US TSYS: BREXIT DEAL DRAFT HOPES WEIGH ON US RATES

US TSY SUMMARY: After opening higher -- Tsys just off late session lows by the

bell on moderate volumes (TYZ>1.2M) as rates receded on hopes over Brexit draft

(markets may see as soon as Wednesday). Total +10k FVZ Block buying lows added

impetus to bounce. Nice round trip in 3M10Y yld curve -- back to last Fri's 5+

month highs.

- Rounding out the developing "risk-on" tone, equities gained as latest earning

season gets underway, gold weaker (-12.15 in late trade).

- Little data to trade off of (US REDBOOK: OCT STORE SALES -0.2%), rate support

quickly evaporated on midmorning Brexit draft headlines. Despite weakness in

rates, many took with grain of salt -- expecting a rebound on denial of draft

deal talk. Rates did draw some short covering from program and fast$ accts as

senior EU official called chatter "spin" and "way to premature". Time will tell.

- Modest deal-tied hedging in short end, aforementioned +10k FVZ block buys

- The 2-Yr yield is up 3.1bps at 1.6221%, 5-Yr is up 4.1bps at 1.5954%, 10-Yr is

up 3.7bps at 1.7657%, and 30-Yr is up 3.6bps at 2.2305%.

US TSY FUTURES CLOSE: Just off late session lows by the bell after opening

higher; moderate volumes (TYZ>1.2M) as rates receded on hopes over Brexit draft

that markets may see as soon as Wednesday. Total +10k FVZ Block buying lows

added impetus to bounce. Nice round trip in 3M10Y yld curve -- back to last

Fri's 5+ month highs, update:

* 3M10Y  +4.961, 9.958 (L: -1.154 / H: 10.833)

* 2Y10Y  +1.62, 14.567 (L: 11.357 / H: 15.063)

* 2Y30Y  +1.377, 60.83 (L: 58.008 / H: 62.241)

* 5Y30Y  -0.694, 63.129 (L: 62.749 / H: 66.266)

Current futures levels:

* Dec 2-Yr futures down 1.75/32 at 107-21.75 (L: 107-21.25 / H: 107-26.5)

* Dec 5-Yr futures down 7.75/32 at 118-27.5 (L: 118-26.25 / H: 119-10.5)

* Dec 10-Yr futures down 14/32 at 129-25 (L: 129-22.5 / H: 130-17.5)

* Dec 30-Yr futures down 1-5/32 at 159-31 (L: 159-23 / H: 161-23)

* Dec Ultra futures down 2-2/32 at 187-30 (L: 187-14 / H: 190-29) 

US EURODLR FUTURES CLOSE: Near session lows, long end of strip on session lows.

Current White pack (Dec 19-Sep 20): 

* Dec 19 -0.010 at 98.10

* Mar 20 -0.025 at 98.30

* Jun 20 -0.025 at 98.390

* Sep 20 -0.025 at 98.450

* Red Pack (Dec 20-Sep 21) -0.05 to -0.03

* Green Pack (Dec 21-Sep 22) -0.06 to -0.055

* Blue Pack (Dec 22-Sep 23) -0.065

* Gold Pack (Dec 23-Sep 24) -0.07 to -0.065

US DOLLAR LIBOR: Latest settles

* 1 Month -0.0061 to 1.8891% (-0.0244/wk)

* 3 Month +0.0012 to 2.0021% (+0.0012/wk)

* 6 Month -0.0007 to 1.9772% (+0.0017/wk)

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

* Daily Effective Fed Funds Rate: 1.82%, volume: $60B

* Daily Overnight Bank Funding Rate: 1.81%, volume: $150B

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

* Secured Overnight Financing Rate (SOFR): 1.85%, $1.024T

* Broad General Collateral Rate (BGCR): 1.82%, $448B

* Tri-Party General Collateral Rate (TGCR): 1.82%, $422B

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

16-Oct 0700 11-Oct MBA Mortgage Applications (5.2%, --)

16-Oct 0830 Sep retail sales (0.4%, 0.3%)

16-Oct 0830 Sep retail sales ex. motor vehicle (0.0%, 0.2%)

16-Oct 0830 Sep retail sales ex. mtr veh, gas (0.1%, 0.3%)

16-Oct 0830 Oct NY Fed Business Leaders Index

16-Oct 1000 Aug business inventories (0.4%, 0.2%)

16-Oct 1000 Oct NAHB home builder index (68, 68)

16-Oct 1000 Oct Atlanta Fed inflation

16-Oct 1045 Chicago Fed Pres Evans, eco/mon-pol conf, Peoria, Q&A

16-Oct 1300 Dallas Fed Kaplan, presser in Austin, Q&A

16-Oct 1400 Fed releases the Beige Book for upcoming FOMC 

16-Oct 1500 Fed Gov Brainard, crypto currency conf, DC, Q&A 

16-Oct 1600 Aug net TICS flows ($43.8B, --)

16-Oct 1600 Aug long term TICS flows ($84.3B, --)

PIPELINE: Credit Agricole launched

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

10/15 $1B #Credit Agricole 5.25Y +85

10/15 $750M #New York Life 2Y FRN +28

On tap for Wednesday:

10/16 $1B FINNVERA WNG 5Y +19a

10/16 $Benchmark World Bank 10Y +20a expected Wednesday

Eurodollar/Tsy options: 

Eurodollar Options

* +10,000 Green Nov 81 puts, 1.5 vs. 98.475/0.10%

* -4,000 Green Mar 85 straddles, 39.5

* +7,500 Dec 80/81 call over risk reversals, 3.5

* -3,500 Jun 83/86 strangles, 30.5

* +3,000 Jan 85/86/87/88 call condors, 1.5

* -11,000 short Dec/Green Dec 82 put spd, 1.0 net conditional steepener

* +10,000 Mar 80/82 put spds, 8.0

* +5,000 Sep 95/97 call spds, 1.75

* +5,000 long Green Dec 97/100 call spds, 1.5

* +2,500 long Green Mar 97 calls, 6.0 vs. 98.575/0.12%

* +10,000 Jan 88/90 call spds, 0.5

* 5,450 Jun 86/88/90 1x3x2 call flys, 2.0 net/wings over

* short Mar 78/81 call spds, 21.5 trades vs. Green Mar 80/82 call spds, 20.0

* +5,000 Dec 83 calls, 2.0

* +4,000 Mar 78/82 3x1 put spds, 6.5

* +3,000 Nov 80 puts, 1.5

* 2,000 Red Dec'20 100 calls, 1.0

* +17,000 Dec 78 puts, 1.0 on screen

* 5,000 Mar 88/92 1x3 call spds on screen earlier

Tsy options:

* -6,000 TYX 128.5 puts, 6/64 on screen, just over 26k on day/screen

* +3,900 TYX 127/128.75/129.25 put trees, 7/64

* +5,000 FVZ 116.25/117.25 put spds, 3.5/64

* 4,000 TYZ 129.5/131.5 put over risk reversals, 1/64

* 3,000 TYF 133/134 call spds, 7/64 on screen recently

* 10,000 TYZ 133.5/134.5/135.5 call flys on screen

* -20,000 TYZ 128.5/132.5 strangles, 28- to 27/64

* 4,500 TYZ 131 calls, 38/64 on screen

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

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