US TSYS: LATE RISK-OFF UNWIND POST BREXIT DRAFT POST

US TSY SUMMARY: Trades firmer after the bell but well off second half highs,

late risk-off unwind after Brexit draft agreement posted on EU site:

https://tinyurl.com/y7mow47r

- Earlier risk-off fueled by equities, sour AAPL price action got ball rolling

then Zero-Hedge reported Maxine Waters threatens the end of roll-back

regulations; bank shares getting knocked back. Little react to Oct CPI +0.3%

(unrounded +0.331%) as expected by analysts, vs +0.2% expected by markets.

- Large Block action, Steepener (adds to Tue curve Block): +39,233 FVZ at

112-11.75, bought through 10.25 offer; -7,235 WNZ at 149-24. Likely large front

end short unwind in progress w/+36k TUZ block buys from 105-10.25 to -13.

- Tsys climbed into midday, yld curves surge wider (2s10s and 5s30s appr

2.25-2.5 steeper) w/fast$, prop acct buying 2s and 5s, program and real$ buying

10s, slower on uptick w/banks buying long end. Decent corp issuance ($12.7b

DowDuPont jumbo 8-tranche issuance). Tsy cash/ylds: 2Y 100-00.75 (2.858%), 5Y

99-21 (2.948%), 10Y 100-02.5 (3.114%), 30Y 100-14 (3.351%).

US TSY FUTURES CLOSE: Trading slightly higher by the bell--well off highs on

late risk-off unwinds; strong

volume (TYZ 1.91M); curves steepening; update:

* 2s10s +0.876, 25.318 (23.800L/26.323H);

* 2s30s +2.560, 48.957 (45.323L/49.905H);

* 5s30s +2.913, 40.263 (36.141L/41.590H);

Current futures levels:

* Dec Ultra bonds up 07/32 at 150-13 (149-14L/151-01H)

* Dec 30-yr Bond futures up 07/32 at 138-26 (138-03L/139-10H)

* Dec 10-yr futures up 6.5/32 at 118-23 (118-12L/118-31.5H)

* Dec 5-yr futures up 4.75/32 at 112-16.75 (112-9.75L/112-22.25H)

* Dec 2-yr futures up 02/32 at 105-11.5 (105-09L/105-13.5H)

US EURODOLLAR FUTURES CLOSE: Trading mildly higher in the middle of the range;

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

* Dec'18 +0.005 at 97.260

* Jun'19 +0.005 at 97.120

* Jun'19 +0.020 at 96.990

* Sep'18 +0.035 at 96.910

* Red pack (Dec'19-Sep'20) +0.045-0.040

* Green pack (Dec'20-Sep'21) +0.040-0.030

* Blue pack (Dec'21-Sep'21) +0.030-0.025

* Gold pack (Dec'22-Sep'22) +0.025-0.015

US DOLLAR LIBOR: Latest settles, 

* O/N -0.0021 to 2.1757% (+0.0007/wk)

* 1 Month +0.0038 to 2.3103% (-0.0041/wk)

* 3 Month +0.0129 to 2.6290% (+0.0109/wk)

* 6 Month +0.0084 to 2.8634% (+0.0054/wk)

* 1 Year -0.0024 to 3.1296% (-0.0144/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.20% vs. 2.20% prior, $817B

* Broad General Collateral Rate (BGCR): 2.17% vs. 2.19% prior, $431B

* Tri-Party General Collateral Rate (TGCR): 2.17% vs. 2.19% prior, $405B

US SWAPS: Spds wider by the bell, belly outpacing wings. Decent flow includes

paying in 2s at 3.0922%, rate receivers in 5s ad 7s, 2s5s10s payer fly. Traders

said earlier Eurodollar Red and Green pack blocks from earlier also swap

related. Decent deal-tied flow in the mix. Latest spd levels:

* 2Y +0.12/18.88

* 5Y +0.81/14.38

* 10Y +0.94/6.94

* 30Y +0.12/-10.12

PIPELINE: LAUNCH $12.7b DowDuPont Debt Offering 8-Part

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

11/14  $12.7b DowDuPont Debt Offering 8-Part; $1.5B 2Y +90, $500M 2Y FRN 3mL

+71,

       $2.5b 5Y +125, $300m 5Y FRN 3mL +111, $1.85b 7Y +145, $2.25b 10Y +160, 

       $1.65b 20Y +195, $2.15b 30Y +205

11/14  $1B NWB WNG 3Y; IPT MS +7a

11/14  $400m Kilroy Realty 10Y Green Bond +168

11/14  $Benchmark ICBC New York Branch FRN 3Y 3mL +100a, 5Y 3mL +110a

11/14  $Benchmark CAF 5Y MS +80a

-

$5.85B Priced Tuesday

OUTLOOK: 

- Nov 15 10-Nov jobless claims (214k, 214k) 0830ET

- Nov 15 Oct imports / export price index (0.5%, 0.0%) 0830ET

- Nov 15 Oct retail sales (0.1%, 0.5%), ex. motor veh (-0.1%, 0.5%) 0830ET

- Nov 15 Oct retail sales ex. mtr veh, gas (0.0%, --) 0830ET

- Nov 15 Nov Empire Manufacturing Index (20.0) 0830ET

- Nov 15 Nov Philadelphia Fed Mfg Index (22.2, 20.0) 0830ET

- Nov 15 11-Nov Bloomberg comfort index 0945ET

- Nov 15 Sep business inventories (0.5%, 0.3%) 1000ET

- Nov 15 US Fed VC/Gov Quarles, Semiannual Testimony Fncl System, D.C. 1000ET

- Nov 15 09-Nov natural gas stocks w/w (65.0Bcf, --) 1030ET

- Nov 15 09-Nov crude oil stocks ex. SPR w/w (5.78m bbl, --) 1100ET

- Nov 15 Fed Chair Powell, post-Hurricane Harvey recovery efforts, TX 1100ET

- Nov 15 AT Fed Pres Bostic, GIC's CB Series Conf, Spain, Q&A 1300ET

- Nov 15 MN Fed Pres Kashkari moderated Q&A, AgriGrowth Cncl. MN, Q&A 1500ET

- Nov 15 14-Nov Fed weekly securities holdings 1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

block, 14:10:52ET

* 10,000 Green Dec 71 calls at 2.5 vs 9688/0.18%

* 6,500 Short Dec 66 puts at 1 vs 9685/0.10%

* 3,000 Red Sep 55 puts at 2 vs 9686/0.10%

* +5,000 Green Jan 70/71 call sprd at 3 vs 9689.5/0.12%

* 5,000 Short Dec/Green Dec 67 put sprd at 1

* -7,000 Jun 68 puts, 6.0

* +3,000 Mar 68 puts, 0.75

* -3,000 short Mar 66 puts 0.5 over Green Mar 65/67 3x2 put spds

* -2,000 Blue Feb 68 straddles, 27.0

* 6,500 Mar 72 calls at 3 vs 9710.5/0.27%

* Total -10,000 Jun 68 puts at 6

* 3,250 Long Green Mar 62 puts at 18.5 vs 9683.5/0.22%

* +4,000 Short Dec 70/71 call sprd at 1.5 vs 9685/0.10%

* 5,000 Green Dec 67 puts at 5.5 vs 9679.5/0.40%

* -5,000 Short Dec/Green Dec 67/68 Strangle Strip at 18.5

* +8,000 Short Dec 65/66 put sprd paid 1 vs 9678/0.10%

* -5,000 short Dec 67 straddles, 13.0

* -15,000 Short Dec 70 puts at 21 vs 9781/0.83%

* +4,000 Dec 72 calls at 3.25 vs 9725/0.50%

* +5,000 Mar 72 calls, 3.0

Tsy options, Pit/screen:

* +5,000 FVF 111.75/113.25 calls over risk reversals at 2 vs 14.5/0.43%

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

* 4,100 TYF 117.5/119.5 strangles, 28/64

* 1,000 TYZ 119/119.5 call spds, 6

* +9,000 TYZ 119 calls, 8/64 vs. 118-20 to -20.5

* +4,000 USZ 141 calls, 3/64

* 2,000 TYF 118.5 straddles, 1-9/64

* 2,000 FVF 111.25/112 2x1 put spds, 7/64

* -6,100 wk5 FV 112.25/112.75 call spds, 8.5 (still bid)

* +5,000 wk2 TY 118.25 puts, 1/64

* +7,500 USZ/USF 137 put spds, 54/64

* total -10,000 USF 130/133 put spds, 7/64

Block, 08:26:57ET

* 8,300 USZ 137/USF 136 put sprd at 30

* +2,500 TYZ 119/119.5 1x2 call spds, 1/64 prior to CPI release

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

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