US TSYS: LOWER THAN EXP NOV EMPLOY DATA, '19 HIKE EXP MODERATE

US TSY SUMMARY: Choppy day for rates after weaker than expected Nov employment

number (+155k vs. +190k expected; whisper +215k). Initial program-driven rally

across curve short lived, sharp long end sold off just as quick.

- Payroll number not strong enough to "ensure the Fed goes 3 times next year,"

one desk said, w/"idea behind buying the ten year note was that excessive fed

rate hikes was gonna lead to a recession in 2020." Fri's number alleviated

concerns somewhat, spurring fast$, prop and foreign acct selling in

intermediates to long end. Short end bid as Dec hike still expected.

- Fed Brd Govs' member Brainard hit podium before midnight black-out through Dec

20, said "gradual path" still warranted over near term while labor mkt

indicators strong, unemployment low, and yr/yr wage growth topped 3% in recent

months, all of which she called "welcome developments."

- Late risk-off buying as equities extended session lows, sources report decent

sell-program last few minutes (>1150 stocks), SPX -55.0 at 2636.0.Sources note

prop and fast$ buying in 10s-30s. Tsy cash/ylds: 2Y 100-02.5 (2.709%), 5Y 100-26

(2.698%), 10Y 102-09.5 (2.856%), 30Y 104-11.5 (3.148%).

     US TSY FUTURES CLOSE: Trading mixed with the short end outperforming;

strong

volume (TYH 1.99M); curves steeper; update:

* 2s10s +0.201, 13.544 (11.169L/14.675H);

* 2s30s +2.579, 42.613 (37.462L/43.935H);

* 5s30s +3.447, 44.189 (38.823L/45.065H);

Current futures levels:

* Mar Ultra bonds down 05/32 at 157-01 (155-26L/157-10H)

* Mar 30-yr Bond futures up 05/32 at 143-11 (142-12L/143-09H)

* Mar 10-yr futures up 09/32 at 120-22 (120-06L/120-16H)

* Mar 5-yr futures up 8.5/32 at 113-22 (113-11L/113-16.25H)

* Mar 2-yr futures up 3.25/32 at 105-23 (105-18.5L/105-20.75H)

     US EURODOLLAR FUTURES CLOSE: Trading moderately higher with red and green

pack

leading the strip; strong volume led by Red Dec (EDZ9 910k). Current White pack

(DEC'18-SEP'19):

* DEC'18 +0.0175 at 97.1975

* MAR'19 +0.055 at 97.210

* JUN'19 +0.055 at 97.160

* SEP'19 +0.050 at 97.135

* Red pack (DEC'19-SEP'20) +0.090-0.065

* Green pack (DEC'20-SEP'21) +0.095-0.085

* Blue pack (DEC'21-SEP'22) +0.080-0.065

* Gold pack (DEC'22-SEP'23) +0.055-0.040

     US DOLLAR LIBOR: Latest settles, 

* O/N 2.1808% (-0.0033/Wk)

* 1 Month +0.0133 to 2.4002% (+0.0587/wk) 

* 3 Month +0.0039 to 2.7710% (+0.0349/wk)

* 6 Month -0.0033 to 2.8858% (-0.0068/wk)

* 1 Year -0.0186 to 3.1005% (-0.0195/wk)

     US SWAPS: Spds tighter across the curve by the bell, at/near session lows

after

short end recovered earlier in second half. Spd curve remains flatter vs.

steepening in Tsys w/short end resisting move / long end extends inversion.

Decent two-way volume in shorts to intermediates (better rate paying on net) in

2s over last couple hours from 2.8956%-2.8875%, switches in 5s from

2.85964-2.8467%, receivers in 4s at 2.8495% and 2s3s5s payer fly, rate paying in

long end by bank portfolio and real$ accts. Latest spd levels:

* 2Y -0.88/15.75

* 5Y -1.19/12.19

* 10Y -1.62/5.31

* 30Y -2.38/-14.12

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

* Secured Overnight Financing Rate (SOFR): 2.34% vs. 2.27% prior, $963B

* Broad General Collateral Rate (BGCR): 2.31% vs. 2.23% prior, $447B

* Tri-Party General Collateral Rate (TGCR): 2.31% vs. 2.23% prior, $411B

     PIPELINE: Weekly Recap: Slow week in corporate supply, $1.5B Priced

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

12/03  $1.25b *Caterpillar Financial $350m 2Y +53, $400m 2Y FRN 3mL +35,

$500m 5Y +83

12/04  $250m *Baidu Tap 2024 Notes +162.5

-

NO NEW ISSUANCE WEDNESDAY, THURSDAY, FRIDAY

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

- Dec 10 Nov ETI (110.72, --) 1000ET

- Dec 10 Oct JOLTS job openings level (700.9k, --) 1000ET

- Dec 10 Oct JOLTS quits rate (2.4%, --)

- Dec 10 Dec NY Fed expectations survey

- Fed in Blackout through December 20

     Eurodollar/Treasury Option Summary 

     Eurodollar options, Pit/screen:

* +3,000 Green Dec 72 calls, 1.5 vs. 97.17/0.10%

* +2,500 short Dec 70/71 put over risk reversals, 1.0 vs. 97.035/0.45%

* +7,000 Red Dec 68/73 put over risk reversals, 2.5

* +5,000 Sep 70/73 call spds, 14.0 vs. 97.10/0.34%

* -5,000 Mar 71 straddles, 14.0

* +8,000 short Mar 71 straddles, 27.0

* appr 8,000 short Jan 67/68/70 put flys bought on screen at 2.0

Block, 1225:07ET,

* 12,000 Mar 70/71 put spds 1.0 over Mar 73 calls vs. 97.20/0.40%

* +10,500 Short Jan 70/71 1x2 call sprd at 0

* +4,500 Mar 70/71 put sprd at 3.5 vs 9717/0.24%

* +10,000 Green Mar 66 puts at 1

* -5,000 Green Jun 82 calls, 2.0

* +5,000 short Jan 67 puts, 0.5

* +20,000 Short Dec 68/70 3x1 put sprd vs 71 calls for net 0.5, selling the

calls

* Total -12,500 Short Dec 70 puts at 2 vs 2.5/0.42%

* -5,000 Short Dec 67/70 put sprd at 2

* +5,000 Jun 66/68/71 put fly at 7

     Tsy options, Pit/Screen:

* 6,230 FVG 114 calls vs. 9,345 FVG 114.5 calls, 3/64 net on 2x3 vs. 113-15.5

* 3,000 TYG 118/119 2x1 put spds, 3/64

* update, over 7,300 TYG 124.5 calls, 3/64 bought on day

* -2,500 TYF 119.5/121 call over risk reversals, 1/64

* +1,000 TYH 120.5/121.5 1x2 call spds, 5/64

implieds getting hit post data

* +5,000 TYG 124.5 calls, 3/64 vs. 120-08.5

* 2,000 wk2 TY 120/120.5 1x2 call spds, 4/64

* -1,500 TYG 120/121 call spds, 27/64

* 1,000 TYF 120.5 calls, 17/64 vs. 120-09

Block, 08:21:00ET-08:22:36ET,

* 31,500 TYF 120.5 calls at 18 vs TYH9 09/0.40%

Block, 08:06:30ET,

* 4,000 USG 136/138 3x2 put sprd at 8

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

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