +29,000 TYZ 133 calls, 5/64

* -22,000 TYZ 132 calls, 10/64

* 5,500 TYX 130.5 calls, 4/64, serial Nov options expire Friday

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

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