US TSYS: BREXIT DEAL REMAINS ELUSIVE, TALKS INTO NIGHT

US TSY SUMMARY: It's kind of nice to have US markets wagged by BREXIT headlines

rather than home-brewed partisan political strife, political strife and scandal.

That said, treat all BREXIT headlines with caution, most if not all are out of

sync rehashes of earlier opinions There is NO SET TIME for negotiations to be

anncd tonight. If positive news, they'll hit wires quickly. Tsys are inching

higher after the bell, near middle session range, yld curves mostly steeper

(3M10Y flatter but still dis-inverted). 

- Tsys went bid on retail sales miss (-.3%), but receded over next hour as focus

turned back to Brexit chatter. Fed speak rather prosaic despite limited time

ahead next media blackout that kicks off Saturday through Oct 31.

- Session flow mixed/two-way from spec and fast$ accts, light deal-tied flow,

2s10s steepeners, swap-tied buying in short end. Heavy mid-morning buying near

80k Nov FF from 98.37-.38.

- The 2-Yr yield is down 3.3bps at 1.5855%, 5-Yr is down 3.1bps at 1.5658%,

10-Yr is down 2.6bps at 1.7448%, and 30-Yr is down 0.4bps at 2.2305%.

US TSY FUTURES CLOSE: Trade firmer after the bell, near middle session range,

intermediates outperform on decent over all volumes (TYZ >1.3M). Yld curves

mostly steeper, 3M10Y little flatter after hitting 5+ month highs Tuesday,

update:

* 3M10Y  -2.410, 8.073 (L: 2.985 / H: 9.984)

* 2Y10Y  +1.038, 15.722 (L: 12.953 / H: 16.334)

* 2Y30Y  +3.431, 64.5 (L: 60.974 / H: 65.063)

* 5Y30Y  +2.698, 66.309 (L: 63.624 / H: 67.285)

Current futures levels:

* Dec 2-Yr futures up 2.25/32 at 107-24 (L: 107-21.625 / H: 107-25.25)

* Dec 5-Yr futures up 5/32 at 119-0.5 (L: 118-27.25 / H: 119-04.75)

* Dec 10-Yr futures up 7/32 at 129-31.5 (L: 129-24.5 / H: 130-07.5)

* Dec 30-Yr futures up 11/32 at 160-9 (L: 159-25 / H: 160-26)

* Dec Ultra futures up 2/32 at 187-29 (L: 187-04 / H: 188-31)

US EURODLR FUTURES CLOSE: Nearly making up for Tue's move, futures trading

firmer across the strip, near middle of range after the bell. Current White pack

(Dec 19-Sep 20): 

* Dec 19 +0.025 at 98.120

* Mar 20 +0.045 at 98.340

* Jun 20 +0.045 at 98.425

* Sep 20 +0.050 at 98.490

* Red Pack (Dec 20-Sep 21) +0.040 to +0.045

* Green Pack (Dec 21-Sep 22) +0.035 to +0.040

* Blue Pack (Dec 22-Sep 23) +0.035

* Gold Pack (Dec 23-Sep 24) +0.030 to +0.035

US DOLLAR LIBOR: Latest settles

* O/N +0.0306 at 1.8257% 

* 1 Month -0.0116 to 1.8775% (-0.0360/wk)

* 3 Month +0.0011 to 2.0032% (+0.0023/wk)

* 6 Month +0.0086 to 1.9858% (+0.0103/wk)

* 1 Year +0.0181 to 1.9922% 

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

* Daily Effective Fed Funds Rate: 1.90%, volume: $69B

* Daily Overnight Bank Funding Rate: 1.90%, volume: $158B

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

* Secured Overnight Financing Rate (SOFR): 2.00%, $1.088T

* Broad General Collateral Rate (BGCR): 1.96%, $458B

* Tri-Party General Collateral Rate (TGCR): 1.95%, $428B

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

17-Oct 0830 12-Oct jobless claims (210k, 215k)

17-Oct 0830 Sep housing starts (1364k, 1320k)

17-Oct 0830 Sep building permits (1425k, 1350k)

17-Oct 0830 Oct Philadelphia Fed Mfg Index (12.0, 7.6)

17-Oct 0915 Sep industrial production (0.6%, -0.2%)

17-Oct 0915 Sep capacity utilization (77.9%, 77.7%)

17-Oct 1030 11-Oct natural gas stocks w/w

17-Oct 1100 11-Oct crude oil stocks ex. SPR w/w

17 Oct 1130 $55B 4W Bill (912796WE5)   15 Oct Annc

17 Oct 1130 $40B 8W Bill (912796WJ4)   15 Oct Annc 

17 Oct 1300 $17B 5Y TIPS (912828YL8)

17-Oct 1400 Chicago Fed Pres Evans Fed Listens event, No Q&A

17-Oct 1400 Fed Gov Bowman at Chicago Fed Listens event, No Q&A

17-Oct 1620 NY Fed Pres Williams, keynote speech MFA Outlook event, Q&A

17-Oct 1630 16-Oct Fed weekly securities holdings

PIPELINE: Bank of Montreal launched, all others priced, $3.6B so far

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

10/16 $500M #Bank of Montreal WNG 3Y +70a

10/16 $2B *World Bank 10Y +20

10/16 $1B *FINNVERA WNG 5Y +17

10/16 $600M *Industrial Bank of Korea $300M 3Y FRN +45, $300M 5Y +60

Eurodollar/Tsy options: 

Eurodollar Options

* +8,500 Nov 83 calls, 0.5

* +5,000 Dec 86 calls, 1.0

* +7,500 Mar 81 puts vs 3,250 Mar 85/90 call spds, 6.0 net db

* -10,000 Dec 81 put 2.0-2.25 over Mar 82/83 put spd

* +5,000 Mar 80 puts, 3.0

* Update, +15,000 Nov 80 calls, 12.5 vs. 98.11/0.75%

* +12,500 Nov 81/82/83 call flys, 2.5

* -6,000 short Dec 92 calls, 1.0 on screen

* 4,000 Mar 82/83 put spds, 7.0

* -7,000 Dec 80/82 strangles, 7.0

* +10,000 Dec 86 calls, 0.75

* 5,000 short Nov 86/87/90 call flys, 2.5

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

* another 16,000 Mar 90 calls on screen after bell makes 26k on day, 2.5

Light overnight volume, latest screen trade,

* +10,000 Mar 90 calls, 2.5

* 8,000 short Dec 81/82 2x1 put spds

* +11,250 Green Nov 90 calls, 1.5

Tsy options:

* 4,500 TYX 127.5/128 put strip, 3/64

* 3,000 TYZ 128/130 put spds 20/64 over TYZ 132 calls, vs. 130-07.5/0.48%

earlier

* +2,000 TYZ 128/129 put spds, 16/64

* -1,250 TYZ 129.5/131 3x2 put spds, 103

* -2,500 USZ 155 puts, 55/64

* +3,000 TYX 128.5/129 put spds, 4/64

* -3,000 USZ 158 puts, 56/64

* +3,000 FVZ 120/120.5 call spds, 5/64

* +3,250 TYX 128.75/131.25 call over risk reversals, 0.0

Pre-open screen trade

* -10,000 USZ 159/161 put spds, 56/64 vs. +2,500 USX 160.5 puts, 1-6/64 block

* +4,000 TYX 128.5/131.5 call over risk reversals

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

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