US TSYS: BREXIT BILL PASS; TIMELINE FAIL: LIMBO VS. PURGATORY

US TSY SUMMARY: On an otherwise quiet session -- mkt livened up on late session

chop tied to Brexit headlines: rates sold off as on Bill pass, rates rebound,

Tsy futures extend session highs as Timeline vote failed to pass. Volume picked

up after votes but remained below average (TYZ<1M).

- Modest two-way flow for most part, deal-tied selling 10s, pre-auction short

sets ahead strong 2Y note auction. Program sales after first withdrawal vote

passed, flurry of buying from fast$ and props in 10-30s after timeline vote

failed.

- Strong US Tsy $40B 2Y Note auction (912828YP9), stopped through w/ 1.594% rate

(1.612% in Sep) vs. 1.607% WI, bid/cover 2.70 vs. 2.64 previous. Indirects drew

54.83% vs. 57.01% prior, directs 13.96% vs. 15.93% prior, dealers w/ 31.22% vs.

27.06% prior.

- The 2-Yr yield is down 1.4bps at 1.6067%, 5-Yr is down 1.7bps at 1.5941%,

10-Yr is down 2.1bps at 1.7782%, and 30-Yr is down 2.2bps at 2.2695%.

US TSY FUTURES CLOSE: Late session chop tied to Brexit headlines: rates sold off

as on Bill pass, rates rebound, Tsy futures extend session highs as Timeline

vote failed to pass. Volume picked up after votes but remained below average

(TYZ<1M). Tsy yld curves flatter.

* 3M10Y  -2.867, 10.104 (L: 9.066 / H: 15.46)

* 2Y10Y  -1.703, 16.096 (L: 15.684 / H: 18.178)

* 2Y30Y  -2.148, 64.752 (L: 63.936 / H: 67.643)

* 5Y30Y  -1.723, 66.019 (L: 65.034 / H: 68.372)

Current futures levels:

* Dec 2-Yr futures up 0.75/32 at 107-23.5 (L: 107-21.75 / H: 107-24.5)

* Dec 5-Yr futures up 1.25/32 at 118-28.5 (L: 118-23.25 / H: 118-30.75)

* Dec 10-Yr futures up 5/32 at 129-25 (L: 129-15 / H: 129-27.5)

* Dec 30-Yr futures up 17/32 at 159-31 (L: 159-02 / H: 160-04)

* Dec Ultra futures up 31/32 at 187-2 (L: 185-16 / H: 187-11)

US EURODLR FUTURES CLOSE: Moderately higher for the most part, lead quarterly

underperforming all session. Current White pack (Dec 19-Sep 20): 

* Dec 19 -0.005 at 98.115

* Mar 20 +0.015 at 98.345

* Jun 20 +0.015 at 98.425

* Sep 20 +0.015 at 98.480

* Red Pack (Dec 20-Sep 21) +0.015 to +0.020

* Green Pack (Dec 21-Sep 22) +0.015 to +0.020

* Blue Pack (Dec 22-Sep 23) +0.010 to +0.020

* Gold Pack (Dec 23-Sep 24) +0.020

US DOLLAR LIBOR: Latest settles

* O/N +0.0017 at 1.8128% (-0.0023/wk)

* 1 Month -0.0012 to 1.8218% (-0.0285/wk)

* 3 Month +0.0020 to 1.9360% (-0.0172/wk)

* 6 Month -0.0017 to 1.9326% (-0.0192/wk)

* 1 Year +0.0066 to 1.9672% (-0.0200/wk) 

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

* Daily Effective Fed Funds Rate: 1.85%, volume: $60B

* Daily Overnight Bank Funding Rate: 1.82%, volume: $163B

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

* Secured Overnight Financing Rate (SOFR): 1.86% vs. 1.88% prior, $1.054T

* Broad General Collateral Rate (BGCR): 1.83% vs. 1.85% prior, $456B

* Tri-Party General Collateral Rate (TGCR): 1.83% vs. 1.85% prior, $434B

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

23-Oct 0700 18-Oct MBA Mortgage Applications (0.5%, --)

23-Oct 0900 Aug FHFA Home Price Index (0.4%, 0.3%)

23-Oct 1030 18-Oct crude oil stocks ex. SPR w/w

23-Oct 1130 US Tsy $20B 2Y FRN auction (912828YN4)

23-Oct 1300 US Tsy $41B 5Y Note auction (912828YM6)

PIPELINE: Saudi Arabia 10Y launched 

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

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

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

-

$3B priced Monday

10/21 $1.5B *RBC (Royal Bank of Canada) 5Y +70

10/21 $1.5B *Delta Air Lines $900M 5Y +137.5, $600M 10Y +200

Eurodollar/Tsy options: 

Eurodollar Options

* +20,000 Green Dec 77/78 put spds, 0.5 vs. 98.46/0.10%

* +6,000 Sep 88/93 call spds, 7.5

* +5,000 Mar 81/82 2x1 put spds, 0.5

* +10,000 Mar 81/82 put spds, 5.0

* +4,000 Jun 83/85 call spds, 2.0 over Jun 80 puts

* +4,000 short Sep 76/78 put spds, 3.0

* +5,000 Dec 81/82 call spds vs. Jan 83/85 call spd spd, 0.0 screen

* -5,000 Dec 80/82 call spds, 11.0

* +4,000 Dec 78/83 strangles, 2.0

* -3,000 short Nov 85/86 1x2 call spds, 0.5

* -15,000 short Mar 78/81 call spds vs. Green Mar 80/82 call spds, 2.0 net

conditional curve steepener/UNWIND

* 12,000 short Nov 88 calls, 1.5 on screen

* 6,500 short Nov 86/87 call spds, 2.5 vs. 98.485/0.10%

* 2,000 Dec 77/78/80 put trees, 1.5

* +17,500 short Nov 86/87 call spds, 2.5 vs. 98.49 -48.5/0.10%

* 1,000 Dec 81.82.83.85 call condors, 3.5

Earlier screen trade by the bell included

* 12,500 Green Nov 88 calls

* 3,650 Blue Nov 88 calls, 1.0

* 5,000 short Dec 99 calls, 2.0

* 5,000 Dec 81/82 call spds vs. Jan 83/85 call spds

Tsy options:

* 2,000 TYX 128.5/129.5 3x2 put spds, 26/64

* 1,000 USZ 160 calls, 1-28/64

* 4,000 FVX 118.5 puts, 4/64

* total 8,100 TYZ 132 calls, 7/64 on screen

* -3,000 TYZ 128 puts, 11/64

* +2,500 TYF 127/130 put spds, 59/64

* 1,000 USX 157/158/160 broken put flys, 34/64

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

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