US TSYS: BREXIT FOR THE AGES? SPECIAL VOTE SATURDAY

US TSY SUMMARY: Very quiet end to the week where Brexit headlines delivered most

of what little delivered vol there was on the week: 

US rates see-sawed in a relatively narrow range in reaction to multitude of deal

then no-deal headlines. Equities mildly lower (ESZ9 -4.0), Gold softer (-.82),

West Texas crude off (-.22).

- Tsys were mildly higher for the most part Friday on very light very light

volume (TYZ<775k) many playing sidelines ahead Saturday's special parliamentary

sitting re: Brexit.

- No substantive data to trade off of, no deal-tied hedging, even Fed speakers

stayed in their lanes ahead media blackout that kicks off at midnight and runs

through Oct 31.

- Of the light flow, fast$ and prop accts were two-way, trading accts squaring

up ahead weekend. Short end Eurodollar futures lead drive higher, decent buying

>20k Mar'20 futures at 98.365-98.37, EDH0/EDH1 spd trading around -0.190-0.185

- The 2-Yr yield is down 2.6bps at 1.5736%, 5-Yr is down 1.6bps at 1.5593%,

10-Yr is down 0.5bps at 1.7466%, and 30-Yr is up 1.2bps at 2.2463%.

US TSY FUTURES CLOSE: Mildly higher for the most part on very light very light

volume (TYZ<775k) with many playing sidelines ahead Saturday's special

parliamentary sitting re: Brexit. Yld curves mostly steeper, update:

* 3M10Y  -0.492, 7.522 (L: 4.648 / H: 11.254)

* 2Y10Y  +2.316, 17.094 (L: 14.606 / H: 17.595)

* 2Y30Y  +3.707, 66.992 (L: 63.191 / H: 67.297)

* 5Y30Y  +2.792, 68.467 (L: 65.738 / H: 68.746)

Current futures levels:

* Dec 2-Yr futures up 1.625/32  at 107-24.875 (L: 107-22.5 / H: 107-26.12)

* Dec 5-Yr futures up 3.25/32  at 119-1.5 (L: 118-28.25 / H: 119-04.5)

* Dec 10-Yr futures up 4/32  at 130-1 (L: 129-24.5 / H: 130-05.5)

* Dec 30-Yr futures up 1/32  at 160-7 (L: 159-23 / H: 160-22)

* Dec Ultra futures down 3/32  at 187-14 (L: 186-24 / H: 188-10)

US EURODLR FUTURES CLOSE: Stronger for the most part, Whites outpace w/lead

quarterly quarterly leading volume as rate cut probability at Oct 30 FOMC gels

around 85%. For the week: lead EDZ9 futures gained 0.030 to 98.130, while EDH0

through EDU0 gained 0.035-0.050; Reds (EDZ0-EDU1) +0.035 to steady, Greens

through Golds (EDZ1-EDU4) gained only 0.010-0.005 for the week. Current White

pack (Dec 19-Sep 20): 

* Dec 19 +0.035 at 98.130

* Mar 20 +0.035 at 98.360

* Jun 20 +0.035 at 98.445

* Sep 20 +0.035 at 98.50

* Red Pack (Dec 20-Sep 21) +0.015 to +0.035

* Green Pack (Dec 21-Sep 22) +0.010 to +0.015

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

* Gold Pack (Dec 23-Sep 24) steady

US DOLLAR LIBOR: Latest settles

* O/N -0.0230 at 1.8151% 

* 1 Month +0.0039 to 1.8502% (-0.0633/wk)

* 3 Month -0.0126 to 1.9532% (-0.0477/wk)

* 6 Month -0.0227 to 1.9517% (-0.0238/wk)

* 1 Year -0.0058 to 1.9872%

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): 1.95% vs. 2.05% prior, $1.077T

* Broad General Collateral Rate (BGCR): 1.93% vs. 2.02% prior, $462B

* Tri-Party General Collateral Rate (TGCR): 1.93% vs. 2.02% prior, $441B

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

19-Oct Fed enters media blackout, through Oct 31

21-Oct 1130 US Tsy $45B 13W Bill auction (912796TC3)

21-Oct 1130 US Tsy $42B 26W Bill auction (912796SM2)

--

22-Oct 0830 Oct Philadelphia Fed Nonmfg Index

22-Oct 0855 19-Oct Redbook retail sales m/m

22-Oct 1000 Sep existing home sales (5.49M, 5.45M)

22-Oct 1000 Sep existing home sales (+1.3%, -0.7%)

22-Oct 1000 Oct Richmond Fed Mfg Index

22-Oct 1300 US Tsy $40B 2Y Note auction (912828YP9)

PIPELINE: Dearth of late week supply, should pick up after latest earnings cycle

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

10/18 No new issuance for Friday as yet

10/?? $1B CPPIB (Canada Pension Plan Investment Board) WNG 10Y

-

$6.75B priced Thursday, $12.6B/wk

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

* +25,000 Dec 85/86 call spds, 0.5 vs. 98.15/0.05%

* +5,000 Nov 81/82 1x2 call spds, 2.5

* 3,500 Dec 82/83 4x5 call spds, 7.5Block, 1129:35ET,

* +11,150 Mar 78 puts, 1.0, appears to be a buy and still offered

* 10,000 short Dec 81 puts, 2.5

* +4,500 short Dec 82/83 call spds, 2.0

* +15,000 Dec 78 puts, 1.0

* -2,000 Jan 82/83 strangles, 16.0

* +7,000 Mar 81 puts vs. -3,500 Mar 83/90 call spds, 2.5 net/call spd over

* +4,000 Mar 81 puts vs. -Mar 85/90 call spds, 0.0 net

Light overnight flow/Block recap:

* Block 18,000 short Dec 80/82 put spds, 4.0 vs. 98.46/0.10%

* Block 10,000 Mar 80/82 put spds 7.5, half blocked

* 5,000 Feb 82/83 put spds

Tsy options:

* +10,000 TYZ 132/133/134 call flys, 4/64

* >5,100 TUZ 106.75 puts, .5/64 on screen last few minutes

* 2,000 TYZ 127 puts, 5/64 vs. 129-31.5

* +4,500 TUX 108 calls, 2/64

* +7,500 FVZ 120.5 calls, 6.5/64 vs. 119-01.25

* -5,000 TYZ 128.5/132.5 strangles, 27/64

* -5,800 TYZ 128 puts, 12/64 on screen

* -2,850 USZ 162 puts, 2-50/64 vs. 160-09

* 1,000 USX 158 puts, 32/64

Overnight flow/Block recap, relatively light:

* Block, 20,000 FVZ 120.25/120.75 call spds, 4.5/64 vs. 119-00.25/0.25%

* 10,000 USZ 168 calls, 9/64

* 7,700 USX 166 calls, 1/64

* >11,000 TYZ 132 calls, 12/64 last

* >12,900 TYZ 132.5 calls, 8/64 last

* >6,000 TYX 129 puts, 7/64

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

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