US TSYS: TSYS LOWER, NOT BUYING INTO EQUITY RALLY?

US TSY SUMMARY: Tsys only mildly weaker across the curve by Thu's close,

surprising heavy volume (TYZ>1.8M) for such a narrow range -- as equities surged

(SPX +56.0 late; homebuilders, Ford and GM up on week), breaking a 6-day losing

streak the session after trading lower for the year. 

- US$ index mildly higher (DXY +.255), vol index paring week's gains (VIX

-2.80).

- ECB LEAVES MAIN REFINANCING RATE UNCHANGED AT 0.00%

- Little react to day's economic data, focus on Fri's Q3 GDP, 3.3% est.

- So-so $31B 7Y auction is awarded 3.074% rate vs. 3.067% WI (previous $31B 7Y

awarded 3.034%).

- Session flow included deal- and pre-auction hedging, real$ selling 7s, forward

rollers in 5's, rev rollers in 7's. Two-way Tsy option hedging ahead Fri's

November serial expiry.

- Tsy cash/ylds: 2Y 100-00.5 (2.861%), 5Y 99-16.25 (2.980%), 10Y 97-25.5

(3.136%), 30Y 93-14.5 (3.349%).

MONTH-END EXTENSIONS: *** Preliminary Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2017; TIPS 0.06Y; Govt inflation-linked, 0.06Y

*.....................Projected...1Y Avg Incr..Last Oct

*US Tsys.................0.06........0.08........0.06

*Agencies................0.19........0.08........0.07

*Credit..................0.06........0.09........0.04

*Govt/Credit.............0.07........0.09........0.06

*MBS.....................0.08........0.07........0.07

*Aggregate...............0.07........0.08........0.06

*Long Govt/Credit........0.05........0.10........0.06

*Interm Credit...........0.06........0.08........0.04

*Interm Govt.............0.07........0.08........0.07

*Interm Govt/Cred........0.06........0.08........0.06

*High Yield..............0.05........0.09........0.07

US TSY FUTURES CLOSE: Trading slightly lower in the middle of a tight range;

strong volume (TYZ 1.86M); curves mixed; update:

* 2s10s +0.377, 27.272 (26.007L/28.243H);

* 2s30s -1.006, 48.589 (47.459L/50.500H);

* 5s30s -2.275, 36.619 (35.754L/39.495H);

Current futures levels:

* Dec Ultra bonds down 02/32 at 150-18 (150-05L/151-05H)

* Dec 30-yr Bond futures down 03/32 at 138-22 (138-13L/139-07H)

* Dec 10-yr futures down 04/32 at 118-16 (118-14L/118-27H)

* Dec 5-yr futures down 2.25/32 at 112-13.25 (112-12L/112-20.5H)

* Dec 2-yr futures down 0.5/32 at 105-11 (105-10.5L/105-13.25H)

US EURODOLLAR FUTURES CLOSE: White pack trade steady to slightly lower while the

rest of the strip trades slightly lower in the middle of the range; parallel

shift across reds through golds on strong volume. Current White pack

(Dec'18-Sep'19):

* Dec'18 0.000 at 97.250

* Mar'19 -0.015 at 97.095

* Jun'19 -0.020 at 96.950

* Sep'19 -0.010 at 96.865

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

* Green pack (Dec'20-Sep'21) -0.010

* Blue pack (Dec'21-Sep'21) -0.010

* Gold pack (Dec'22-Sep'22) -0.010-0.005

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): 2.18% vs. 2.17% prior, $828B

* Broad General Collateral Rate (BGCR): 2.16% vs. 2.15% prior, $420B

* Tri-Party General Collateral Rate (TGCR): 2.16% vs. 2.15% prior, $399B

PIPELINE: $2.25B Province of Alberta priced

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

10/25 $2.25B *Province of Alberta 5Y +25

-

$6.625B priced Wednesday

10/24 $3B *Japanese Bank of Int Cooperation (JBIC) $2B 5Y, $1B 10Y

10/24 $1.4B *SunTrust Bank $600M 3NC2 +70, $300M 3NC2 FRN +50, $500M 7Y +103

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 26 NY Fed ExecVP Potter, "Fncl Crisis MonPol" Conf, Exiting Unconv'l

MonPol, Paris, 0535ET

- Oct 26 Q3 GDP (adv) (4.2%, 3.3%) 0830ET

- Oct 26 Q3 GDP Price Index (3.0%, 1.9%) 0830ET

- Oct 26 Oct Michigan sentiment index (f) (99.0, 99.0) 1000ET

- Oct 26 Q4 NY Fed GDP Nowcast (2.4%, --) 1115ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

Block, 14:24:02ET,

* 10,000 Green Dec 67/70 call sprd at 8.5 vs 9680.5/0.35%

* -1,000 Green Mar 68 straddles, 35.0

* -1,500 short Mar 67/Green Mar 68 straddle strip, 65.0

* +3,000 short Sep 71 calls, 14.5

* -2,500 Blue Sep 76 calls, 5.5

* -5,000 Sep 72 puts, 3.5

* +10,000 short Dec 68/70 call spds 1.0 over Green Dec 70/71 call spds

* +4,000 Red Dec 65/67 2x1 put sprd at 1.5 vs 9686/0.05%

* +6,000 Short Sep 77 calls at 4.5 vs 9680.5/0.10%

* -3,000 Nov 72 puts at 3.5

* +6,000 Short Dec 70 calls at 3.5 vs 9680.5/0.17%

* 4,000 Dec 73 calls at 1.5 vs 9725/0.15%

* * +5,000 short Sep 75/76 call spds 1.0 over short Sep 76 calls

Block, 09:40:52ET,

* 28,000 Green Dec 65/70 Strangle at 6

* +35,000 Short Dec 68/70 call sprd vs Green Dec 70/71 call sprd, 1 net vs.

9681.5/0.10%

* +10,000 Short Dec 70/71 call sprd at 1.5

* -5,000 Dec 72 Straddle at 10

* +15,000 Mar 72/73 1x2 call sprd at 0

* +5,000 Red Sep 95/100 call spds, 0.5

* -5,000 Green Dec 67/68 strangles, 15.5

* +15,000 Green Dec 66/68 Strangle at 11

* -4,000 Short Dec 67/68 Strangle at 11.5 vs 9675.5/0.05%

* -5,000 Short Mar 62/63/65/66 put condor at 2.5 vs 9680.5/0.10%

Tsy options, Pit/screen:

* 11,000 TYZ 119 calls at 19

* 6,000 TYF 119/120.5 call sprd at 18 vs 16/0.22%

* 4,000 TYZ 117/118 put sprd at 14 vs 14.5/0.22%

* 2,600 TYZ 117/117.5/118 put flys, 4/64 vs. 118-12.5

* -3,500 FVZ 113.75 calls at 2.5

* 15,000 FVF 111.25 puts at 65 vs 112-10.5/0.12%

* -17,000 TYZ 117.5 puts at 11

* +2,000 TYZ 120/122 call sprd at 6 vs 17.5/0.10%Block, 07:59:00ET,

*  5,000 112.75/113.25 1x2 call sprd at 1

Block trade registered at 02:36:00 BST, 21:36:00 NY, TYZ8 117.50/116.50 put

spread 30.0K blocked at 0.07, 20.0K of the structure was blocked earlier over 2

10.0K clips

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

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