US TSYS: HAWKS CRY POST FED CHAIR?, FOMC MINUTES ON THURSDAY

US TSY SUMMARY: Tsys trading mixed after the bell, curves bear steepening after

Fed chair comments from NY Economic Club conf deemed more dovish than expected.

Likely forced curve flattener unwinds in rates and swap (30Y spd back to March

inverted lows). Equities surged on the dovish tone, but gold gained, DXY

weakened.

- Fed chair Powell gave no hint that the Fed was reevaluating its outlook for

policy or considering an imminent pause in planned rate increases. He also did

not respond to overnight criticism from President Donald Trump blaming stock

market declines and factory closures on rate hikes.

- Rates initially rallied across the board following headline, but long end

retraced/extended session lows as Q&A digested. Rate hike % for Dec FOMC remains

in upper 70%, however, March '19 hike chances around 25%.

- Heavy Tsy futures volume as rolling continued ahead March taking top step

(lead quarterly) Friday. Decent swap-tied receiving in 2s-10s. Strong 7Y auction

awarded 2.974% rate vs. 2.980% WI. 

- Tsy cash/ylds: 2Y 99-28 (2.809%), 5Y 100-01.5 (2.863%), 10Y 100-19 (3.053%),

30Y 100-20.5 (3.339%).

US TSY FUTURES CLOSE: Trading mixed/curves steeper with the short end

outperforming; heavy volume (TYZ 2.73M); curves sharply steeper; update:

* 2s10s +1.758, 23.978 (21.671L/25.437H);

* 2s30s +4.351, 52.727 (47.309L/54.122H);

* 5s30s +4.688, 47.375 (42.180L/47.956H);

Current futures levels:

* Dec Ultra bonds down 12/32 at 151-01 (150-20L/151-24H)

* Dec 30-yr Bond futures down 01/32 at 139-28 (139-16L/140-02H)

* Dec 10-yr futures up 04/32 at 119-12 (119-2.5L/119-13H)

* Dec 5-yr futures up 3.25/32 at 112-30.5 (112-24L/112-31.5H)

* Dec 2-yr futures up 1.75/32 at 105-15.75 (105-13.25L/105-16.5H)

US TSY FUTURES: Late roll volume update. March takes lead Friday. December

future's staggered expiration on December 19 for 10s, 30s and Ultras, and

December 31 for 2s and 5s. Latest volume:

* TUZ/TUH appr 756.6k, 0.25 last; >84.0% complete

* FVZ/FVH appr 1.75M, 0.75 last; >82.0% complete

* TYZ/TYH appr 1.50M, 4.00 last; >84.0% complete

* USZ/USH appr 229k, 20.5 last; >77.0% complete

* WNZ/WNH appr 262.9k, 25.75 last; >81.0% complete

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 0.01Y; Govt inflation-linked, 0.016Y

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

*US Tsys.................0.11........0.09........0.11

*Agencies................0.10........0.09........0.03

*Credit..................0.05........0.09........0.08

*Govt/Credit.............0.09........0.09........0.09

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

*Aggregate...............0.08........0.08........0.09

*Long Govt/Credit........0.15........0.10........0.15

*Interm Credit...........0.05........0.09........0.09

*Interm Govt.............0.10........0.08........0.09

*Interm Govt/Cred........0.08........0.08........0.09

*High Yield..............0.04........0.09........0.08

US EURODOLLAR FUTURES CLOSE: Trading moderately higher near the top of the

range; strong volume. Current White pack (Dec'18-Sep'19):

* Dec'18 +0.0050 at 97.2250

* Jun'19 +0.015 at 97.160

* Jun'19 +0.030 at 97.085

* Sep'18 +0.040 at 96.030

* Red pack (Dec'19-Sep'20) +0.050-0.045

* Green pack (Dec'20-Sep'21) +0.040-0.035

* Blue pack (Dec'21-Sep'21) +0.030

* Gold pack (Dec'22-Sep'22) +0.030-0.025

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0040 to 2.1825% (+0.0055/wk)

* 1 Month -0.0047 to 2.3447% (+0.0227/wk)

* 3 Month +0.0006 to 2.7066% (+0.0154/wk)

* 6 Month +0.0023 to 2.8866% (+0.0004/wk)

* 1 Year +0.0034 to 3.1341% (+.0133/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.19% vs. 2.20% prior, $843B

* Broad General Collateral Rate (BGCR): 2.17% vs. 2.18% prior, $434B

* Tri-Party General Collateral Rate (TGCR): 2.17% vs. 2.18% prior, $411B

US SWAPS: Spds tighter by the bell, long end extending inversion/near March lows

as in face of bear steepening move in rates post Fed chair comments. Decent

round of receiving in 2s, 3s, 5s and 10s earlier, mixed fly flow includes 2s3s5s

receiver and 2s5s7s payer, moderate deal-tied hedging in the mix. Note, spds

have been trending tighter over last week or so, short end off mid-Sep narrows,

30Y back to March inverted levels, intermediates weathering move a little better

but getting dragged tighter by wings heading into year end. Latest spd levels:

* 2Y -0.50/17.25

* 5Y -0.25/13.81

* 10Y -1.38/4.00

* 30Y -2.50/-15.62

PIPELINE: PRICED: $1B *State Street Debt Offering 2-Parts

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

11/28  $1B *State Street $500m 6NC5 Fixed-to-FRN +92, $500m 11NC10 +110

11/28  $1B *EIB 3Y FRN SOFR +32

11/28  $350m *Tyco Electronics Group 1.5Y FRN 3mL +45

11/28  $1B #Archer-Daniels-Midland $400m Long 3Y +58, $600m Long 30Y +123

11/28  $400m #ERP Operating 10Y Green Bond +112

11/28  $Benchmark JPMorgan 6NC5 Fixed-to-FRN +125a, 6NC5 FRN L-equiv, 11NC10

+150a

11/28  $500m Power Finance Corp 10Y Bond +310

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

- Nov 29 24-Nov jobless claims (224k, 220k) 0830ET 

- Nov 29 Oct personal income (0.2%, 0.4%) 0830ET

- Nov 29 Oct current dollar PCE (0.4%, 0.5%) 0830ET

- Nov 29 Oct total PCE price index (0.1%, --) 0830ET

- Nov 29 Oct core PCE price index (0.2%, 0.1%) 0830ET

- Nov 29 25-Nov Bloomberg comfort index 0945ET

- Nov 29 Oct NAR pending home sales index (104.6, --) 1000ET

- Nov 29 23-Nov natural gas stocks w/w 1030ET

- Nov 29 November 7-8 FOMC Minutes release 1400ET

- Nov 29 Chi Fed Pres Evans, "Collaboration for Inclusive Economic Development",

FRB Boston, audience Q&A (time permitting). 1400ET

- Nov 29 Oct farm prices 1500ET

- Nov 29 28-Nov Fed weekly securities holdings 1630ET

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* 30,000 Sep 71/75 call sprd 8 vs 9702.5/0.25%

* 10,000 Sep 71/73 call sprd at 6 vs 9700/0.10%

* 3,000 Short Dec 67/68 call sprd at 11

Latest block, 13:28:30ET,

* -10,000 Green Mar 66/67/68 put tree at 1.5, note -25k sold earlier

* +20,000 short Dec 68/70 2x1 put spds 2.5 over the short Dec 71 calls

* +15,000 short Mar 63 puts, 0.5

* 5,000 short Jun/short Sep 75 call strips, 18.0

UPDATE: Total -10,000 Green Mar 66/67/68 put tree at 1.5

* -45,000 Short Mar 63/66/67 put fly at 3.5, note yesterday sold -200k at 4

Background on Tuesday's huge 200,000 short Mar 63/66/67

1x1x1 put fly sales at 4.0 today -- likely partial closer.

* Blocked back in mid-September: appr 100,000 short Mar 63/66/68 2x3x1 put flys

bought at 1.5-2.0. Aggregate position if for same acct:

* should have closed the 63 puts, open interest only declined 7,837 on 200,010

total volume Tue

* -100k 66 puts (open interest -1,259 on 202,500 Tuesday

* -200k 67 puts (open interest +90,053 on 196,200 Tuesday)

* +100k 68 puts

* 10,000 Blue Jan 63/66 put sprd vs Blue Mar 63/66 put sprd for 2 vs

9693.5/0.10%

* 17,000 Short Dec 67 puts at 0.5 vs 9694/0.08%

Tsy options, Pit/screen:

* +13,500 USG 126 puts, 2/64 and still offered

* 2,000 FVF 113/113.5 call spds, .5/64

* 3,000 FVG 114 calls, 5/64

* 5,000 Green Dec 67/68/70 call tree at 6

* 3,500 TYF 120.5 calls at 5 vs 1.5/0.10%

* 5,000 Short Sep 77/80 call sprd at 2.5 vs 9697/0.10%

In addition to large wing trades on screen, latest pit trade includes

* 2,500 TYH 120.5 calls, 22/64

* 2,000 FVG 112.5/113 strangles, 39/64

* +80,000 FVH 106.5 at 1, on screen

* 30,156 TYH 126 puts at 2, on screen

* 10,186 TYH 112.5 puts at 2, on screen

* +18,000 TYF 120 calls at 8

* 3,864 2wk TY 117.75/118.5/119.25 2x3x1 put fly at 7

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

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