US TSYS: RATES WAFFLE HIGHER, RANGE TRADE AHEAD THU'S MINUTES

US TSY SUMMARY: Tsys trading mildly higher after the bell, generally quiet ahead

midweek data pick-up and Thu's FOMC minutes from early Nov. Little

selling/positive react after Fed pres' Evans, Bostic, George at NY panel event

late.

- Heavy Tsy futures volume tied to massive rolling from Dec to Mar, latter takes

top step Friday. 4- and 8W bills stopped out earlier, awaiting results of $40B

5Y note auction (9128285P1) shortly. Modest block sales in TYH (-6.75k TYH

119-00.5) and USH (-3k 139-06). Later Block buy 10k FVH 112-28.2.

- Other flow largely two-way earlier with buyers in intermediates to long end

over last few minutes including real- and fast$, month end extension buying. 

- Modest corporate and pre-auction hedging. Early prop and program selling

around Fed Clarida comments: stressed the importance of raising interest rates

gradually as officials evaluate incoming data and refine their estimates of the

neutral rate of interest and natural rate of unemployment.

- Tsy cash/ylds: 2Y 99-27 (2.829%), 5Y 99-30.5 (2.885%), 10Y 100-18.5 (3.055%),

30Y 101-01.5 (3.319%).

US TSY FUTURES CLOSE: Trading steady to slightly higher in the middle of the

range; heavy volume (TYZ 2.85M); curves steeper; update:

* 2s10s +0.532, 22.443 (21.464L/23.479H);

* 2s30s +1.008, 48.699 (46.573L/49.078H);

* 5s30s +0.828, 43.291 (41.473L/43.373H);

Current futures levels:

* Dec Ultra bonds EVEN 00/32 at 151-12 (151-05L/151-27H)

* Dec 30-yr Bond futures up 04/32 at 139-29 (139-21L/140-05H)

* Dec 10-yr futures up 3.5/32 at 119-08 (119-3.5L/119-10.5H)

* Dec 5-yr futures up 2.25/32 at 112-27 (112-24.25L/112-29H)

* Dec 2-yr futures up 0.25/32 at 105-14.25 (105-13.5L/105-15.25H)

US TSY FUTURES: Late roll volume update, 2s, 5s and 10s well over 1M, March

taking top step Friday. December future's staggered expiration on December 19

for 10s, 30s and Ultras, and December 31 for 2s and 5s. Latest volume:

* TUZ/TUH appr 1.45M, 0.25 last; >55.0% complete

* FVZ/FVH appr 1.70M, 1.25 last; >55.0% complete

* TYZ/TYH appr 1.63M, 4.50 last; >45.0% complete

* USZ/USH appr 317.0k, 19.50 last; appr 54.0% complete

* WNZ/WNH appr 326.0k, 26.00 last; appr 54.4% 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 higher in the middle of

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

* Dec'18 +0.0050 at 97.2200

* Jun'19 +0.005 at 97.145

* Jun'19 +0.010 at 97.060

* Sep'18 +0.010 at 96.990

* Red pack (Dec'19-Sep'20) +0.025-0.010

* Green pack (Dec'20-Sep'21) +0.025-0.020

* Blue pack (Dec'21-Sep'21) +0.025

* Gold pack (Dec'22-Sep'22) +0.030-0.020

US DOLLAR LIBOR: Latest settles, 

* O/N -0.0045 to 2.1785% (+0.0015/wk)

* 1 Month +0.0126 to 2.3493% (+0.0274/wk)

* 3 Month -0.0008 to 2.7060% (+0.0148/wk)

* 6 Month -0.0083 to 2.8843% (-0.0019/wk)

* 1 Year +0.0024 to 3.1307% (+.0099/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.20% vs. 2.23% prior, $862B

* Broad General Collateral Rate (BGCR): 2.18% vs. 2.22% prior, $433B

* Tri-Party General Collateral Rate (TGCR): 2.18% vs. 2.22% prior, $410B

PIPELINE: PRICED: $600m *AFDB in 2-Parts

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

11/27  $3.5B Home Depot $700m 3Y +48, $300m 3Y FRN L +31, $1B 10Y +93, $1.5B 30Y

+128

11/27  $2B #IBM Credit $700m 2Y +65, $750m 2Y FRN 3mL +47, $500m 3Y +75

11/27  $1.1B #Consolidated Edison $500m 10Y +95, $600m 30Y +135

11/27  $1B EIB WNG 3Y FRN, SOFR +32a

11/27  $600m *African Development Bank $500m WNG 3Y +16.7, $100m Short 2Y FRN at

SOFR +32

11/27  $500m *NWB 4Y MS +12

11/27  $Benchmark WestRock Long 7Y +170, Long 10Y +185

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

- Nov 28 23-Nov MBA Mortgage Applications 0700ET

- Nov 28 Q3 GDP (2nd) (3.5%, 3.6%) 0830ET

- Nov 28 Q3 GDP Price Index (1.7%, 1.8%) 0830ET

- Nov 28 Oct advance goods trade gap 0830ET

- Nov 28 Oct advance wholesale inventories 0830ET

- Nov 28 Oct advance retail inventories 0830ET

- Nov 28 Oct new home sales (553k, 576k) 1000ET

- Nov 28 Oct bldg permits revision 1000ET 

- Nov 28 Nov Richmond Fed Mfg Index (15, --) 1000ET

- Nov 28 23-Nov crude oil stocks ex. SPR w/w (0.49m bbl, --) 1030ET

- Nov 28 Fed Chair Powell, Economic Club of NY, NY 1130ET

- Nov 28 US Tsy $18B 2Y FRN (9128285H9) 1130ET

- Nov 28 US Tsy $32B 7Y note auction (9128285N6) 1300ET

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* Total -140,000 Short Mar 63/66/67 1x1x1 broken put fly at 4, screen and pit

* +10,000 short Dec 68 puts, 3.0

* 5,000 Jun 68/70 4x3 put sprd at 10

* appr 40,000 Jun 66 puts bought 1.0

* +5,000 Mar 73/75 1x2 call spds 0.0

* -4,000 Mar 71 straddles, 13.5

* -5,000 Green Feb 67 puts, 4.5

* +6,000 short Dec 70/72 call spds, 2.5

* +5,000 Short Dec 71/72 call sprd at 1 vs 9695.5/0.10%

* -4,000 Short Dec 70/71 call sprd at 2 vs 9693.5/0.10%

* 5,000 Green Mar 66/67/68 put tree at 1.5

* 5,000 Short Feb 63/66 2x1 put sprd at 1.5 vs 9691/0.10

* 5,000 Short Dec 71/73 call sprd at 1

* 5,000 Jan 71 puts at 3.5

* -3,000 Dec 72 Straddle at 5.75

* +5,000 Apr 72 calls at 4

Tsy options, Pit/screen:

* buyer TYF 118/118.5 3x2 (3.75k x 2.5k) put spds, 1 net

* 1,500 wk2 US 141.5/142.5 call spds, 6/64

* TYF 119 calls trading 31/64

* 5,000 wk2 TY 118 puts, 5/64 vs. 119-01 to -01.5

* 2,500 wk1 TY 120.2 calls, 2/64

* 1,250 wk5 TY 119/119.5 1x2 call spds, 7/64

* 2,000 FVF 113/114 call spds, 10- to 10.5/64

* 1,400 FVG 112.5/113 strangles, 40.5/64

* 1,000 TYH 119 straddles, 1-48/64

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

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