US TSYS:NOTHING NEW ON TRADE REVEALED AT TRUMP ECO-CLUB SPEECH

US TSY SUMMARY: Risk-off gained momentum into the close w/Tsys making new highs,

equities lower but still off overnight lows. Focus turns to CPI tomorrow, start

of public impeachment hearings, televised 1000ET as well as Fed Powell testimony

to congress on Economy 1100ET start. Link: 

https://www.jec.senate.gov/public/index.cfm/hearings-calendar

- General risk-on trade in lead up to Pres Trump's speech to NY Economic Club

where market hoped for some new light shed on UC/China trade. No such luck, at

least nothing positive as Tsy futures blipped higher on trade comment US will

raise tariffs on China if no deal is made. 

- On Fed speak, Philly Fed pres Harker was against the last rate cut, advocates

holding rate steady going forward to see how economy performs.

- Fourth record largest corporate issuance: $30B AbbVie 10-tranche issued on

day, weighed on Tsys on launch.

- The 2-Yr yield is down 2.4bps at 1.6501%, 5-Yr is down 2.5bps at 1.7209%,

10-Yr is down 3bps at 1.9121%, and 30-Yr is down 3.9bps at 2.3853%.

US TSY FUTURES CLOSE: Near late session highs after the bell, short

cover/position squaring ahead Fed chair Powell economy testimony to congress

(1100ET) and start of Pres Trump public hearings on impeachment (1000ET).

Update:

* 3M10Y  -4.827, 33.73 (L: 32.267 / H: 39.292)

* 2Y10Y  -0.573, 25.561 (L: 23.872 / H: 27.33)

* 2Y30Y  -1.179, 73.22 (L: 72.068 / H: 75.244)

* 5Y30Y  -1.414, 66.287 (L: 65.49 / H: 67.924)

Current futures levels:

* Dec 2-Yr futures up 1.125/32 at 107-16.75 (L: 107-14.5 / H: 107-17.37)

* Dec 5-Yr futures up 2.5/32 at 118-5.75 (L: 117-31.25 / H: 118-07.5)

* Dec 10-Yr futures up 2.5/32 at 128-15 (L: 128-04.5 / H: 128-18)

* Dec 30-Yr futures up 11/32 at 156-27 (L: 156-00 / H: 157-01)

* Dec Ultra futures up 31/32 at 182-4 (L: 180-18 / H: 182-15)

US TSY FUTURES: Roll update: Dec/Mar rolling ahead first notice (March futures

take lead quarterly position) on Nov 29. Dec futures don't expire until mid-late

December (10s, 30s and Ultras on 12/19, 2s & 5s 12/31). Update:

* TUZ/TUH appr 21,000 from -4.88 to -4.38, -4.75 last; 9% complete

* FVZ/FVH appr 42,300 from -8.75 to -8.0, -8.5 last; 6% complete

* TYZ/TYH appr 10,500 from 1.0 to 1.5, 1.0 last; 6% complete

* UXYZ/UXYH <500 from -1-10 to 1-8.75, -1-9.75 last

* USZ/USH appr <100 from 26.25 to 26.75, 26.75 last; 2% complete

* WNZ/WNH appr 1,500 from 24.5 to 25.0. 24.5 last; 1% complete

US EURODLR FUTURES CLOSE: After a lower start, futures are modestly higher after

the bell, near top end of range w/Reds outperforming. Current White pack (Dec

19-Sep 20): 

* Dec 19 -0.005 at 98.085

* Mar 20 +0.015 at 98.285

* Jun 20 +0.020 at 98.345

* Sep 20 +0.025 at 98.395

* Red Pack (Dec 20-Sep 21) +0.030

* Green Pack (Dec 21-Sep 22) +0.020 to +0.035

* Blue Pack (Dec 22-Sep 23) +0.010 to +0.015

* Gold Pack (Dec 23-Sep 24) +0.005 to +0.010

US DOLLAR LIBOR: Latest settles

* O/N +0.0006 at 1.5393% (+0.0006/wk)

* 1 Month -0.0016 to 1.7616% (+0.0027/wk)

* 3 Month +0.0046 to 1.9092% (+0.0086/wk)

* 6 Month +0.0031 to 1.9261% (+0.0031/wk)

* 1 Year +0.0115 to 2.0056% (+0.0058/wk) 

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

* Daily Effective Fed Funds Rate: 1.55%, volume: $71B

* Daily Overnight Bank Funding Rate: 1.55%, volume: $168B

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

* Secured Overnight Financing Rate (SOFR): 1.56%, $1.016T

* Broad General Collateral Rate (BGCR): 1.53%, $441B

* Tri-Party General Collateral Rate (TGCR): 1.53%, $421B

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

13-Nov 0700 MBA mortgage applications (-0.1%, --)

13-Nov 0830 Oct CPI (0.0%, 0.3%)

13-Nov 0830 Oct CPI Ex Food and Energy (0.1%, 0.2%)

13-Nov 1000 Nov Atlanta Fed inflation

13-Nov 1100 Fed Chairman Powell, testimony Joint Economic Comm "Economic

Outlook"

13-Nov 1330 Minn Fed Pres Kashkari, town hall, UofW La Crosse Student Union

13-Nov 1400 Oct Treasury budget balance ($82.8B, -$129.1B)

PIPELINE: *** $30B AbbVie jumbo 10-part launched, 4th largest on record.

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

11/12 $30B AbbVie 10-tranche: $750M 1.5Y FRN 3ML +35, $1.75B 2Y +50, $750M 2Y

FRN L+46, $3B 3Y +65, $750M 3Y FRN L+65, $3.75B 5Y +90, $4B 7Y +115, $5.5B 10Y

+130, $4B 20Y +170, $5.75B 30Y +190. 

11/12 $2B #BNP Paribas 6NC5 +110

11/12 $1.25B #Westpac 5.25Y +63

11/?? $1B Kommunivest WNG +3Y 

11/?? Chatter: Egypt 4Y, +12Y, 40Y

11/?? Chatter: Sprint

11/?? Chatter: T-Mobile US

*** Historical context for AbbVie mega-issue if they actually issues $45B in

debt across 10 tranches. Would make it third largest high-grade issuer on

record:

* 8/11/13 $49B Verizon

* 1/13/16 $46B AB InBev

* 9/04/18 $40B CVS over 9 tranches

The three next largest issuers:

* 8/31/18 $22B Cigna

* 4/30/13 $17B Apple

* 6/20/18 $16B Walmart

* 6/18/18 $15B Bayer

Eurodollar/Tsy options: 

Eurodollar Options

* +30,000 Jun 87/88/90/93 call condors on screen, even net / wings bought over

* +30,000 Sep 93/96/97/100 call condors, 1.0

* 4,000 Green Dec 82 puts, 4.5 vs. 98.36/0.30%

* 4,000 short Dec 85 calls, 3.5 vs. 98.37/0.24%

Block, 1037:39ET, another 5-10k bought in pit earlier

* +25,000 Mar 80 puts, .75

* Update, total +50,000 short Mar 92/97 call spd vs. short Red Dec'20 92/97 call

spds, 4.25 -- ongoing, adds to some 50k spd/roll bought last week

* Update, total +8,000 Red Dec'20 97/100 call spds, cab

* +25,000 short Mar 92/97 call spd vs. short Red Dec'20 92/97 call spds, 4.25 --

ongoing, adds to some 50k spd/roll bought last week

* 4,000 Jun 81/83 3x1 vs. Mar 83 calls, 0.0 net

* Update, total +20,000 Red Dec'20 87/92 call spds, 7.0 (10k on screen)

* 11,000 Jun 82/83 put spds on screen

* 6,000 Red Dec'20 97/100 call spds, cab

* Update, total +15,000 Red Dec'20 87/92 call spds, 7.0 (5k on screen)

* 11,000 Jun 82/83 put spds on screen

* Update, total +15,000 Red Dec'20 87/92 call spds, 7.0 (5k on screen)

* +7,000 Red Dec'20 87/92 call spds, 7.0

* 2,750 Dec 78/80/81 put flys, 4.75

* Update, total 9,500 Jan 85/90 call spds, 1.0

* 2,000 Jan 85/90 call spds, 1.0

Recap overnight trade/Block

* -40,000 short Feb 85/86 1x2 call spds, 1.5 opener

* 10,000 Dec 81 calls, 2.25

Tsy options:

synthetic 10s30s curve play

* 2,500 TYF 129 calls, 30/64 vs. 128-08/0.34% vs.

* 1,000 USF 156 calls, 1-41/64 vs. 155-19/0.46%

* -6,800 TYZ 127/127.5/128/128.5 put condors, 10/64

* 3,000 TYG 126/130 put over risk reversals, 2/64 vs. 127-31.5/.44%

* 1,500 TYH 126.5/130.5 call over risk reversals, 0.0

Recap overnight Blocks

* Block 10,000 FVF 118/118.5 3x4 put spd (Last week Block: +30,000 FVF 118/118.5

put spds vs. FVF 120.25 calls, 2.5/64 net vs. 118-23/0.33%)

* Block 5,000 USF 152/154 put spds 3/64 over USF 159 calls

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

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