US TSYS END HIGHER, MID-RANGE; UNCERTAINTY ON SPAIN/CATALAN

     US TSYS SUMMARY: Treasuries ended Tues higher but off session highs as mkt

uncertainly eyed Spain's Catalan leader Puigdemont who proposed to suspend

independence referendum result; Spain called speech irresponsible to an

"absolute extreme." 

- Tsys began NY firmer, then ebbed on rate-lock hedges, pre-auction shorts into

3/10/30Y auctions. Large block buy of 18,712 TYZ7 10Y futures at 125-03+ at

8:39am ET. And some large sell German futures/vs. buy Tsy blocks done,

startingwith 5Y trade in early Europe then a 10Y trade before UK lunch. 

- Cash Treasuries rose amid technical buyers in 10Y Tsy futures (TYZ) once

overnight price range broken to upside, as contract rose over 125-07, hitting

buy-stops. Prior to 9:53am ET, there was about 45K TYZ7 traded on the move from

125-06 to 125-10. At 10:21 am ET, future block buy via screens: 4,151 USZ7

Classic Long Bond at 152-31. Also a 13:13pm ET block buy of 8,178 FVZ7 5Y

Futures at 117-13.75.

- US Eurodlr futures saw 23,000 at 98.49 in Dec7 contract. 

- TSYS 3PM ET: 2Y 1.508%; 3Y 1.630%; 5Y 1.943%; 7Y 2.171%; 10Y 2.343%; 30Y

2.881%.

US TSYS FUTURES CLOSE: US Tsy futures close modestly higher, roughly in middle

of session range in decent volume, supported by earlier block buying in 5Y, 10Y

and 30Y futures. However weighed into close as Catalonia did not declare

independence. Current futures levels: 

* Dec Ultra bonds up 17/32 at 164-18 (163-23L/165-12H) 

* Dec 30-yr Bond futures up 12/32 at 152-15 (151-28L/153-02H) 

* Dec 10-yr futures up 5/32 at 125-08 (125-00.5L/125-14H) 

* Dec 5-yr futures up 2.75/32 at 117-13.25 (117-09.25L/117-16H) 

* Dec 2-yr futures up 0.75/32 at 107-25.25 (107-24.25L/107-25.75H)

US EURODLR FUTURES CLOSE: Trading higher, supported by outright buying in the

front end but mixed with some micro-curve steepener trades as well. 

* Dec 17 0.005 at 98.485 

* Mar 18 0.005 at 98.36 

* Jun 18 0.01 at 98.265 

* Sep 18 0.015 at 98.19 

* Reds (Dec 18-Sep 19) +0.02 to +0.025 

* Greens (Dec 19-Sep 20) +0.03 to +0.035 

* Blues (Dec 20-Sep 21) +0.025 to +0.03 

* Gold (Dec 21-Sep 22) +0.025 to +0.025

US SWAPS: Spreads running mixed by the bell, with 2s and 10s running slightly

tighter while 5s and 30s are modestly wider. Some decent swap flow seen with a

5Y/7Y/10Y $162k DV01 fly paying in the belly seen and outright receiving in 5Y,

8Y and 9Y and a 6Y/7Y flattener as well. latest spread levels: 

* 2Y -0.38/26.25 

* 5Y +0.02/8.27 

* 10Y -0.18/-4.43 

* 30Y +0.13/-32.44

OUTLOOK: Oct. 11th US Data/speaker calendar (prior, estimate)

11-Oct Annual IMF Meeting in Washington D.C. 

11-Oct ** 06-Oct MBA Mortgage Applications (-0.4%/--) 07:00am ET

11-Oct ChiFed Evans guided talk: Swiss Day 2017 in Zurich; Q/A 07:15am ET

11-Oct IMF MD Lagarde talk on G20/Africa at IIF Annual Mtg DC 10:00am ET

11-Oct US Tsy $24.0B 3-Year Note auction 11:30am ET

11-Oct US Tsy $20.0B 10Y Note Reopening auction 13:00pm ET

11-Oct NY Fed EVP Potter:Amer.Exit Strategies EU/US Views; NY 13:10pm ET

11-Oct Fed releases minutes for Sept 19-20 FOMC mtg Wash DC 14:00pm ET

US EURODLR FUTURES: Catching up on latest option flows: 

* +5k Green Dec 81/83 call spread vs Green Dec 82/83 call sprd at 4 

* -3k Front Mar 83 straddle vs Front Mar 85 calls at 12.5 

* +6k Front Jan 82 puts at 1.2 

* +10k Front Sep 78/78 put spd vs Front Sep78/76 put spd at 4 vs EDU8 at 98.185 

* +5k Red Mar 76/71 put spread at 5.5 vs EDH9 at 98.04 

* +10k Short Dec 80 puts at 4 

* +10k Short Dec 80 puts at 4.5 

* -5k Green Oct 80 vs Green Nov 81 calls at 1 

* +2.5k Green Dec 83/81 call spread vs 5k Green Dec 83/82 call spread at 5 

* +5k Short Dec 82/85/83 call tree at 1.25

--MNI New York Bureau; tel: +1 212-669-6432; email: sheila.mullan@marketnews.com

[TOPICS: MTABLE,MNUEQ$,M$U$$$,MR$$$$,M$$FI$,MN$FI$]