US TSYS: CARRY-OVER RISK ON LOSSES MOMENTUM LATE

US TSY SUMMARY: Carry-over risk-on tone lost steam in the second half, Tsys

trimmed losses as equities struggled to stay in the black following a two-day

rout (global stocks reportedly lost $2.2T on Thu's decline alone?!?).

- SPX mildly higher by the FI closing bell, Tsys lower but well off first-half

lows, while VIX vol index receded -- still appr 8.0 pts higher for the week.

- Pretty muted end to week, current futures volume decent, but largely occurred

overnight into early NY hours. 

- Modest dealer customer flow, still wary of taking on added risk ahead weekend,

carry-over selling in 5s, 10s and 30s w/prop and fast$ sellers 5s-10s from O/N

into first half. Fast$ and prop acct buying more recently, light curve flow

two-way, swap-tied flow light and two-way with rate paying in shorts to

intermediates, some deal-tied ahead expected pick-up in issuance next week.

- Tsy cash/ylds: 2Y 99-26.5 (2.836%), 5Y 99-14.5 (2.993%), 10Y 97-24 (3.141%),

30Y 93-31.5 (3.318%).

TECHNICALS: 

US TSY FUTURES CLOSE: Trading slightly lower into the bell with the short end

outperforming the long end; Equities have begun to climb higher; strong volume

(TYZ 1.72M), curves steeper; update:

* 2s10s +0.282, 30.012 (29.296L/30.856H);

* 2s30s +0.605, 47.690 (46.488L/48.535H);

* 5s30s +0.583, 32.303 (31.126L/32.907H);

Current futures levels:

* Dec Ultra bonds down 09/32 at 151-10 (150-12L/151-18H)

* Dec 30-yr Bond futures down 05/32 at 138-22 (137-30L/138-28H)

* Dec 10-yr futures down 2.5/32 at 118-10 (118-00L/118-14H)

* Dec 5-yr futures down 0.75/32 at 112-10 (112-3.75L/112-12H)

* Dec 2-yr futures down 0.25/32 at 105-10.5 (105-8.5L/105-11.5H)

US EURODOLLAR FUTURES CLOSE: Trading steady/mixed, well off early session lows

on moderate volume. Current White pack (Dec'18-Sep'19):

* Dec'18 0.000 at 97.325

* Mar'19 0.000 at 97.145

* Jun'19 0.000 at 96.990

* Sep'19 +0.005 at 96.890

* Red pack (Dec'19-Sep'20) +0.005-EVEN

* Green pack (Dec'20-Sep'21) +0.005-EVEN

* Blue pack (Dec'21-Sep'21) EVEN

* Gold pack (Dec'22-Sep'22) -0.005-EVEN

US DOLLAR LIBOR: Latest settles,

* O/N -0.0029 to 2.1693% (-0.0024/wk)

* 1 Month +0.0002 to 2.2797% (+0.0030/wk)

* 3 Month +0.0001 to 2.4364% (+0.0283/wk)

* 6 Month +0.0169 to 2.6521% (+0.0292/wk)

* 1 Year +0.0091 to 2.9633% (+0.0050/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.17% vs. 2.15% prior, $838B

* Broad General Collateral Rate (BGCR): 2.16% vs. 2.14% prior, $430B

* Tri-Party General Collateral Rate (TGCR): 2.16% vs. 2.14% prior, $411B

PIPELINE: Slow week for issuance -- but $63.4B for month

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

No new issuance Fri, but likely to pick next week as banks run through earnings

-

Only $1.5B Thursday after $12.65B priced Wed, 

10/11 $1.5B *Kommunalbanken 3Y +3

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

- Oct 15 Sep retail sales (0.1%, 06%) 0830ET

- Oct 15 Sep retail sales ex. motor vehicle (0.3%, 0.4%) 0830ET

- Oct 15 Sep retail sales ex. mtr veh, gas (0.2%, --) 

- Oct 15 Oct Empire Manufacturing Index (19.0, 20.0) 0830ET

- Oct 15 Aug business inventories (0.6%, 0.6%) 1000ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* +20,000 Dec 73 calls, 2.75 vs. 97.335/0.30%

* Update, total +65,000 Red Mar 57 puts at 1.5 vs 9673.5/0.10%

* +20,000 Oct 73 calls at CAB vs 9736/0.05%

* 5,000 Nov 72 puts at 0.5 vs 9734.5/0.10%

* +5,000 Short Mar 66 puts at 8.5 vs 9677.5/0.32%

* -5,000 Mar 66/68/71 put flys, 5.5

* +5,000 Dec'19 62/65 put sprd w/Dec'19 61/63 put sprd, 10.0 total vs

9676.5/0.10%

* +60,000 Long Green Dec 53/56 put sprd at 2.5 vs 9674.5/0.10%

* -6,500 Mar 71 Straddle at 16.5

* 25,000 Sep 62 puts at 1

* 5,000 Green Dec 68/71 call sprd at 4.5 vs 9676/0.18%

* 5,000 Green Oct 67 Straddle at 2.5

Block, 0730:29ET

* 20,000 Jun 66/67/68 put flys, 2.5 net

Tsy options, Pit/screen:

* 10,000 FVX 112.25/112.75 call sprd at 11.5 vs 112-11.25/0.36%

* +10,000 TYF 119.5 calls at 20

* -5,000 TYZ 116/116.5/117 put trees, 0.0vs. 118-12.5/0.05%

* 1,000 TYX 118/118.75/119.5 1x3x2 call flys, 7/64 net/wings over

* 11,000 TYX 119.5 calls, 3/64 vs. 118-07.5/0.05%

* -3,000 USZ 137 puts at 100

* 1,000 TYX 118.5 calls, 14/64 vs. 118-05.5

Modest overnight trade includes

* just over 12,000 TYX 118 puts, 23/64, outright and vs. TYX 117 puts on 2x1

basis

* 5,000 TYX 118.5 calls

* 5,000 TYZ 115/116/117 put trees

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

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