US TSYS: Equities Surge Ahead Wed' FOMC Minutes, FI Off Lows

US TSY SUMMARY: Early, tentative risk-on trade trade gave way to risk-parity

like support for equities as well as Tsys, latter off lows on modest volume even

as stocks surged. 

- Equities gained as financials outperformed: Blackrock, MS and GS all beat

earnings est); midday support in Tsys receded briefly as equities continued to

power higher: SPX +55.0 at 2804.0, just another 85.0 to go to get back to last

Wednesday's pre-meltdown level (and appr 75.0 off last Thursday's late lows).

- Curves extend flattening with long end outperforming. FI implied vol grinding

lower on the range (better call sales, put buys on net); VIX in retreat as well

-2.96, 18.34 vs. 20.56H. 

- Trade volume fairly muted, however, modest data today -- accts likely

sidelined ahead Wed' Sep FOMC minutes release in afternoon. Also waiting on Tsy

dept release of FX policy report on major trade partners w/US. Decent deal-tied

flow on dat, rate paying intermediates to long end.

- Tsy cash/ylds: 2Y 99-25 (2.861%), 5Y 99-11.25 (3.015%), 10Y 97-20.5 (3.154%),

30Y 93-26.5 (3.327%).

US TSY FUTURES CLOSE: Trades mostly higher, long end outperforming/making new

session highs on a tight range into the bell, moderate volume (TYZ 1.30M),

curves flattening; update:

* 2s10s -1.005, 28.648 (28.611L/30.738H);

* 2s30s -1.759, 45.964 (45.964L/48.930H);

* 5s30s -1.473, 31.016 (30.844L/32.766H);

Current futures levels:

* Dec Ultra bonds up 14/32 at 151-05 (150-11L/151-05H)

* Dec 30-yr Bond futures up 08/32 at 138-17 (138-00L/138-18H)

* Dec 10-yr futures up 1.5/32 at 118-6.5 (118-1.5L/118-08H)

* Dec 5-yr futures up 0.5/32 at 112-7.25 (112-4.25L/112-8.25H)

* Dec 2-yr futures down 0.5/32 at 105-09 (105-8.75L/105-10H)

US EURODOLLAR FUTURES CLOSE: Steady/mixed, White pack trading +0.5 tick higher

while Reds through golds trading steady to slightly lower; moderate volume.

Current White pack

(Dec'18-Sep'19):

* Dec'18 +0.005 at 97.310

* Mar'19 +0.005 at 97.125

* Jun'19 +0.005 at 96.970

* Sep'19 +0.005 at 96.865

* Red pack (Dec'19-Sep'20) -0.010-0.005

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

* Blue pack (Dec'21-Sep'21) -0.005-EVEN

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

US SWAPS: Spds mostly wider by the close, spd curve steeper w/long end leading

as opposed to Mon's front end lead flattening. Deal-tied flow in the mix, rate

paying in intermediates to long end, fast$ and prop acct payer unwinds in short

end. Latest spd levels:

* 2Y +1.19/19.88

* 5Y +0.56/12.56

* 10Y +0.50/4.75

* 30Y +0.25/-10.00

US DOLLAR LIBOR: Latest settles,

* O/N -0.0009 to 2.1763% (+0.0070/wk)

* 1 Month -0.0024 to 2.2871% (+0.0074/wk)

* 3 Month -0.0043 to 2.4445% (+0.0081/wk)

* 6 Month +0.0038 to 2.6575% (+0.0054/wk)

* 1 Year +0.0003 to 2.9671% (+0.0038/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.21% vs. 2.18% prior, $837B

* Broad General Collateral Rate (BGCR): 2.19% vs. 2.16% prior, $423B

* Tri-Party General Collateral Rate (TGCR): 2.19% vs. 2.16% prior, $408B

PIPELINE: Wells Fargo, TD Bank and Pemex all launched, $7.25B total

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

10/17 $3.25B #Wells Fargo 3Y +70, 3Y FRN LIBOR equiv

10/17 $2B #TD Bank 3Y +25

10/17 $2B #Pemex long 10Y +335

10/17 $3B *ESM 2Y MS+0

10/17 $500M IADB 3Y FRN

10/17 $Benchmark Turkey 5Y IPT 7.75%a

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

- Oct 17 12-Oct MBA Mortgage Applications (-1.7%, --) 0700ET

- Oct 17 Sep housing starts (1.282M, 1.230M) 0830ET

- Oct 17 Sep building permits (1.240M, 1.266M) 0830ET

- Oct 17 12-Oct crude oil stocks ex. SPR w/w 1030ET

- Oct 17 Sep Kansas City Fed LMCI (0.99, --) 1100ET

- Oct 17 US Fed Gov Lael Brainard, "Fintech, Financial Inclusion/Potential to

Transform Financial Services" conf, Federal Reserve Bank of Boston in Boston,

Mass.

- Oct 17 Fed releases minutes for Sep 25-26 FOMC, 1400ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* 5,000 Green Nov/Green Dec 66 put sprd at 2 vs 9676/0.10%

* 5,000 Short Sep 62/72 Strangle at 16

* +3,000 Mar 70/short Mar 65 put spds, 2.0/EOH ovr

* -4,000 Blue Jan 67 straddles, 24.5

Block, 1320:44ET

* +10,000 short Nov 71 calls, 0.5, comes out offered

* +10,000 short Mar 61 puts, 1.0 vs. 96.71/0.10%

* -12,000 Dec 72 puts at 1.75

* +10,000 Red Sep 60/67 put sprd at 25.5 vs 9674.5/0.30%

UPDATE: Total 25,000 Red Sep 57/60 put sprd at 4

* +40,000 Mar 68/70/71 put fly at 3.5 vs 9713/0.10%

* +25,000 Red Sep 57/60 put sprd at 4

* Total +40,000 Long Green Dec 53/56 put sprd at 2.5 vs 9672/0.05%

Block, 10:34:25ET,

* -12,000 Red Dec 65 puts at 9.5

* Total +14,000 Blue Dec 72 calls at 1, on screen

* +45,000 (pit/screen) Short Nov 66 puts at 1

* 5,000 Nov/Dec 73 put spds at 1 vs 9730/0.10%

* 10,000 Short Dec 70 calls at 2.5 vs 9676.5/0.16%

Rather muted overnight trade picked up last couple minutes

w/limited downside trade

* just over 7,000 Mar 68/70/71 put flys

* 4,500 Dec 71/72 2x1 put spds earlier

Tsy options, Pit/screen:

* +16,000 TYX 117 puts at 2

* -5,000 TYZ 117/119 call over risk reversals, 0.0 vs. 118-08/0.43%

* -2,700 FVX 112.5 calls, 3.5/64

* +3,000 TUZ 105/105.12 put spds, 2/64

* +5,600 wk3 TY 118 puts, 3/64

* over 2,000 TYZ 119/119.5/120 call trees, 1/64 vs. 118-01

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

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