US TSYS: QUIET END TO HEADLINE-RISK DRIVEN WEEK

US TSY SUMMARY: Quiet end to the week -- belying the heavy volume posted in Tsy

futures. Over 50% avg volumes due to ongoing heavy Dec/Mar roll activity ahead

next week Friday's first notice date (Mar futures take lead) as well as Dec

option expiration (substantive pin-risk in FVZ-USZ).

- Take roll volume out of the equation and trade was muted w/position squaring

headed into weekend and next week's Thanksgiving holiday close on Thursday,

early close Friday.

- Trade headlines wagged markets all week, risk-off undertones remained the

underlying theme despite some placating missives sparsely sprinkled about by the

Trump administration.

- The 2-Yr yield is up 2.3bps at 1.6277%, 5-Yr is up 0.9bps at 1.6274%, 10-Yr is

unchanged at 1.7723%, and 30-Yr is down 1bps at 2.2216%.

US TSY FUTURES CLOSE: Trade mixed after the bell, long end outperforming. Heavy

overall volumes largely tied to surge in Dec/March rolling, Dec option

expiration adding to hedging flow. Update:

* 3M10Y  -1.687, 18.113 (L: 16.82 / H: 21.105)

* 2Y10Y  -2.073, 14.287 (L: 13.324 / H: 17.219)

* 2Y30Y  -2.749, 59.53 (L: 58.068 / H: 62.99)

* 5Y30Y  -1.53, 59.563 (L: 58.511 / H: 61.561)

Current futures levels:

* Dec 2-Yr futures down 1.5/32  at 107-18.875 (L: 107-18.5 / H: 107-21.375)

* Dec 5-Yr futures down 2.25/32  at 118-21.25 (L: 118-20.25 / H: 118-26.75)

* Dec 10-Yr futures down 1/32  at 129-14.5 (L: 129-10.5 / H: 129-22.5)

* Dec 30-Yr futures up 5/32  at 159-28 (L: 159-13 / H: 160-10)

* Dec Ultra futures up 10/32  at 187-26 (L: 187-01 / H: 188-19)

US TSY FUTURES: *** Late update, heavy 10Y roll volume last few minutes.

Reminder, mkt closed for Thanksgiving holiday next Thursday, Nov 28, Friday Nov

29 first notice (March futures take lead quarterly position) a shortened

session. Dec futures don't expire until mid-late Dec (10s, 30s and Ultras on

12/19, 2s & 5s 12/31). Update:

* TUZ/TUH appr 836,800 from -7.00 to -6.62, -6.62 last; 43% complete

* FVZ/FVH appr 521,200 from -10.75 to -10.25, -10.25 last; 38% complete

* TYZ/TYH appr 866,000 from -2.5 to -1.5, -2.0 last; 35% complete

* UXYZ/UXYH 129,400 from -1-13.25 to -1-12.5, -1-13 last; 29% complete

* USZ/USH appr 190,300 from 25.0 to 26.0, 25.0 last; 34% complete

* WNZ/WNH appr 210,200 from 22.7 to 23.5, 22.7 last; 41% complete

MONTH-END EXTENSIONS: Prelim Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2018; TIPS 0.01Y; Govt inflation-linked, 0.01

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

*US Tsys.................0.12........0.08........0.11

*Agencies................0.08........0.09........0.10

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

*Govt/Credit.............0.11........0.09........0.08

*MBS.....................0.06........0.07........0.06

*Aggregate...............0.10........0.08........0.07

*Long Govt/Credit........0.10........0.09........0.15

*Interm Credit...........0.07........0.08........0.06

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

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

*High Yield..............0.07........0.08........0.05

US EURODLR FUTURES CLOSE: Steady to mixed after the bell, Whites-Reds

(EDZ9-EDU1) underperforming; EDZ9 under pressure w/ 3M LIBOR settle: +0.0077 to

1.9172% (+0.0144/wk). For the week: lead EDZ9 futures slipped 0.007 to 98.09,

EDH0 through EDU0 gained 0.005-0.045; Reds (EDZ0-EDU1) 0.060-0.080 higher, while

Greens through Golds (EDZ1-EDU4) gained 0.075-0.100. Current White pack (Dec

19-Sep 20): 

* Dec 19 -0.015 at 98.083

* Mar 20 -0.025 at 98.295

* Jun 20 -0.035 at 98.40

* Sep 20 -0.030 at 98.480

* Red Pack (Dec 20-Sep 21) -0.03 to -0.015

* Green Pack (Dec 21-Sep 22) -0.015 to -0.01

* Blue Pack (Dec 22-Sep 23) -0.01 to steady

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

US EURODLR FUTURES: Weekly Update: Trade headlines wagged markets all week.

- Despite the lead quarterly decline and underperformance of Eurodollar White

pack (EDZ9-EDU0) vs. the balance of the strip, risk-off undertones remained the

underlying theme despite some placating missives sparsely sprinkled about by the

Trump administration.

- Little react to surprise Fed Chair Powell meet w/ Tsy Sec Mnuchin and Pres

Trump on Monday" "POWELL STRESSED POLICY DEPENDENT ON INCOMING DATA". Risk-off

resumed as US Pres Trump said US would just raise tariffs "even higher" if China

"doesn't make a deal" while the human rights/democracy bill in support of Hong

Kong added to safe-haven support in rates. 

- Modest risk-off unwind triggered early Thursday after  South China Morning

Post (SCMP) headline: "U.S. MAY DELAY DEC. 15 TARIFFS IF PACT NOT REACHED BY

THEN".

- For the week: lead EDZ9 futures slipped 0.007 to 98.09, EDH0 through EDU0

gained 0.005-0.045; Reds (EDZ0-EDU1) 0.060-0.080 higher, while Greens through

Golds (EDZ1-EDU4) gained 0.075-0.100.

US DOLLAR LIBOR: Latest settles

* O/N -0.0075 at 1.5339% (-0.0029/wk)

* 1 Month -0.0052 to 1.7028% (-0.0304/wk)

* 3 Month +0.0077 to 1.9172% (+0.0144/wk)

* 6 Month +0.0138 to 1.9073% (-0.0113/wk)

* 1 Year +0.0063 to 1.9149% (-0.0462/wk)

US SWAPS: Spds still inverted across the curve but running net wider by the

bell, short end bouncing off tighter levels late, long end extending wider.

Light pre-auction selling ahead next weeks supply adding impetus to the move.

Latest spd lvls:

Time (ET)   2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

Fri 1500    +0.56/-1.69    +0.06/-7.12   +0.75/-10.31   +1.12/-37.25

1315        -0.19/-2.44    -0.19/-7.38   +0.31/-10.75   +0.75/-37.62

1145        -0.50/-2.75    -0.31/-7.50   +0.06/-11.00   +0.44/-37.94

0930        +0.00/-2.25    +0.31/-6.88   +0.44/-10.62   +0.50/-37.88

Fri Open    +0.38/-1.88    +0.12/-7.06   +0.12/-10.94   +0.50/-38.38

Thu 1500    -1.12/-1.88    -0.38/-7.00   -0.81/-11.06   -0.25/-38.50

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

* Daily Effective Fed Funds Rate: 1.55%, volume: $67B

* Daily Overnight Bank Funding Rate: 1.55%, volume: $175B

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

* Secured Overnight Financing Rate (SOFR): 1.58%, $993B

* Broad General Collateral Rate (BGCR): 1.55%, $421B

* Tri-Party General Collateral Rate (TGCR): 1.55%, $402

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

25-Nov 0900 Oct bldg permits revision

25-Nov 1030 Nov Dallas Fed manufacturing index (-5.1, -3.5)

25 Nov 1130 US TSY $45B 13W Bill (912796SD2) auction

25 Nov 1130 US TSY $39B 26W Bill (912796TW9) auction

25 Nov 1300 US TSY $40B 2Y Note (912828YT1) auction

25-Nov 1900 Fed Chair Powell and Boston Fed Pres Rosengren, East Hartford

CONNects, a Working Cities Challenge initiative, and community residents. Chair

Powell will travel to Providence, R.I., for an evening speech at the            

         Greater Providence Chamber of Commerce. Text will be made available. No

Q&A expected. No livestream.

PIPELINE: $28.1B Priced on week, just over $102B for month so far

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

11/22 Nothing in Friday's pipeline as yet

-

$10.65B Priced Thursday, $28.1B/wk

11/21 $1.5B *Deutsche Bank 6NC5 +235

11/21 $750M *National Bank of Kuwait Perp non-call 6Y 4.5%

11/21 $900M *Duke Energy Florida $200M 2Y L+25, $700M 10Y Green +73

11/21 $500M *Las Vegas Sands WNG +5Y +130

11/21 $7B *Centene Corp $1B 5Y 3.76%, $2.5B 8Y 4.375%, $3.5B 10Y 4.625%

Eurodollar/Tsy options: 

Eurodollar Options

* -4,000 Sep 86/88/91 1x3x2 call flys, 1.0 net/body over

* +7,000 Feb 85/86/87 call trees, 0.0

* +6,000 Sep/Green Sep 90 call spds, 4.0 Green Sep over

Limited early session trade, better call volume, implied vol lower ahead weekend

* +10,000 Mar 86/87/88 call trees, cab

* +3,000 Feb 90/91 call strip, 0.75 on screen

* +2,500 Mar 85/87 call spds, 2.25

* +8,000 Jan 80/short Jan 82 put spds, 0.75 db/midcurve over -- adds to +8k on

Wed at 1.0

Block, 0708:47ET,

* +29,000 Mar 83/85/86 call trees, 0.75

Tsy options:

* +2,000 TYF 129 puts, 24/64

* -3,000 TYF 130.5 calls, 20/64

*** Reminder, December quarterly options expires Friday. Prelim CME Group open

interest and ATM data as of Wed's close below. ATM slightly in decline, but

massive outstanding open interest across the curve remains. 

            Calls       Puts      Total   Nearest-the-Money Strike Totals

Dec 30Y....330,408....417,769....748,177...159.5 w/ 7,846 (4,620c, 3,226P)

...........................................160 w/ 22,518 (12,143c, 10,375P)

...........................................160.5 w/ 9,455 (5,281c, 4,174P)

Dec 10Y..1,357,277..1,353,615..2,710,892...129 w/ 101,009 (35,185c, 65,824p)

...........................................129.5 w/ 139,412 (53,470c, 39,289p)

...........................................130 w/ 147,750 (88,596c, 50,816p)    

Dec 5Y.....637,477..1,053,777..1,691,254...118.50 w/ 37,728 (14,430c, 23,298p)

...........................................118.75 w/ 49,214 (19,581c, 29,633p)

...........................................119.00 w/ 71,051 (42,460c, 28,591p)

Dec 2Y.....132,501....151,274....283,775...107.62 w/ 6,686 (4,653c, 2,033p)

...........................................107.75 w/ 11,749 (5,993c, 5,756p)

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

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