US TSYS: EQUITY SELL-OFF RESUMES, RATES BID/OFF HIGHS

US TSY SUMMARY: Risk-off support in rates continued as equities made new lows

(SPX 2687.5 late). Heavy futures volume by the bell (TYZ>2.1M) w/pace moderating

in second half. Rates had trimmed gains around midday as equities bounced off

lows.

- Pick-up in data, multiple Fed speakers. Well below exp September new home

sales -5.5% to 553k SAAR also supportive. Fed Beige Book: Overall growth 'modest

to moderate,' a slight downgrade from last Beige Book. Ongoing exogenous

factors: Italian budget angst and hard Brexit concerns.

- Flow through midday included various acct sellers of 10's, forward rollers

into WI 5s, fast$ 5-30 flatteners fading two-day move. Moderate deal-tied flow

and pre-auction short sets ahead the $39B 5Y auction. Heavy option volume w/flow

more mixed after better upside call buying Tue.

- Fed's Kaplan sees three hikes through end of 2019; Fed Bostic, "US Economy

"`CHUGGING ALONG QUITE WELL'".

- Decent $39B 5Y note auction, awarded 2.977% rate vs. 2.980% WI (awarded 2.997%

in Sep; 2.524% avg. Tsy cash/ylds: 2Y 100-01.5 (2.847%), 5Y 99-20.5 (2.952%),

10Y 97-31.5 (3.113%), 30Y 93-19.5 (3.338%).

US TSY FUTURES CLOSE: Trade higher, near top of the range; strong volume (TYZ

2.19M); curves mixed; update:

* 2s10s -2.203, 26.232 (25.542L/28.624H);

* 2s30s +0.404, 48.873 (46.013L/49.571H);

* 5s30s +2.965, 38.557 (34.881L/38.735H);

Current futures levels:

* Dec Ultra bonds up 21/32 at 150-26 (150-00L/151-00H)

* Dec 30-yr Bond futures up 24/32 at 138-30 (138-03L/138-31H)

* Dec 10-yr futures up 14.5/32 at 118-23 (118-07L/118-23.5H)

* Dec 5-yr futures up 8.75/32 at 112-17.25 (112-7.5L/112-17.5H)

* Dec 2-yr futures up 03/32 at 105-12 (105-8.5L/105-12.25H)

US EURODOLLAR FUTURES CLOSE: White pack trades mixed while the rest of the strip

trades mildly higher at the top of the range; strong volume. Current White pack

(Dec'18-Sep'19):

* Dec'18 -0.010 at 97.250

* Mar'19 +0.010 at 97.110

* Jun'19 +0.015 at 96.970

* Sep'19 +0.025 at 96.875

* Red pack (Dec'19-Sep'20) +0.055-0.030

* Green pack (Dec'20-Sep'21) +0.060-0.055

* Blue pack (Dec'21-Sep'21) +0.060-0.055

* Gold pack (Dec'22-Sep'22) +0.055-0.050

US DOLLAR LIBOR: Latest settles,

* O/N +0.0013 to 2.1751% (+0.0040/wk)

* 1 Month +0.0127 to 2.2940% (+0.0122/wk)

* 3 Month +0.0182 to 2.5080% (+0.0309/wk)

* 6 Month +0.0122 to 2.7597% (+0.0362/wk)

* 1 Year +0.0050 to 3.0393% (+0.0190/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.17% vs. 2.18% prior, $779B

* Broad General Collateral Rate (BGCR): 2.15% vs. 2.17% prior, $408B

* Tri-Party General Collateral Rate (TGCR): 2.15% vs. 2.17% prior, $392B

PIPELINE: Kimberly-Clark 10Y, National Rural Utilities 10y & 30Y launched

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

10/24 $625M #National Rural Utilities, $325M 10Y +78, $300M 30Y +108

10/24 $500M #Kimberly-Clark WNG 10Y +85

10/24 $Benchmark Japanese Bank of Int Cooperation (JBIC) 5Y +31a, 10Y +43a

10/24 $Benchmark Province of Alberta 5Y +25a

10/24 $Benchmark SunTrust Bank 3NC2 fix/FRN, 7Y +115a

10/24 $1.1B United Rentals 8NC3 

10/24 $625M #National Rural Utilities, $325M 10Y +78, $300M 30Y +108

10/24 $500M #Kimberly-Clark WNG 10Y +85

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

- Oct 25 20-Oct jobless claims (210k, 215k) 0830ET

- Oct 25 Sep durable goods new orders (4.5%, -1.0%) 0830ET

- Oct 25 Sep durable new orders ex transport (0.1%, 0.5%) 0830ET

- Oct 25 Sep advance goods trade gap 0830ET

- Oct 25 Sep advance wholesale inventories 0830ET

- Oct 25 Sep advance retail inventories 0830ET

- Oct 25 21-Oct Bloomberg comfort index 0945ET

- Oct 25 Sep NAR pending home sales index (104.2, --) 1000ET

- Oct 25 19-Oct natural gas stocks w/w 1030ET

- Oct 25 Oct Kansas City Fed Mfg Index (13, --) 1100ET

- Oct 25 Fed Brd of Govs' VC Clarida, U.S. Eco/MonPol outlook, D.C., Q&A. 1215ET

- Oct 25 US Tsy $31B 7Y note auction (9128285J5) 1300ET

- Oct 25 24-Oct Fed weekly securities holdings

- Oct 25 US Tsy announces 13- and 23wk details for Oct 29 auction

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* 10,000 Short Nov 67/68 call over risk reversal for 1 vs 9681.5/0.35%

* 15,000 short Dec/Green Dec 66/67 put spds, 0.5/Green Dec over

Blocks, 11:52:30-1242:45ET,

* total +30,000 Green Dec 67 puts at 8 vs 9681/0.42%

* +10,000 Green April 70 calls at 5.5 over the 65/66 put sprds,

* +5,000 Red Dec 60/62/65 put sprd at 3.5 vs 9679/0.10%

* +11,500 Dec 72/73 Strangle at 6.5

* 4,000 Long Green Mar 77 calls at 15.5 vs 9683/0.20%

* Total 20,000 Short Mar 63/66 put sprd, on screen

Block, 08:13:44ET,

* 12,000 Green Dec 68/71 call sprd at 5 vs 9679.5/0.25%

* +9,000 Blue Dec 66 puts at 3.5 vs 80/0.20%

* -10,000 Dec 71/72/75/76 Call Condor at 7.75

* +10,000 Green April 72 calls at 6.5

limited upside call fly boosting volume

* +17,000 Dec 72/73/75 call flys, 2.75-2.7 synthetically

Tsy options, Pit/screen:

* -1,000 TYX 118.5 straddles, 23/64

* +7,500 TYZ 117/118 put spds, 13/64 vs. 118-18.5/0.20%

* 2,100 TYX 119 calls, 4/64 vs. 118-20

* +3,000 TYX 120 calls at cab11

* Total 11,000 TYZ 119.5 calls at 13, on screen

* +15,000 USZ 148 calls at 2

* +20,500 TYZ 123.5 calls at 1

* 2,500 TYZ 117/120.5 put over risk reversal at 2

Block, 09:17:56ET,

* 10,700 TYZ 119/120.5 call sprd at 17, note recent 6k traded at 15 in pit

* 6,750 TYX 118.25/118.5 2x1 put sprd at 2

* 6,150 TYZ 119/120.5 call sprd at 15

* +2,000 TYZ 117/118 put sprd at 15 vs 12.5/0.22%

* -3,000 TYZ 118.5 straddles, 1-4 to 1-3/64 into the open

* 2,550 TYZ 120.5 calls, 4/64 vs. 118-14

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

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