US TSYS: QUIET RISK-ON AS EQUITIES GRIND HIGHER

US TSY SUMMARY: Tsys lower by the bell, off first-half lows amid general risk-on

tone, equities trading higher (SPX>+30.0), initial impetus appears to be

narrowing of BTP/Bund spds on positive budget chatter from Italy. Italian banks

bid, European and US shares on the follow. VIX -2.20 at 19.32, US$ index +.154

at 97.070, West Texas crude higher but paring gains, +1.10 at 51.52.

- Slow start to busy week, no react to Nov Dallas Fed manufacturing index, bill

and note auctions and NY Fed VP Richard Dzina keynote remarks at the Clearing

House and Bank Policy Institute's 2018 Annual Conf, NY.

- Heavy Tsy futures flow largely driven by Dec/Mar roll activity: TYZ/TYH appr

620k, FVZ/FVH 865k. In-line $39B 2Y auction (CUSIP 9128285Q9) awarded a 2.836%

rate (2.880% previous October auction) vs. 2.837% WI, bid/cover 2.65 vs. 2.67

previous (2.84 avg). Flow includes mild month end extensions, mixed curve flow,

mild corp deal and Tsy auction-tied hedging vs. 13- and 26w bills, $39B 2Y

auctions.

- Tsy cash/ylds: 2Y 100-02.5 (2.834%), 5Y 99-28.5 (2.897%), 10Y 100-15.5

(3.066%), 30Y 101-01 (3.320%).

US TSY FUTURES CLOSE: Trades lower near the bottom of a tight range; strong

volume (TYZ 1.85M); curves mixed; update: 

* 2s10s +0.436, 22.978 (22.066L/23.743H);

* 2s30s -0.494, 48.302 (46.744L/49.205H);

* 5s30s -1.027, 42.166 (41.107L/43.178H);

Current futures levels:

* Dec Ultra bonds down 09/32 at 151-12 (151-07L/151-28H)

* Dec 30-yr Bond futures down 07/32 at 139-25 (139-20L/140-05H)

* Dec 10-yr futures down 04/32 at 119-05 (119-02L/119-11.5H)

* Dec 5-yr futures down 3.25/32 at 112-25 (112-23.5L/112-29.5H)

* Dec 2-yr futures down 01/32 at 105-14 (105-13.5L/105-15.5H)

US TSY FUTURES: Late roll volume update -- maintaining fast pace. December

future's staggered expiration on December 19 for 10s, 30s and Ultras, and

December 31 for 2s and 5s. Latest volume and % complete est:

* TUZ/TUH appr 597.3k, 0.25 last; 15.5% complete

* FVZ/FVH appr 865.1k, 1.25 last; 20.5% complete

* TYZ/TYH appr 720.8k, 4.75 last; 13.5% complete

* USZ/USH appr 301.7k, 19.50 last; 12.5% complete

* WNZ/WNH appr 297.5k, 25.50 last; 17.0% complete

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

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

and the same time in 2017; TIPS 0.01Y; Govt inflation-linked, 0.016Y

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

*US Tsys.................0.11........0.09........0.11

*Agencies................0.10........0.09........0.03

*Credit..................0.05........0.09........0.08

*Govt/Credit.............0.09........0.09........0.09

*MBS.....................0.07........0.08........0.07

*Aggregate...............0.08........0.08........0.09

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

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

*Interm Govt.............0.10........0.08........0.09

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

*High Yield..............0.04........0.09........0.08

US EURODOLLAR FUTURES CLOSE: Trading slightly to mildly lower in the middle of

the range; moderate volume. Current White pack (Dec'18-Sep'19):

* Dec'18 -0.0125 at 97.2175

* Jun'19 -0.015 at 97.140

* Jun'19 -0.015 at 97.050

* Sep'18 -0.020 at 96.980

* Red pack (Dec'19-Sep'20) -0.025-0.020

* Green pack (Dec'20-Sep'21) -0.025

* Blue pack (Dec'21-Sep'21) -0.020-0.015

* Gold pack (Dec'22-Sep'22) -0.015-0.010

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0060 to 2.1830% (+0.0017 last wk)

* 1 Month +0.0148 to 2.3367% (+0.0211 last wk)

* 3 Month +0.0156 to 2.7068% (+0.0467 last wk)

* 6 Month +0.0064 to 2.8927% (+0.0237 last wk)

* 1 Year +0.0075 to 3.1283% (-0.0028 last wk)

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

* Secured Overnight Financing Rate (SOFR): 2.23% vs. 2.18% prior, $820B

* Broad General Collateral Rate (BGCR): 2.22% vs. 2.17% prior, $414B

* Tri-Party General Collateral Rate (TGCR): 2.22% vs. 2.17% prior, $402B

PIPELINE: Priced: $600m #Virginia Electric & Power 30Y +132

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

11/26  $2.5B #National Australia Bank $750m 3Y +88, $600m 3Y FRN 3mL+71, $1.15b

5Y MS +45

11/26  $450m #Harley Davidson Financial Long 2Y FRN 3mL+94

11/26  $300m #Tuscan Electric Power 30Y +155

11/26  $600m *Virginia Electric & Power 30Y +132

11/26  $500m African Development Bank 3Y Green Bond

11/26  $500m NWB WNG 12/22 MS +12a

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

- Nov 27 FRB Gov VC Clarida, Clearing House Conf breakfast, NY 0745ET

- Nov 27 24-Nov Redbook retail sales m/m (0.2%, --) 0855ET

- Nov 27 Sep FHFA Home Price Index (0.3%, --) 0900ET

- Nov 27 Q3 FHFA Quarterly Home Prices 0900ET

- Nov 27 Sep Case-Shiller Home Price Index (0.1, --) 0900ET

- Nov 27 Nov Conference Board confidence (137.9, 135.8) 1000ET

- Nov 27 Nov Dallas Fed services index (14.1, --) 1030ET

- Nov 27 US Tsy 4W bill auction (912796UF4) 1130ET

- Nov 27 US Tsy 8W bill auction (912796UK3) 1130ET

- Nov 27 US Tsy $40B 5Y note auction (9128285P1) 1300ET

- Nov 27 Chi Fed Pres Evans w/Raphael Bostic, Esther George, "economy, regul'n,

fncl innovat'n & future of payments", Clearing Hse Conf, NY 1430ET

Eurodollar/Treasury Option Summary -- slow day for options 

Eurodollar options, Pit/screen:

* +11,000 Blue Dec 70/71 call spds, 2.5

* -11,000 short Mar 68 straddles, 29.0

* -7,500 Jun 71 straddles, 24.5

* +5,000 short Jan 71 calls, 5.0 vs. 96.95/0.30%

* appr -30,000 short Dec 68/72 1x2 call spds

* +10,000 Jun 66/67/68 put fly at 2

* 10,000 Green Mar 66/67/68 put tree at 1

* -2,000 Green Dec 68 straddles, 14.0

Tsy options: (Jan serial expiry takes lead after Dec expired Fri)

* 4,500 TYF 122 calls, 2/64 vs. 119-08.5

* 1,400 wk5 FV 112.7/113/113.25 call trees, 4/64 earlier

* +4,000 wk1 FV 110/112/112.25/112.5 broken put condors, 3

* Total >33,000 FVF 114 calls at 2, on screen

* 6,000 USF 137.5/141.5 strangles, 37/64 vs.

* 2,000 USF 139.5 straddles, 1-55/64

* 10,000 TYF 120.5 calls, 5/64 vs. 119-04.5/0.10%

Early seller Feb 30Y vol on screen

* over 10,600 Feb 30Y 138/141 strangles sold at 1-52 to 1-44/64 by the open

Elsewhere,

* over 18,100 TYF 120 calls from 13- to 10/64 on screen

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

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