US TSYS: POST-ELECTION BID EVAPORATES LATE, EQUITIES STRONG

US TSY SUMMARY: Tsys trade weaker after the bell, long end still outperforming,

curves off flatter levels. Rates continued to trade weak after the bell,

apparently more of a risk-on/allocation type move as SPX remained strong

(+50.0).

- Long end pared gains after $19B 30Y auction (912810SE9) awarded 3.418% rate

(3.344% previous) tailed vs. 3.395% WI; 2.06 bid/cover (2.42 previous). Curves

pared flattening move briefly but resume move in minutes after auction. US$

index pared losses in second half; equities grind higher.

- Decent to heavy volume (TYZ>2.0M) largely occurred by the NY open, second half

trade rather muted as accts alternately ply sidelines, digest Midterm election

results of split Congress, Thu's FOMC policy annc (no rate change expected),

Fri's Final Demand PPI for October (0.2% est) lone highlight data point.

- Mixed flow on net from usual cast of characters: fast$, props in fronts to

intermediates, real$ and banks better buyers out the curve,

flatteners/steepener. Tsy cash/ylds: 2Y 99-27.25 (2.948%), 5Y 99-03.75 (3.066%),

10Y 97-06 (3.219%), 30Y 91-31 (3.432%).

US TSY FUTURES CLOSE: Tsy trade mixed into the bell, long end outperforms; heavy

volume (TYZ 2.03M); curves flatter; update:

* 2s10s -2.886, 26.666 (24.533L/29.635H);

* 2s30s -3.422, 47.706 (44.636L/51.233H);

* 5s30s -2.472, 36.148 (34.058L/39.008H);

Current futures levels:

* Dec Ultra bonds up 03/32 at 148-22 (147-23L/149-22H)

* Dec 30-yr Bond futures down 03/32 at 137-11 (136-24L/138-03H)

* Dec 10-yr futures down 01/32 at 117-31 (117-23L/118-8.5H)

* Dec 5-yr futures down 2.25/32 at 112-0.75 (111-29.5L/112-7.25H)

* Dec 2-yr futures down 01/32 at 105-06 (105-5.25L/105-8.25H)

US EURODOLLAR FUTURES CLOSE: Trading mixed with the long end outperforming;

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

* Dec'18 -0.005 at 97.235

* Jun'19 -0.005 at 97.080

* Jun'19 -0.015 at 96.915

* Sep'18 -0.015 at 96.810

* Red pack (Dec'19-Sep'20) -0.015-0.010

* Green pack (Dec'20-Sep'21) -0.010-0.005

* Blue pack (Dec'21-Sep'21) -0.005-EVEN

* Gold pack (Dec'22-Sep'22) +0.005-EVEN

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0006 to 2.1772% (+0.0026/wk)

* 1 Month -0.0015 to 2.3153% (-0.0025/wk)

* 3 Month +0.0099 to 2.6011% (+0.0088/wk)

* 6 Month +0.0020 to 2.8435% (+0.0147/wk)

* 1 Year +0.0088 to 3.1251% (+0.0203/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.22% vs. 2.24% prior, $802B

* Broad General Collateral Rate (BGCR): 2.22% vs. 2.23% prior, $437B

* Tri-Party General Collateral Rate (TGCR): 2.22% vs. 2.23% prior, $420B

PIPELINE: LAUNCHED: Shell and Santander

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

11/07 $3b #Shell International Finance Debt Offering in 3-parts; 

      $1b 5Y +53a, $500m 5Y FRN at L +40a, $1.5b 10Y +75a

11/07 $2b #Santander UK; $1b 6NC5 +173, $500m 3Y +83, $500m 3Y FRN 3mL +66

11/07 $Benchmark Volkswagen Grp of America 7-part (last issued in early 2017 was

very well subscribed) 

      2Y +95a, 2Y FRN L-equiv, 3Y +110a, 3Y FRN L-equiv, 5Y +130a, 7Y +150a, 10Y

+165a

11/07 $Benchmark ING Groep long 7Y (12Y Euro-denominated Gr bond)

11/07 $Benchmark Barclays 4NC3 fix/FRN +170, 4NC3 FRN Libor equiv

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

- Nov 08 03-Nov jobless claims (214k, 213k) 0830ET

- Nov 08 04-Nov Bloomberg comfort index (60.3, --) 0945ET

- Nov 08 02-Nov natural gas stocks w/w (3,143 Bcf, --) 1030ET

- Nov 08 FOMC Policy announcement (no conf or SEPs) 1400ET

- Nov 08 07-Nov Fed weekly securities holdings ($2.291T, --) 1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* +10,000 Green Mar 62/65 put sprd at 4 vs 9675.5/0.15%

* -4,500 Short Jan 66 puts at 5 vs 9672/0.32%

* 4,000 Short Dec 70 calls at 1.5 vs 9675/0.12%

* 3,000 Dec 71/72/73/75 put Condor at 8.5

* 3,000 Short Nov/Blue Nov 67 1x2 put sprd at 1.5

* 10,000 Blue Jan 70 calls at 4 vs 9678/0.22%

* 22,000 Short Nov 70 calls at CAB

* +14,000 short Nov/short Dec 66 put spds, 1.5

* +3,000 Blue Dec 67 straddles, 16.0-16.25

* +15,000 short Nov 68 calls, 1.0

Block, 08:47:30ET

* +10,000 Dec 70/71 put sprd at 0.5 vs 9724/0.10%, +10k more in pit

* +15,000 Blue Nov 67 puts with Blue Dec 66 puts at 0

* 4,000 Blue Mar 67 Straddle at 30.5

Latest screen trade, large scale buyer

* +67,000 Green Jun 77 calls, 3.0

* -10,000 Blue Nov 66 puts, 0.5

Block, 0727:47ET,

* -26,575 short Jan 66 puts, 4.5

Earlier Blocks

* +5,000 short Dec 67/68 1x2 call spds, 0.5

* -5,000 Nov 72 puts, 2.0 vs. 97.245/0.50%

Tsy options, Pit/screen:

* Ongoing seller TYZ 119 calls, -18k at 3/64, total volume 125k

* +15,000 TYG 118 calls, 47

* 2,500 TYZ 116.5/117.5 put spds, 6/64 vs.

* 1,500 TYF 116/117 put spds, 10/64

* 2,000 TYZ/TYH 118 straddle spds, 1-16/64

* +3,000 TYZ 117.5/118.5 strangles, 20/64

* 1,500 wk2 TY 117.2/117.7 put spds 2/64 over the wk2 TY 118.7 calls

* 42,000 TYG 118.5 calls at 33

* -10,000 TYZ 119 calls at 4, volume on day over -55k

* -5,000 TYF/TYH 118 straddle spds, 47/64

* small buyers TYZ 118 straddles, 44/64

* -5,000 TYZ 119.25 calls at 3

* 3,000 TYZ 117.75/118/118.25 put flys, 1/64 vs. 118-05/0.10%

* -2,000 wk2 TY 117/117.5 put strip, 3/64 vs. 118-00

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

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