US TSYS: DEFICIT BALLONS TO $779B, 3.9% GDP

US TSY SUMMARY: Quiet start to wk, Tsys held weaker levels all day, off session

lows on decent overall volume (TYZ>1.16M). 

- Limited react, rates recovered some ground after Sept retail sales +0.1% vs

+0.6% expected by analysts, but receded by midmorning again as equities

rebounded/extended top end of range. 

- Deal-tied rate-locks weighed, >7B Conagra 7-tranche issuance, expectations for

further issuance from financial stocks as tey exit earnings blackout. 

- Carry-over two-way flow from fast$ accts in short end, prop selling

intermediates, modest two-way curve flow, light option volume.

- US Treasury's semi-annual FX report will be keenly anticipated by markets to

see if China is named a currency manipulator. However, Treasury staffers

reportedly advised soon after Mnuchin's comments that they did NOT find China to

be manipulating. Late chatter Saudi Arabia to admit to botched interrogation

that lead to journalist Khashoggi death

- Tsy cash/ylds: 2Y 99-25.5 (2.853%), 5Y 99-11.75 (3.012%), 10Y 97-19.5

(3.158%), 30Y 93-20.5 (3.337%).

US TSY FUTURES CLOSE: Trading moderately lower, near bottom of relatively narrow

range; strong volume (TYZ 1.21M), curves mixed; update:

* 2s10s -0.383, 30.049 (28.729L/30.634H);

* 2s30s +0.337, 48.104 (46.382L/48.652H);

* 5s30s +0.514, 32.320 (31.106L/33.082H);

Current futures levels:

* Dec Ultra bonds down 19/32 at 150-25 (150-22L/151-10H)

* Dec 30-yr Bond futures down 14/32 at 138-09 (138-08L/138-22H)

* Dec 10-yr futures down 05/32 at 118-06 (118-05L/118-10.5H)

* Dec 5-yr futures down 03/32 at 112-7.25 (112-6.5L/112-10.5H)

* Dec 2-yr futures down 01/32 at 105-9.75 (105-9.25L/105-10.75H)

US EURODOLLAR FUTURES CLOSE: Trading modestly lower with a parallel shift across

the strip; light volume. Current White pack (Dec'18-Sep'19):

* Dec'18 -0.015 at 97.305

* Mar'19 -0.025 at 97.120

* Jun'19 -0.025 at 96.965

* Sep'19 -0.025 at 96.865

* Red pack (Dec'19-Sep'20) -0.030-0.025

* Green pack (Dec'20-Sep'21) -0.030-0.025

* Blue pack (Dec'21-Sep'21) -0.030-0.025

* Gold pack (Dec'22-Sep'22) -0.030-0.025

US DOLLAR LIBOR: Latest settles,

* O/N +0.0079 to 2.1772% (-0.0024 last wk) 

* 1 Month +0.0098 to 2.2895% (+0.0030 last wk) 

* 3 Month +0.0124 to 2.4488% (+0.0283 last wk) 

* 6 Month +0.0016 to 2.6537% (+0.0292 last wk) 

* 1 Year +0.0035 to 2.9668% (+0.0050 last wk)

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

* Secured Overnight Financing Rate (SOFR): 2.18% vs. 2.17% prior, $852B

* Broad General Collateral Rate (BGCR): 2.16% vs. 2.16% prior, $435B

* Tri-Party General Collateral Rate (TGCR): 2.16% vs. 2.16% prior, $409B

PIPELINE: $7.025B Conagra 7-tranche launched (drops 3Y FRN)

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

10/15 $7.025B #Conagra jumbo 8-tranche issuance:

      $525M 2NC1 FRN 3ML +75, $1.2B 3Y +90, $1B 5.5Y +130

      $1B 7Y +155, $1.3B 10Y +170, $1B 20Y +200, $1B 30Y +210

10/15 $1.7B #Royal Bank of Canada 3Y MS+25

10/15 $1.25B #FedEx $400M 10Y 105, $850M 30Y +165

10/15 $300M *Korea Expressway 30Y +80

10/15 $Benchmark ESM 2Y MS+1a

Chatter: financial names as banks exit earnings blackout

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

- Oct 16 Oct NY Fed Business Leaders Index (22.5, --) 0830ET

- Oct 16 13-Oct Redbook retail sales m/m (0.4%, --) 0855ET

- Oct 16 Sep industrial production (0.4%, 0.1%) 0915ET

- Oct 16 Sep capacity utilization (78.1%, 78.2%) 0915ET

- Oct 16 Aug JOLTS job openings level (6.939M, --) 1000ET 

- Oct 16 Aug JOLTS quits rate (2.4%, --) 1000ET

- Oct 16 Oct NAHB home builder index (67, --) 1000ET

- Oct 16 Aug net TICS flows 1600ET

- Oct 16 Aug long term TICS flows 1600ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* +25,000 Short Dec 71 calls at 2

* -10,000 Short Nov 68 calls at 3.5 vs 9679.5/0.30%

* -5,000 short Dec 70 calls, 3.0

Block, 12:25:00ET,

* -10,000 Dec 77 puts at 43.5, another 2.5k in pit

* +60,000 Red Mar 57 puts at 1.5 vs 9675.5/0.10%

* +10,000 Red Mar 58/61 put sprd at 3 vs 9675.5/0.10%

* -10,000 short Nov 68 calls, 3.5

* +4,000 Mar 70/Sep 65 put spds, 1 net/Sep ovr vs 9685/0.10%

* 5,000 Dec 75/76/77 call fly at 0.5 vs 9732.5/0.10%

* +20,000 Dec 71/75 call over risk reversal at CAB vs 9732/0.10%

* -5,000 Nov 71/72 put strip at 0.75 vs 9732.5/0.12%

Overnight screen trade

* 25,000 Dec 75/76/77 call flys

Overnight Block

* 3,000 short Jun 63/65/66 put trees, 0.5

Tsy options, Pit/screen:

* 3,500 TYZ 116/116.5/117 put trees, 1/64 vs. 118-02

* over -25,000 TYX 118.5 calls, 13/64 vs. 118-08.5/0.44%

* +10,000 USZ 128/131 put sprd at 3

* Buyer 6.5k USZ8 131.00/128.00 put spreads @ '03

* +2,000 TYX 118 puts vs -2,000 TYZ 116.5 puts for net 0

* Earlier, up to 14k USZ8 134.00/133.00 put spreads were bought at '05 -mkt

source

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

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