US TSYS: ANGST OVER US/CHINA TRADE OUTWEIGHED STRONG ISM PMI

US TSY SUMMARY: Risk-on tone carried over from the week opener, rates weaker all

session as equities hit new all-time highs (ESZ9 3085.75) early in the session.

But the correlation broke down by midmorning -- Tsys remained weaker even as

equities reversed gains as focus on US/China trade (or fears of collapse)

outweighed better than expected ISM PMI data. 

- Yld curves bear steepened w/3M10Y making new nine month highs. Note, given

consistent selling since NFP, the chances of a forth rate cut by year end has

fallen from mid 30% last Fri to 9% currently.

- On flow, corporate issuance and pre-auction short sets contributed to pressure

in 2s-10s, real$ and bank portfolio selling in long end. Early 2s5s steepener

block: +6,383 TUZ 107-19.12 buy through 107-19 post time offer; -5,122 FVZ

118-19 post-time bid.

- Decent US Tsy $38B 3Y Note auction (912828YR5) awarded 1.630% (1.413%

previous) vs. 1.631% WI, bid/cover 2.60 vs. 2.43 previous.

- The 2-Yr yield is up 4.2bps at 1.6245%, 5-Yr is up 6.8bps at 1.6607%, 10-Yr is

up 7.6bps at 1.8531%, and 30-Yr is up 7.2bps at 2.3347%.

US TSY FUTURES CLOSE: Risk-on tone carried over from the week opener, rates

weaker all session as equities hit new all-time highs (ESZ9 3085.75) early in

the session. But the correlation broke down by midmorning -- Tsys remained

weaker even as equities reversed gains as focus on US/China trade (or fears of

collapse) outweighed better than expected ISM PMI data. Yld curves bear

steepened w/3M10Y making new nine month highs. Update:

* 3M10Y  +5.884, 28.909 (L: 21.608 / H: 31.178)

* 2Y10Y  +3.905, 22.983 (L: 19.259 / H: 23.386)

* 2Y30Y  +3.753, 71.284 (L: 67.724 / H: 72.106)

* 5Y30Y  +0.839, 67.502 (L: 66.456 / H: 69.31)

Current futures levels:

* Dec 2-Yr futures down 2/32  at 107-18.875 (L: 107-17.38 / H: 107-21.625)

* Dec 5-Yr futures down 9.5/32  at 118-15.75 (L: 118-13.25 / H: 118-27)

* Dec 10-Yr futures down 19/32  at 128-31.5 (L: 128-27.5 / H: 129-21)

* Dec 30-Yr futures down 1-16/32  at 157-31 (L: 157-25/ H: 159-20)

* Dec Ultra futures down 2-11/32  at 184-3 (L: 183-25/ H: 186-25)

US TSY FUTURES: *** While Dec Tsy futures don't expire until mid-late December

(10s, 30s and Ultras on 12/19, 2s & 5s 12/31) -- Dec/Mar rolling starting to

occur ahead first notice (where March futures take lead quarterly position) only

three weeks away (Nov 29). Update:

* TUZ/TUH appr 11,600 from -5.88 to -5.25, -5.38 last; 6% complete

* FVZ/FVH appr 28,000 from -10.0 to -9.0, -9.25 last; 4% complete

* TYZ/TYH appr 22,400 from -1.25 to -0.25, -0.25 last; 4% complete

* UXYZ/UXYH N/A

* USZ/USH appr 1,000 from 25.75 to 26.25, 26.0 last; 1% complete

* WNZ/WNH appr 2,400 from 24.0 to 24.75, 24.5 last; 1% complete

US EURODLR FUTURES CLOSE: 

US DOLLAR LIBOR: Latest settles

* O/N -0.0037 at 1.5471% (-0.0450/wk)

* 1 Month -0.0011 to 1.7699% (-0.0044/wk)

* 3 Month -0.0148 to 1.8935% (+0.0029/wk)

* 6 Month +0.0016 to 1.9263% (+0.0238/wk)

* 1 Year +0.0069 to 1.9669% (+0.0417/wk) 

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

* Daily Effective Fed Funds Rate: 1.57%, volume: $83B

* Daily Overnight Bank Funding Rate: 1.55%, volume: $205B

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

* Secured Overnight Financing Rate (SOFR): 1.56%, $1.146T

* Broad General Collateral Rate (BGCR): 1.54%, $473B

* Tri-Party General Collateral Rate (TGCR): 1.54%, $445B

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

06-Nov 0700 01-Nov MBA Mortgage Applications (0.6%, --)

06-Nov 0800 Chicago Fed Pres Evans, Council Foreign Relations event, NY, Q&A

06-Nov 0830 Q3 non-farm productivity (p) (2.3%, 0.9%)

06-Nov 0830 Q3 unit labor costs (p) (2.6%, 2.2%)

06-Nov 0900 NY Fed Exec VP Rosenberg on risk management, text

06-Nov 0930 NY Fed Williams, moderated Q&A, WSJ event

06-Nov 1000 Nov help-wanted online ratio

06-Nov 1030 01-Nov crude oil stocks ex. SPR w/w

06-Nov 1100 Oct Kansas City Fed LMCI

06 Nov 1300 US Tsy $27B 10Y Note auction (912828YS3)

06-Nov 1500 Oct Treasury STRIPS Holdings

06-Nov 1515 Phil Fed Pres Harker, "Rethinking Workforce Investments" at Drexel

Un

06-Nov 1830 NY Fed Pres Williams, welcoming remarks GARP Global Risk Forum

PIPELINE: BT launched, Duke priced; Swedish Export rolled to Wednesday

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

11/05 $2.25B #Province of Alberta 5Y +30

11/05 $1.5B #British Telecom $1B 10Y +150, $500M 30Y +192

11/05 $600M #Consolidated Edison 40Y +145

11/05 $400M *Duke Realty 10Y green bond +102

11/06 $Benchmark Swedish Export Credit 3Y +15a

11/?? Chatter: Sprint

11/?? Chatter: T-Mobile US 

Eurodollar/Tsy options: 

Eurodollar Options

* +10,000 Jan 81 puts, 1.0

* +12,500 Dec 82 calls, 1.25 vs. 98.09/0.10%

* +4,000 Jun 86/88/90/92 call condors, 2.5 vs. 98.41/0.07%

* Update, over +15,000 short Dec 82 puts, 2.5

* +15,000 Dec 82/83 1x2 call spds, cab

* +5,000 Green Jan 78/81 put spds, 1.5 w/ Green Jan 80/82 put spds, 4.0, 5.5

total

* 5,000 short Nov 81/82 put spds cab

* 5,000 Green Nov 82/83 put spds, 2.0

* 5,000 Jan 81/82 2x1 put spds on screen

* Update, +15,000 Mar 80/81/82 put flys, 3.0

* Update, -22,000 Mar 82/83 call spds, 5.0-4.5

* Update, over +60,000 Red Dec20 88/93 call spds, 7.0-7.5

* -10,000 Red Dec'20 85 straddles, 48.0

* +6,000 Mar 92 calls, 1.5

Latest trade, scale buyer put fly strip

* +10,000 Mar/Jun/Sep 81/82/83 put fly strip, 8.0 adds to +30k at 7.5 earlier

* +10,000 Apr 81/82/83 

* +5,000 Mar 80/81/82 put flys, 3.0

* +5,000 short Dec 82 puts, 2.5

* -5,000 Sep 90 calls, 5.5 earlier

* 5,000 short Dec 83/85 2x1 put spds, 1.0 vs. 98.41

* Update, +25,000 Jan 76/81 put spds, 1.0 pit/screen

* Update, +22,000 Mar 90 calls, 1.0

* +20,000 Red Dec'20 88/93 call spds, 7.0

* +22,000 Mar 90 calls, 1.0

* 5,000 Dec/Mar 97/100 call spd strip on screen after Sep 97/100 traded in pit

Ongoing rate cut insurance hedge

* +10,000 Sep 97/100 call spds, cab

* +30,000 Mar/Jun/Sep 81/82/83 put fly strip, 7.5

* 4,000 short Jan 83/85 3x2 put spds, screen

* -2,000 Dec 81 straddles, 10.5

* +5,000 Mar/Jun 81/82/83 put tree strip, 7.5

* +10,000 Jan 81/82/83 put flys, 2.5

* +13,000 Red Dec/Red Mar'21 85 straddle spds, 6.0 net, Mar over

* +7,250 Mar 82/83 2x1 put spds, cab

* +10,000 short Dec 80 puts, 0.5

Recap overnight trade, blocks

* Block, -40,000 short Dec 80/82/85 put trees, 9.0

* Block, +15,000 short Mar 92/93 call spds, 1.0

* 16,000 short Nov 80 puts, cab

* 16,000 Red Dec'20 88/93 call spds

* 4,300 Nov 81/82 1x2 call spds vs. Nov 78/80 put spds,

Tsy options:

* +3,000 FVF 118.75 straddles, 59.5/64

Block, 1334:52ET, sources say buy

* 10,167 TYZ 128.5 puts, 16/64 w/

* 10,167 TYZ 131 calls, 3/64, 19/64 for strangle

* +5,000 USF 163 calls, 19

* -4,500 TYZ 127.75 puts, 4/64 earlier

* Update, over +7,000 FVF 118/118.25/118.75 broken put trees, 3/64

Recap overnight trade, blocks

* Block, +30,000 FVF 118/118.5 put spds vs. FVF 120.25 calls, 2.5/64 net vs.

118-23/0.33%

* Block, +20,000 FVF 118.25/118.75 2x1 put spds, 1/64

* Block, -7,500 USZ 159 puts vs. USF 155/157 put spds, 26/64 net

* +10,900 FVF 118/118.75 put spds vs. FVF 120.25 calls, 8.5/64

* +10,000 FVZ 119.5 calls, 4/64

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

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