US TSYS: IT'S WAB SEASON (WITHDRAWAL AGREEMENT BILL)

US TSY SUMMARY: Tsys futures weaker after the bell, near second half lows on

very light volume (TYZ just over 800k). Aside from nascent risk-on w/equities

inching higher (ESZ9 +16.5), Gold weaker (-7.15). Little interest in adding risk

w/no data to trade off of, Fed speakers in blackout through Oct 31, UK speaker

Bercow stuck pin in any pent up interest to trade vol by denying another

withdrawal vote until later in week.

- Brexit headlines remain focus -- nascent optimism despite failure to pass deal

over weekend (Letwin amendment) and formal UK request of extension to EU. The

ride continues amid chatter deal will still be reached by end of week.  

- UK  will lay a program motion for Withdrawal Agreement Bill (WAB) this

evening, with debate and voting beginning tomorrow -- legislation will transpose

withdrawal agreement into UK law.

- Two way flow w/better sellers in 10s-30s around midmorning from prop and

real$, late swap-tied buying 2s.

- The 2-Yr yield is up 4.5bps at 1.6189%, 5-Yr is up 4.1bps at 1.6089%, 10-Yr is

up 4.4bps at 1.7975%, and 30-Yr is up 3.9bps at 2.2884%.

US TSY FUTURES CLOSE: Weaker, near midday lows on very light volume (TYZ just

over 800k). Quiet risk-on despite further delay in Brexit agreement -- pressure

off after EU telegraphed willingness to grant extension. Tsy yld curves mixed.

* 3M10Y  +4.222, 12.187 (L: 5.448 / H: 13.388)

* 2Y10Y  +0.093, 17.682 (L: 16.768 / H: 19.327)

* 2Y30Y  -0.347, 66.801 (L: 66.399 / H: 69.4)

* 5Y30Y  -0.366, 67.801 (L: 67.708 / H: 70.099)

Current futures levels:

* Dec 2-Yr futures down 2.5/32 at 107-22.5 (L: 107-22.375 / H: 107-26.125)

* Dec 5-Yr futures down 7.75/32 at 118-26.25 (L: 118-25.5 / H: 119-04.5)

* Dec 10-Yr futures down 14/32 at 129-19 (L: 129-17.5 / H: 130-04)

* Dec 30-Yr futures down 27/32 at 159-12 (L: 159-05 / H: 160-15)

* Dec Ultra futures down 47/32 at 185-31 (L: 185-18 / H: 187-27)

US EURODLR FUTURES CLOSE: Weaker, at/near session lows after the bell,

Blues-Golds underperforming. Current White pack (Dec 19-Sep 20): 

* Dec 19 -0.010 at 98.120

* Mar 20 -0.030 at 98.330

* Jun 20 -0.035 at 98.410

* Sep 20 -0.040 at 98.460

* Red Pack (Dec 20-Sep 21) -0.045 to -0.035

* Green Pack (Dec 21-Sep 22) -0.05 to -0.045

* Blue Pack (Dec 22-Sep 23) -0.055 to -0.05

* Gold Pack (Dec 23-Sep 24) -0.055 to -0.05

US DOLLAR LIBOR: Latest settles

* O/N -0.0040 at 1.8111% (+0.0163 last wk)

* 1 Month -0.0273 to 1.8230% (-0.0633 last wk)

* 3 Month -0.0192 to 1.9340% (-0.0477 last wk)

* 6 Month -0.0175 to 1.9343% (-0.0238 last wk)

* 1 Year -0.0266 to 1.9606% (+0.0317 last wk) 

STIR: Federal Reserve Bank of New York EFFR for prior session:

* Daily Effective Fed Funds Rate: 1.90%, volume: $76B

* Daily Overnight Bank Funding Rate: 1.88%, volume: $181B

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

* Secured Overnight Financing Rate (SOFR): 1.88% vs. 1.95% prior, $1.120T

* Broad General Collateral Rate (BGCR): 1.85% vs. 1.93% prior, $464B

* Tri-Party General Collateral Rate (TGCR): 1.85% vs. 1.93% prior, $442B

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

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

22-Oct 0830 Oct Philadelphia Fed Nonmfg Index

22-Oct 0855 19-Oct Redbook retail sales m/m

22-Oct 1000 Sep existing home sales (5.49M, 5.45M)

22-Oct 1000 Sep existing home sales (+1.3%, -0.7%)

22-Oct 1000 Oct Richmond Fed Mfg Index (-9, -7)

22-Oct 1300 US Tsy $40B 2Y Note auction (912828YP9)

PIPELINE: RBC launched

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

10/21 $1.5B #RBC (Royal Bank of Canada) 5Y +70

10/21 $Benchmark Delta Air Lines 5Y +155a, 10Y +215a

10/22 $1B CPPIB (Canada Pension Plan Investment Board) WNG 10Y +38a

Eurodollar/Tsy options: 

Eurodollar Options

* -5,000 Mar 88/90 and Mar 92/95 call spd strip, 1.25

Block, 1352:15ET,

* 10,000 Mar 82/85 2x1 put spds, 2.5 net

* +15,000 Sep 88/93 call spds, 7.5 pit/screen

* -3,500 short Jun 82/85 2x1 put spds, 0.5, adds to -30k blocked earlier

* 2,500 Green Dec 85/Blue Jun 83 straddle spd, 21.5

* +10,000 Sep 88/93 call spds, 7.5

* +2,500 short Nov 85 straddles, 20.0

* +1,500 short Dec/green Dec 85 straddle strip, 54.5

Block, 1237:37ET, adds to earlier Block

* another -15,000 short Jun 82/85 2x1 put spds, 0.5, -30k total

* +5,500 Red Mar'21 95/97/98 call trees on screen, 1.0

* +6,000 Jun 90/91/92 put trees, 0.75

* -4,000 Mar 81/82/83 put trees, 2.0

* 5,000 short Jun 82/85 2x1 put spds, 1.0

* -3,000 Jan 82/83 call spds

* +25,000 Mar 80/82 put spds, 7.5 vs. 98.335/0.25%, includes +10k Block at

0824:01ET

Tsy options: Reminder, Nov options expire Fri

Block, 1124:35ET,

* +19,949 TYZ 132 calls, 10/64 vs. 129-21 on 100% delta

* +3,750 TYX 128.75/129.5/130.5 3x2x3 put flys, 2-2/64 vs. 7,500 TYZ 129-27

* 2,000 TYZ 121.5 calls, 15/64

* -2,900 FVX 119.75 calls, 1/64

* +5,000 TYX 130/130.5 call spds, 7/64 vs. 129-19

* 2,500 FVX 118.5/119 2x1 put spds, 10.5/64

* +5,100 TYZ 133 calls, 5/64 vs. 129-25.5

* 2,000 TYZ 130.5/131.5 1x2 call spds, 2/64

* 1,000 USZ 161/163 1x2 call spds, 1/64

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

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