US TSYS: QUIET RISK-ON IN HOPES OF TRADE DEAL

US TSY SUMMARY: Rates traded weaker all session, tentative risk-on tone driven

by WH headlines suggesting US/China trade proceeded apace helped lift equities

to new all-time highs (ESZ93116.75) on an otherwise quiet end to a shortened

post-holiday week. Tsys opened moderately weaker, near middle relatively narrow

overnight range. Mkts continued to react to US/China trade headlines, WH re-runs

of phase-1 deal were in "short-stroke"..."should be soon", and Ross w/"in all

likelihood" spurred program sales in intermediates to long end, followed by fast

rebound as Ross conceded agricultural purchases remained a sticking point.

-  Tsys blipped higher after Oct Import Prices came out below-expected: -0.5%,

while Oct Retail Sales were slightly above expected: +0.3%. Participants had

little else to trade off of, FRB released fncl stability report where Fed Gov.

Brainard noted the "current combination of very low credit spreads and high

levels of indebtedness among risky nonfinancial corporates, including through

leveraged loans, merits heightened vigilance. 

- The 2-Yr yield is up 1.9bps at 1.6101%, 5-Yr is up 2.2bps at 1.6501%, 10-Yr is

up 1.4bps at 1.8325%, and 30-Yr is up 0.9bps at 2.309%.

US TSY FUTURES CLOSE: Weaker all session, Tsy futures drifting near middle

relatively narrow range -- very light volume: only 560k TYZ traded during NY

session pushing total 10Y volume to 870k at the moment. Yld curves mostly

flatter, 3M10Y rebounds slightly after flattening all wk. Update:

* 3M10Y  +1.488, 26.608 (L: 23.924 / H: 27.644)

* 2Y10Y  -0.666, 21.824 (L: 20.854 / H: 24.133)

* 2Y30Y  -0.803, 69.623 (L: 68.515 / H: 72.123)

* 5Y30Y  -1.098, 65.872 (L: 65.679 / H: 67.578)

Current futures levels:

* Dec 2-Yr futures down 1.125/32  at 107-19.75 (L: 107-18.8 / H: 107-21)

* Dec 5-Yr futures down 4.25/32  at 118-17.5 (L: 118-16.25 / H: 118-21.5)

* Dec 10-Yr futures down 7/32  at 129-4 (L: 129-00.5 / H: 129-10)

* Dec 30-Yr futures down 11/32  at 158-10 (L: 157-29 / H: 158-21)

* Dec Ultra futures down 17/32  at 184-28 (L: 184-05 / H: 185-17)

US TSY FUTURES: *** Dec/Mar roll update ahead Nov 29 first notice (March futures

take lead quarterly position). Dec futures don't expire until mid-late Dec (10s,

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

* TUZ/TUH appr 40,100 from -5.75 to -5.50, -5.75 last; 11% complete

* FVZ/FVH appr 30,700 from -9.75 to -9.25, -9.50 last; 8% complete

* TYZ/TYH appr 20,700 from -0.50 to 0.00, -0.25 last; 7% complete

* UXYZ/UXYH 4,300 from -1-12 to -1-11.25, -1-12 last; 1% complete

* USZ/USH appr 5,900 from 26.0 to 26.25, 26.25 last; 4% complete

* WNZ/WNH appr 4,900 from 24.25 to 24.75, 24.5 last; 4% complete

US EURODLR FUTURES CLOSE: Mildly weaker across the strip, near middle narrow

range on quiet end to week. For the week: lead EDZ9 futures held largely steady

around 98.085-.09, EDH0 through EDU0 gained 0.030-0.075; Reds (EDZ0-EDU1)

-0.095-0.125 higher, while

Greens through Golds (EDZ1-EDU4) gained 0.125-0.135. Current White pack (Dec

19-Sep 20): 

* Dec 19 +0.005 at 98.095

* Mar 20 -0.005 at 98.310

* Jun 20 -0.010 at 98.395

* Sep 20 -0.010 at 98.460

* Red Pack (Dec 20-Sep 21) -0.015 to -0.01

* Green Pack (Dec 21-Sep 22) -0.02

* Blue Pack (Dec 22-Sep 23) -0.025 to -0.02

* Gold Pack (Dec 23-Sep 24) -0.025

US DOLLAR LIBOR: Latest settles

* O/N +0.0097 at 1.5368% (-0.0019/wk)

* 1 Month -0.0293 to 1.7332% (-0.0287/wk)

* 3 Month -0.0015 to 1.9026% (+0.0020/wk)

* 6 Month -0.0031 to 1.9185% (-0.0046/wk)

* 1 Year -0.0101 to 1.9610% (-0.0388/wk) 

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

* Daily Effective Fed Funds Rate: 1.55%, volume: $68B

* Daily Overnight Bank Funding Rate: 1.55%, volume: $155B

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

* Secured Overnight Financing Rate (SOFR): 1.58%, $1.027T

* Broad General Collateral Rate (BGCR): 1.55%, $444B

* Tri-Party General Collateral Rate (TGCR): 1.55%, $421B

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

18-Nov 0830 Nov NY Fed Business Leaders Index (71, 71)

18-Nov 1000 Nov NAHB home builder index

18-Nov 1200 Clev Fed Pres Mester, fireside chat, Univ of Maryland, audience Q&A

18-Nov 1600 Sep net TICS flows (-$41.1B, --)

18-Nov 1600 Sep long term TICS flows ($70.5B, --)

PIPELINE: Wed's $30B Abbvie lions share of $47.875B on week ($73.375B/month)

Equifax 5Y upsized to $750M and launched

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

11/15 $750M #Equifax 5Y +120a

Next week and beyond

11/21 $7B Centene Corp 8Y, 10Y

11/?? S&P Global, investor call Nov 18

11/?? Western Union

11/?? Chatter: Sprint

11/?? Chatter: T-Mobile US

-

$5.25B Priced Thursday, $47.875B on week ($73.375B/month)

11/14 $1.5B *Corning $400M 30Y +160, $1.1B 60Y +315

11/14 $1.5B *ANZ $1B 3Y +48, $500M 3Y FRN L+49

11/14 $1B *Nationwide Financial Services, 30Y +162

11/14 $850M *Kansas City Southern $425M 10Y +107, $425M 50Y +192

11/14 $400M *Principal Life 5Y +65

Eurodollar/Tsy options: 

Eurodollar Options

* -10,000 Jan 83/85 call spds 1.0-0.5 over Seo 81/83 3x1 put spds

* +11,000 Jan 78/80 put strips, 0.5

* -5,000 Mar 82/83 2x1 put spds, 2.5

* +5,000 Dec 81/82 call spds, 1.75

* Update, total -5,000 Dec 81 calls, 2.25

* Update, total -20,000 Mar 80/81/82 put flys, 2.75 on screen

* +15,000 Dec 77/82 call over risk reversals, 0.75

* +11,000 Red Dec'20 92 calls, 4.5 vs. 98.445/0.12%

* 4,000 Apr 80/81/82 put flys, 2.0

* BLOCK -20,000 Red Dec'20 95/97/100 call flys, 0.5 vs. 98.39 at 0855:12ET

* BLOCK -10,000 Jun 90 calls, 2.5 vs. 98.415/0.10% at 0900:19ET

* Update, total +5,000 Red Dec'20 87 calls, 13.0 vs. -10,000 short Feb 87 calls,

6.0, 1.0 net db

Block, 0849:53ET,

* 10,000 Jun 90 calls, 2.0 vs. Red Mar'21 92 calls, 7.0

* -10,000 Mar 83/86 call spds .25 over Mar 80/82 put spds

* +10,000 short Dec 87 calls, 1.5

* 6,000 short Feb 87 calls, 6.0 vs. 3,000 Red Dec'20 87 calls, 13.0

* -5,000 Feb 82 straddles, 14.0

* +4,000 Dec 82/83 call spds, 0.5

Put fly strip buy a tone change from better upside call buying for mid-2020 rate

cuts:

* +10,000 Mar/Jun/Sep 81/82/83 put fly strip, 10.0

* 5,250 Red Dec 92 calls, 4.5

* -2,000 Mar 82/83/85 put trees, 4.5

* -2,000 Jan 82 straddles, 11.0

Tsy options:

* 3,200 TYF 131/131.5 call strip, 18/64

* 1,000 TYH 129.5/132.5 2x3 call spds, 1-21/64 vs. 128-08

* +2,000 TYZ 130 calls, 4/64

* over 3,000 FVF 119 straddles, 56/64

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

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