US TSYS: FED DELIVERS "HAWKISH" CUT, RATES EXTEND RALLY ANYWAY

US TSY SUMMARY: Fed delivers "hawkish" cut. While "uncertainties remain, Fed

deletes "will act as appropriate to sustain the expansion." Says it "will

continue to monitor" incoming data as it "assesses the appropriate path of the

target range for the federal funds rate."- After post annc chop, Tsys rip higher

after Fed chair Powell comment re: not seeing inflation moving significantly to

upside. Yld curves bull flattened but have bounced slightly.

- Large 5s/ultra-bond block (+32,000 FVZ 118-24.75, buy through 118-23.5

post-time offer) vs. -4,400 WNZ 186-30, post-time bid) on heels of shop

recommending 5s30s flattener unwind.

- Earlier: Tsys gapped to new highs, pare back a little on heels of Chile APEC

cancelation headlines (conf where Trump/Xi expected to sign Phase I deal on Nov

16-17). Uncertainty remained even after WH messaged: US/CHINA TRADE DEAL TIME

FRAME DOESN'T CHANGE.

- The 2-Yr yield is down 4bps at 1.6016%, 5-Yr is down 5.4bps at 1.6077%, 10-Yr

is down 6.7bps at 1.7715%, and 30-Yr is down 8.3bps at 2.2514%.

MONTH-END EXTENSIONS: UPDATED Bloomberg-Barclays US month-end index

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

and the same time in 2018; TIPS -0.01Y; Govt inflation-linked, -0.04Y

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

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

*Agencies................0.10........0.08........0.19

*Credit..................0.10........0.09........0.06

*Govt/Credit.............0.08........0.08........0.06

*MBS.....................0.09........0.07........0.06

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

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

*Interm Credit...........0.09........0.08........0.06

*Interm Govt.............0.08........0.08........0.06

*Interm Govt/Cred........0.07........0.08........0.06

*High Yield..............0.09........0.08........0.07

US TSY FUTURES CLOSE: Broadly higher after the bell, very near late session

highs soon after Fed Powell comment re: not seeing inflation moving

significantly to upside. Yld curves bull flattened but have bounced slightly.

Update

* 3M10Y  -2.392, 19.079 (L: 17.353 / H: 22.546)

* 2Y10Y  -1.649, 17.447 (L: 14.793 / H: 19.211)

* 2Y30Y  -2.891, 65.826 (L: 61.236 / H: 68.933)

* 5Y30Y  -2.292, 64.829 (L: 60.833 / H: 67.049)

Current futures levels:

* Dec 2-Yr futures up 1.875/32 at 107-21 (L: 107-16.875 / H: 107-21.625)

* Dec 5-Yr futures up 6.5/32 at 118-24.25 (L: 118-14 / H: 118-25.5)

* Dec 10-Yr futures up 11.5/32 at 129-20 (L: 129-03.5 / H: 129-22.5)

* Dec 30-Yr futures up 1-2/32 at 159-24 (L: 158-12 / H: 160-00)

* Dec Ultra futures up 2-3/32 at 186-19 (L: 183-30 / H: 187-05)

US EURODLR FUTURES CLOSE: Higher across the strip after some post-FOMC chop,

Whites-Reds bouncing after trading lower briefly. Reds-Golds strong on back of

Fed chair comments re: not seeing inflation moving significantly to upside.

Nevertheless, Dec cut chances drifting around 25% vs. upper 30% prior. Current

White pack (Dec 19-Sep 20): 

* Dec 19 +0.015 at 98.105

* Mar 20 +0.025 at 98.325

* Jun 20 +0.030 at 98.405

* Sep 20 +0.040 at 98.465

* Red Pack (Dec 20-Sep 21) +0.050 to +0.055

* Green Pack (Dec 21-Sep 22) +0.055

* Blue Pack (Dec 22-Sep 23) +0.060

* Gold Pack (Dec 23-Sep 24) +0.060 to +0.065

US DOLLAR LIBOR: Latest settles

* O/N +0.0034 at 1.8044% (-0.0016/wk)

* 1 Month -0.0045 to 1.7814% (-0.0234/wk)

* 3 Month -0.0180 to 1.9091% (-0.0190/wk)

* 6 Month -0.0103 to 1.9195% (-0.0137/wk)

* 1 Year -0.0090 to 1.9798% (+0.0240/wk) 

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

* Daily Effective Fed Funds Rate: 1.82%, volume: $72B

* Daily Overnight Bank Funding Rate: 1.80%, volume: $174B

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

* Secured Overnight Financing Rate (SOFR): 1.81%, $1.048T

* Broad General Collateral Rate (BGCR): 1.78%, $455B

* Tri-Party General Collateral Rate (TGCR): 1.78%, $426B

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

31-Oct 0730 Sep challenger layoff plans (-24.8%, --)

31-Oct 0830 26-Oct jobless claims (212k, 215k)

31-Oct 0830 Sep personal income (0.4%, 0.3%)

31-Oct 0830 Sep personal spending (0.1%, 0.3%)

31-Oct 0830 Sep current dollar PCE (0.1%, 0.2%)

31-Oct 0830 Sep total PCE price index (0.0%, 0.0%)

31-Oct 0830 Sep core PCE price index (0.1%, 0.1%)

31-Oct 0830 Q3 ECI (0.6%, 0.7%)

31-Oct 0900 Oct ISM-Milwaukee Mfg Index

31-Oct 1030 25-Oct natural gas stocks w/w

31-Oct 1045 Oct MNI Chicago PMI (47.1, 48.0)

31-Oct 1500 Sep farm prices

31-Oct 1630 30-Oct Fed weekly securities holdings

PIPELINE: Rush ahead FOMC sees $24B priced Mon-Tue, well over wk's $20B est

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

10/29 Nothing in pipeline early Wednesday

10/?? Chatter: possible T-Mobile US 

-

Unexpected $15.95 total issuance Tue pushed wk total to $24B ($98.3B/month)

10/29 $4.75B *Comcast $1.6B 10Y +83, $1.35B 20Y +93, $1.8B 30Y +113

10/29 $4B *Danaher $700M 3Y +40, $700M 5Y +55, $800B 10Y +85, $900M 20Y +100,

$900M 30Y +115

10/29 $3.5B *Mamoura $1B 5Y +95, $1B 10Y +125, $1.5B 30Y +175

10/29 $1.5B *State Street $1B 6NC5 fix/FRN +70, $500M 10NC10 +120

10/29 $750M *Royal Bank of Scotland 10NC2 +210

10/29 $800M *DTE Energy 3Y +70, 10Y +120

10/29 $650M *PNC 5Y Green bond +55

Eurodollar/Tsy options: 

Eurodollar Options

Into the close

* -30,000 Dec 81 calls, 4.0 vs. 98.09/0.44%

* +8,000 Blue Dec 88 calls, 1.0

* Update, total 40,000 Nov 80 puts w/Dec 78/80 put spds, 1.5 total

call trade appears 2-way (upside buyers Dec'20) amid better put buying prior to

short end trading lower

* -10,000 Dec 81 calls, 4.25

* +20,000 short Dec 88 calls, 1.0

* 17,000 Nov 80 puts w/Dec 78/80 put spds, 1.5 total

* +11,500 Jun 88/90/93/95 call condors on screen, 1.0

Block, 1409:45ET

* 10,000 Jan 78/81 put spds, 1.25

* +20,000 Mar 87/90 1X2 call spds, 0.0 on screen recently

* +3,000 short Dec 85/87 2x3 call spds, 9.5

* +4,000 Sep 95/97 call spds, 1.5

* -5,000 Jun 78 puts, 1.5

* +8,000 short Jan 87/90 call spds, 3.5

* +5,000 Jan 88/90 call spds, 0.5

* +7,000 Mar 87/92/97 call flys, 1.75

* +6,000 short Dec 85/86/87 call trees, 1.0

* -10,000 Green Mar 82 puts, 9.0 vs. 98.45/0.30

* over 16,000 Mar 92 calls on screen

* +15,000 short Dec/Blue Dec 83 put spd, 1.25 db bear curve steepener -- ongoing

* +5,000 Mar 78 puts, 0.75

* -6,000 Jun 86/90 call spds, 5.75

* +10,000 short Dec 88 calls, 1.5 vs. 98.44/0.06%

* +7,500 Green Mar 87/88 call strip vs. -15,000 Mar 85 calls, 0.0 net

* +2,500 short Dec 83 straddles, 21.5

* +5,000 short Nov 86/87 call spds, 1.0 vs. 98.41/0.08%

* 5,000 short Jan 87/90 call spds, 3.0

* 5,000 short Mar 90/92 call spds, 2.5

Tsy options:

* +5,000 USZ 164/166/168 call flys, 4/64 some on screen

* +5,000 TYG 137 calls, 2/64

* -2,100 TYZ 129.5 straddles, 1-10/64 vs. 129-14

* 3,000 TYZ 128 put/TYF 132.5 call combo 1/64

* Update, over +10,000 FVZ 117.5/119.5 call over risk reversals, .5/64 vs.

118-19.5

* +3,400 FVZ 117.5/119.5 call over risk reversals, .5/64 vs. 118-19.5

* Update, total +10,000 TYZ 130 calls, 21/64 vs. 129-12/0.34%

* 6,500 TYZ 130 calls, 21/64 vs. 129-12/0.34%

* 1,750 TYZ 130/131 2x3 call spds, 20/64 vs. 129-10

* 2,000 TYF 126.5/129 2x1 put spds, 32/64 vs. 129-07.5/0.23%

* on screen, appr 12,000 wk1 FV 118.25 puts trade 5.5-6/64 (15k blocked pre-open

vs. 119 calls)

Block, 0755:53ET

* 15,000 wk1 FV 118.25 puts, 4/64

* 15,000 wk1 FV 119 calls, 5/64 vs. 7,050 FVZ 118-20

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

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