US TSYS: HARD BREXIT, ITALIAN BUDGET BOOST MKY ANXIETY

US TSY SUMMARY: Rates finish mixed, several dislocations, heavy volume. Short

end Tsys bid as global equities cratered. 

- Little progress out of the EU summit that suggests a Brexit deal is imminent,

and ongoing Italy budget dust-up helping boost mkt uncertainty, real-vol

delivering, sovereign spds widening, BTP/Bund leads (10Y at appr 5 year wides).

- Heavy short end Eurodollar sale as 3 Month +0.0194 to 2.4690% (+0.0326/wk),

swap spds mostly wider, spd curve flatter w/short end leading move after LIBOR

set, FRA/OIS surged (+4.80 at 36.10).

- Prop, fast$ two-way in shorts to intermediates, real$, bank portfolio better

sellers 10s and 30s, two-way curve flow.

- Tsy cash/ylds: 2Y 99-24.5 (2.870%), 5Y 99-10 (3.024%), 10Y 97-15 (3.175%), 30Y

93-06.5 (3.362%).

US TSY FUTURES CLOSE: Trading mixed intermediates outperform, strong volume (TYZ

2.07M); curves mixed; update:

* 2s10s -1.754, 29.691 (28.670L/31.589H);

* 2s30s +0.022, 48.182 (46.110L/49.155H);

* 5s30s +2.030, 33.272 (30.370L/33.877H);

Current futures levels:

* Dec Ultra bonds down 12/32 at 150-09 (149-21L/150-22H)

* Dec 30-yr Bond futures down 2/32 at 138-03 (137-15L/138-12H)

* Dec 10-yr futures up 03/32 at 118-4.5 (117-25L/118-8.5H)

* Dec 5-yr futures up 2.75/32 at 112-6.5 (111-30.75L/112-8.5H)

* Dec 2-yr futures up 0.5/32 at 105-8.75 (105-6.5L/105-9.5H)

US EURODOLLAR FUTURES CLOSE: Trades mixed after the bell, short end near low end

broad range, heavy sales front quarterly (EDZ8>985k). Current White pack

(Dec'18-Sep'19):

* Dec'18 -0.055 at 97.245

* Mar'19 -0.035 at 97.080

* Jun'19 -0.025 at 96.930

* Sep'19 -0.015 at 96.830

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

* Green pack (Dec'20-Sep'21) +0.020-0.015

* Blue pack (Dec'21-Sep'21) +0.020-0.015

* Gold pack (Dec'22-Sep'22) +0.015-0.010

US SWAPS: Spds running mostly wider, spd curve flatter w/short end leading move

all day -- since 3M LIBOR set +0.0194 to 2.4690% (+0.0326/wk) and FRA/OIS surged

(+4.80 at 36.10). Decent but sporadic rate paying, receiver unwinds on net after

early two-way, spd curve steepener unwinds. Hard Brexit warning signal? Also

note, BTP/Bund rate spds wider cross curve on budget concerns, sovereign spds

wider. Latest spd levels:

* 2Y +2.75/22.38

* 5Y +2.00/15.25

* 10Y +0.88/6.94

* 30Y -0.31/-8.31

US DOLLAR LIBOR: Latest settles, 3-, 6-, 1Y surge higher

* O/N -0.0058 to 2.1702% (-0.0009/wk)

* 1 Month -0.0024 to 2.2796% (-0.0001/wk)

* 3 Month +0.0194 to 2.4690% (+0.0326/wk)

* 6 Month +0.0328 to 2.6941% (+0.0420/wk)

* 1 Year +0.0348 to 3.0005% (+0.0372/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.18% vs. 2.18% prior, $771B

* Broad General Collateral Rate (BGCR): 2.17% vs. 2.17% prior, $417B

* Tri-Party General Collateral Rate (TGCR): 2.17% vs. 2.17% prior, $404B

PIPELINE: Another light day for corp issuance

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

10/18 $550M *Progressive +10Y +85

10/18 $500M *MuniFin 2Y FRN L+1

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

- Oct 19 Sep existing home sales (5.34, 5.27) 1000ET 

- Oct 19 Sep BLS state payrolls 1000ET 

- Oct 19 Q4 St. Louis Fed Real GDP Nowcast (4.54%, --) 1100ET 

- Oct 19 Q4 NY Fed GDP Nowcast (+2.2%, --) 1115ET 

- Oct 19 Atl Fed Pres Bostic on economic outlook, Macon, GA, Q&A. 1200ET

- Oct 19 Dal Fed Pres Kaplan, Shadow Open Mkt Comm, Princeton Club NY, Q&A,

1245ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* 15,000 Dec 71 puts at 0.75, on screen

* 14,000 Nov 71 puts at 0.25, on screen

* +5,000 Nov 70/71 put spds, 0.5

* -5,000 Short Dec 67 Straddle, 15.5 vs 9672/0.12%

* +10,000 Long Green Mar 53/57 5x4 put sprd, 16.5

* +10,000 Mar 71/72/73 call tree 1x1x2, 0.75

* +10,000 Mar 68/70/71 put flys, 4.0

* +8,000 short Jan 66 puts, 7.0

* +36,871 Dec 72 puts at 5, BLOCK

* -18,200 Short Dec 72 calls at 0.5 BLOCK 

* +25,000 (pit/screen) Green Dec 66/67 put strip at 19.5 vs 9669.5/100%

* 10,000 Short Nov 70 calls at 1 vs 9675.5/0.10%

* +20,000 Long Green Jun 5x4 put sprd at 17.5

* Total 35,000 Mar 68/70/71 put fly at 4

* +10,000 Short Dec 73 calls at 0.5

* 10,000 Dec 71/72 2x1 put sprd at 2.75 vs 9724.5/0.13%

* 12,000 Dec 72/73 call sprd at 3.5

* +10,000 Dec 72/73 strangles, 5.0

* +8,000 Green Dec 66 puts, 6.0 vs. 96.695/0.40%

* 6,000 Short Dec 63/65 put sprd at 0.5

* 6,000 Short Dec/Green Dec 70 call sprd at 0.5

* 12,000 Dec 72/73 call sprd at 3.5

* 14,000 Dec 71/72 2x1 put sprd at 2.75, note 10k traded earlier

* 4,000 Dec 70 puts at 2.5 vs 9723.5/0.05%

Tsy options, Pit/screen:

* +5,000 TYZ 121 calls at 2

* +3,500 FVZ 111/111.5 put sprd at 4

* -2,500 TYF 117.5 Straddle at 127 vs +1,000 USF 137 Straddle at 328

* +2,000 TYZ 116 puts at 4 vs 30.5/0.06%

Aside from early O/N block, early screen volume included

* 17,400 TYZ 116.5 puts, 8/64 last

* 10,000 TYZ 117.5 puts, 23/64

* 12,000 TYZ 116 puts, 5/64

* multiple smaller trades in TYZ puts, outright and on spd.

November highlight trade

* 5,500 TYX 117.5 puts, 8/64 last

Early O/N Block

* -30,000 TYX 117.5p, 8 vs.

* +30,000 TYZ 116.5/117.5p spds, 16

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

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