US TSYS: BREXIT DEAL NOT DONE, SAT DUP VOTE HIGH HURDLE

US TSY SUMMARY: US FI weaker, Tsys and Eurodollar futures near middle of session

range, rates generally climbed off early session lows as blush came off of

Brexit deal headlines, high-bar DUP vote set for Saturday. Not much of a react

to data: Sep New Home Starts soft.

- Rates weaker as Brexit headlines continue to drive Tsy moves: risk-on in early

London trade on UK/EU "deal" annc, but rates bounced off lows as DUP officials

said they were NOT on board (high hurdle: gvt would need 19 Labour votes even if

it got the support of every Tory MP to pass).

- Sources reported prop and fast$ buying 5s-10s, light deal-tied sales in 3s and

5s, 2s10s steepeners. Risk-off tone gained momentum around midday w/equities

back near steady, Tsys nearing early London highs with real$ buying long end

more recently. Decent two-way deal-tied flow as bank names resume issuance ($4B

Bank of America: $2B 6NC5 +88, $2B 11NC10 +113). 

- US Tsy $17B 5Y TIP auction strong, awarded 0.054%, 2.75 B/C. The 2-Yr yield is

up 1.2bps at 1.5958%, 5-Yr is up 1.3bps at 1.574%, 10-Yr is up 1.4bps at

1.7535%, and 30-Yr is up 1.3bps at 2.2377%.

US TSY FUTURES CLOSE: Weaker but near middle of session range, rates generally

climbed off early session lows as blush came off of Brexit deal headlines,

high-bar DUP vote set for Saturday. Yld curves mixed, off earlier steeper

levels, update:

* 3M10Y  +1.666, 8.702 (L: 4.185 / H: 13.084)

* 2Y10Y  +0.164, 15.362 (L: 14.313 / H: 16.82)

* 2Y30Y  +0.127, 63.849 (L: 61.997 / H: 65.428)

* 5Y30Y  -0.123, 66.106 (L: 64.07 / H: 67.224)

Current futures levels:

* Dec 2-Yr futures down 0.875/32 at 107-23.125 (L: 107-20.75 / H: 107-25.375)

* Dec 5-Yr futures down 1.75/32 at 118-30.75 (L: 118-23.75 / H: 119-04.5)

* Dec 10-Yr futures down 2.5/32 at 129-29 (L: 129-16.5 / H: 130-06)

* Dec 30-Yr futures down 2/32 at 160-7 (L: 159-10 / H: 160-23)

* Dec Ultra futures down 7/32 at 187-21 (L: 186-16 / H: 188-23)

US EURODLR FUTURES CLOSE: Following Tsys lead, Eurodlr futures weaker across the

strip but off early session lows as Brexit headline delivered vol faded after

EU/UK "deal" annc early London trade. Current White pack (Dec 19-Sep 20): 

* Dec 19 -0.020 at 98.095

* Mar 20 -0.010 at 98.330

* Jun 20 -0.015 at 98.415

* Sep 20 -0.020 at 98.470

* Red Pack (Dec 20-Sep 21) -0.025 to -0.02

* Green Pack (Dec 21-Sep 22) -0.015 to -0.01

* Blue Pack (Dec 22-Sep 23) -0.01 to -0.005

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

US DOLLAR LIBOR: Latest settles

* O/N +0.0124 at 1.8381% 

* 1 Month -0.0312 to 1.8463% (-0.0672/wk)

* 3 Month -0.0374 to 1.9658% (-0.0351/wk)

* 6 Month -0.0114 to 1.9745% (-0.0011/wk)

* 1 Year +0.0009 to 1.9931% 

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

* Daily Effective Fed Funds Rate: 1.90%, volume: $76B

* Daily Overnight Bank Funding Rate: 1.88%, volume: $181B

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

* Secured Overnight Financing Rate (SOFR): 2.05% vs. 2.00% prior, $1.086T

* Broad General Collateral Rate (BGCR): 2.02% vs. 1.96% prior, $465B

* Tri-Party General Collateral Rate (TGCR): 2.02% vs. 1.95% prior, $442B

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

18-Oct 0900 Dallas Fed Kaplan, dis-entangling global economy, DC, Q&A

18-Oct 1000 KC Fed George, energy & economy conf, Denver, Q&A

18-Oct 1000 Sep BLS state payrolls

18-Oct 1000 Sep leading indicators (0.0%, 0.0%)

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

18-Oct 1130 Fed VC Clarida, eco outlook/mon-pol, CFA conf, Boston, Q&A

18-Oct 1115 Q4 NY Fed GDP Nowcast

19-Oct Fed enters media blackout, through Oct 31

PIPELINE: Bank of America launches $4B 2-parter, BoNY, LeasePlan abd PLC all

launched as well

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

10/17 $4B #Bank of America $2B 6NC5 +88, $2B 11NC10 +113

10/17 $750M #LeasePlan 5Y +135

10/17 $750M #Bank of NY Mellon 5Y +60a

10/17 $750M #PNC Bank 10Y +100

10/17 $500M *FMO (Development Bank of the Netherlands) 5Y +20

Eurodollar/Tsy options: 

Eurodollar Options

* 8,300 Red Mar'21 87/90/91 call flys 5.5 and

* 8,300 Red Mar'21 88/90/97 call trees, 1.5

* -45,000 short Dec 92/92 call spds, 0.5

Other recent flow includes

* +3,500 Red Dec 95/100/105 call flys, 2.5 (Yes, 105 calls!)

* +10,000 Green Dec 80/82 2x1 put spds, 1.5

* -2,000 Green Sep 85 straddles, 54.5

* -2,500 Sep 77/80 5x2 put spds, 0.5

* +20,000 Dec 86 calls, 0.75 vs. 98.07/0.04%

* -6,000 Mar 85/87 1x2 call spds, cab

* +10,000 short Dec 87/88/90 call flys, 0.75 legged

* 4,000 Mar 80 puts, 3.0

* +15,000 Jun 88/90/93/95 call condors, 1.5 vs. 98.485/0.05%

* 2,000 Red Dec 95/100/100.5 call flys on screen earlier

* near 20,000 Dec 82/83/85 call flys, checking level -- but was sold on screen

in good size Tuesday at 1.25

Tsy options:

* +45,000 FVZ 116 puts, 1/64

* +5,000 TYZ 133/133.5/134/134.5, 2/64

* -10,000 FVX 118.75/119.25 put spds, 17.5 vs. 118-29.5/0.32

* +5,000 TYZ 128/129 put spds, 16/64

* 2,500 TYZ 128.5/131.5 strangles, 37- to 36/64

* 1,000 FVZ 119/FVF 119.75 call spds, .5/64

Block, 0930:30ET,

* +5,000 TYZ 129-29.5, buy through 129-27 post-time offer, 129-28.5 last

* 5,000 wk3 TY 130.75/131.25 put spds on screen, 31/64

* TYZ 128 put volume on screen near 33,000, 13/64 last

* +15,000 TYX 129/129.5 2x1 put spds, 1/64

* -6,000 TYF 131 calls, 43- to 41/64 pre-data

* TYX 128.5 put volume on screen >15,000

Aside from the 20,000 FVX 118.5 put blocked late Wed, really

decent 5Y put volume overnight:

* >39,500 FVX 118.5 puts, 6.5/64 last

* >69,400 FVX 118.75 puts, 11.5/64 last

Same goes for 10Y options, aside from 55,000 TYZ 128 put block

* >71,600 TYZ 128 puts, 16/64 last

* >39,500 TYZ 128.5 puts, 22/64 last

* >13,800 TYZ 127.5 puts, 10/64 last

* >12,100 TYZ 127 puts, 7/64 last

* >10,600 TYX 129.5 puts, 19/64 last

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

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