US TSYS: EXTEND SESSION LOWS LATE, US$ SURGES

US TSY SUMMARY: Rates trade weaker by the bell, extend post-minutes lows, curves

steepening out, equities weaker but off steeper losses in first half, US$ index

near late highs (DXY +5.62, 95.610).

- Minutes highlights: many project above-neutral rates, need for temporary

restrictive policy, 'accommodative' cut not signal of policy change while

tariffs, trade uncertainty pose downside risks.

- Exp this afternoon: Tsy dept FX policy report on major trade partners w/US.

- Relative quiet as accts plied sidelines ahead Sep FOMC minutes, rates extended

session lows after release w/program buyers lifting levels off lows, curves

pared flattener move. 

- Pre-release: Tsys receded as equities posted gains briefly, flow included prop

and fast$ selling 3s-5s, real$ selling 10s on modest size, 5s10s flatteners from

props earlier curves off lows. Heavier short end selling, Dec hike probability

on the rise.

- Tsy cash/ylds: 2Y 99-24 (2.878%), 5Y 99-08 (3.037%), 10Y 97-15 (3.177%), 30Y

93-16 (3.345%).

US TSY FUTURES CLOSE: Continue to weaken after the bell, extend session lows,

curves bending steeper, update:

* 2s10s +0.637, 30.003 (27.660L/30.021H);

* 2s30s +0.566, 46.982 (44.587L/47.378H);

* 5s30s +0.138, 31.128 (29.715L/31.528H);

Current futures levels:

* Dec Ultra bonds down 22/32 at 150-13 (150-13L/151-16H)

* Dec 30-yr Bond futures down 16/32 at 138-00 (138-00L/138-26H)

* Dec 10-yr futures down /32 at 118-00 (118-00L/118-09.5H)

* Dec 5-yr futures down 3.75/32 at 112-03.5 (112-03.25L/112-08.75H)

* Dec 2-yr futures down 1.25/32 at 105-08 (105-08L/105-10H)

US EURODOLLAR FUTURES CLOSE: Modestly lower across the strip; at/near the bottom

of a tight range with moderate volume. Current White pack (Dec'18-Sep'19):

* Dec'18 -0.010 at 97.300

* Mar'19 -0.010 at 97.115

* Jun'19 -0.015 at 96.955

* Sep'19 -0.010 at 96.850

* Red pack (Dec'19-Sep'20) -0.020-0.015

* Green pack (Dec'20-Sep'21) -0.035-0.030

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

* Gold pack (Dec'22-Sep'22) -0.025-0.020

US SWAPS: Spds mixed after the bell, spd curve steeper w/wings on respective

ranges. Sporadic rate paying in short end on day, two-way in intermediates,

modest deal-tied flow in the mix. Latest spd levels:

* 2Y -0.50/19.00

* 5Y -0.12/13.25

* 10Y +0.44/6.44

* 30Y +0.62/-7.62

US DOLLAR LIBOR: Latest settles,

* O/N -0.0003 to 2.1760% (+0.0067/wk) 

* 1 Month -0.0051 to 2.2820% (+0.0023/wk) 

* 3 Month +0.0051 to 2.4496% (+0.0132/wk) 

* 6 Month +0.0038 to 2.6613% (+0.0092/wk) 

* 1 Year -0.0014 to 2.9657% (+0.0024/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.18% vs. 2.21% prior, $816B

* Broad General Collateral Rate (BGCR): 2.17% vs. 2.19% prior, $424B

* Tri-Party General Collateral Rate (TGCR): 2.17% vs. 2.19% prior, $411B

PIPELINE: Light issuance ahead FOMC minutes

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

10/17 $500M *IADB 3Y FRN 3ML-2

10/17 $Benchmark Nuveen 10Y +105a

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

- Oct 18 13-Oct jobless claims (214k, 210k) 0830ET 

- Oct 18 Oct Philadelphia Fed Mfg Index (22.9, 18.5) 0830ET 

- Oct 18 StL Fed Pres Bullard, "US Eco & Mon/Pol", Uof Memphis, Tn, Q&A. 0900ET 

- Oct 18 NY Fed Sn VP Peach, Korean CoC & Ind in US, Fort Lee, NJ, Q&A. 0900ET 

- Oct 18 14-Oct Bloomberg comfort index (59.5, --) 0945ET 

- Oct 18 Sep leading indicators (0.4, 0.5) 1000ET 

- Oct 18 12-Oct natural gas stocks w/w (90, --) 1030ET 

- Oct 18 US Fed Vice-Chair Quarles, "Economic Outlook", NY Economic Club 1215ET

- Oct 18 17-Oct Fed weekly securities holdings 1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* +5,000 Dec 72/73/75 1x3x2 call flys, 3.25

* 6,000 Green Dec 65 puts at 2 vs 9669.5/0.10%

* 5,000 Short Nov 67/68 1x2 call sprd at 2

* -30,000 short Dec 70 calls, 2.5

* 4,000 Blue Nov 67/68 2x1 put sprd at 2

* 4,000 Green Dec 70 calls at 3 vs 9676.5/0.10%

Block, 09:57:37ET,

* 13,375 Dec 72 puts at 1.5 vs 9731/0.28%

* -5,000 Blue Nov 65 puts at 0.5

* 10,000 Mar 71 Straddles at 16

* 15,000 Short Jan 76 calls at 0.5 vs 9675.5/0.05%

Block, 08:38:31ET,

* 10,000 Nov 72/73 2x1 put sprd at 6

* +5,000 Short Jun 61 puts at 2.5 vs 9670.5/0.10%

Recap overnight trade -- mostly puts until Dec 75 call buy

* 15,700 Dec 75 calls, 0.50 (open interest 397k)

* 4,000 Mar 71/72/73 1x1x2 call trees,

* 1,500 Jan 70/71/72 2x3x1 put flys

* 3,700 Sep 70/71 put spds

* 4,000 short Jun 61 puts

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

Tsy options/Pit/screen:

* 1,740 TYX 116.75/117.5/118 2x3x1 put flys, 2/64 net/wings over

* +5,000 TYZ 117/118 3x2 put sprd at 26 vs 07.5/0.36%

* -2,000 TYZ 120 calls at 4 vs 04.5/0.05%

Openers in Feb 10Y options --

* +4,200 TYG 115/116 2x1 put spds, even net/2-legs over

* just over 10,300 TYG 113.5 puts, scale buyer in small lots at 3/64

* -5,000 TYX 118.5 calls at 8

* 5,000 TYZ 121 calls at 2

* -3,000 USZ 136 puts, 25/64 vs. 138-25

* 1,000 wk3 TY 117.5/118/118.5 call flys, 13/64

* 2,000 TYZ 117 puts, 10/64 on screen

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

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