US TSYS: TSY FUTURES SOAR AS EQUITIES PLUNGE

US TSY SUMMARY: Tsy trading sharply higher in the middle of a wide range; Strong

volume (TYH 2.20M); Curves sharply flatter. Light data today and continues

tomorrow as most data is being pushed back until Thursday in light of Former

President George H.W. Bush's day of mourning. Beige book will still be released

as scheduled tomorrow.

-Equities fell sharply today, "*S&P 500 PLUNGES 3% AS SELL-OFF ACCELERATES-bbg"

(emini -79.75, 2711.00) with a low of 2702.00

-NATO says, "RUSSIA HAS DEVELOPED AND FIELDED A MISSILE SYSTEM THAT VIOLATES THE

INF TREATY AND POSES RISKS TO EUROPEAN SECURITY". "*POMPEO GIVES RUSSIA

60-DEADLINE ON INF TREATY-bbg"

-Headline out this morning, *SAUDI ARAMCO CUTS ALL JAN. CRUDE PRICING TO

ASIA-bbg". WTI pared nearly all gains; WTI currently down (WTI -0.01, 52.94). 

-DXY has pared losses -.070, 96.970 (96.379L/97.128H), $/Eur down -0.0012 at

1.1342, $/Yen down -0.87 112.79; Gold up (XAU +7.46, 1238.11)

-Tsy cash/ylds: 2Y 99-28.75 (2.807%), 5Y 100-12.25 (2.790%), 10Y 101-25.5

(2.914%), 30Y 104-0.5 (3.166%).

US TSY FUTURES CLOSE: Trading sharply higher in the middle of a wide range as

equities get hit today (emini: -74.75, 2716.00); strong volume (TYH 2.18M);

curves sharply flatter; update:

* 2s10s -3.839, 10.821 (9.236L/15.203H);

* 2s30s -7.224, 35.898 (33.626L/43.785H);

* 5s30s -6.107, 37.404 (35.612L/44.002H);

Current futures levels:

* Mar Ultra bonds up 2-30/32 at 156-08 (153-30L/157-13H)

* Mar 30-yr Bond futures up 1-24/32 at 142-09 (140-27L/143-00H)

* Mar 10-yr futures up 14.5/32 at 120-1.5 (119-22L/120-09H)

* Mar 5-yr futures up 06/32 at 113-5.25 (112-31.75L/113-9.5H)

* Mar 2-yr futures up 2.25/32 at 105-16.25 (105-14L/105-17.75H)

US EURODOLLAR FUTURES CLOSE: Trading mildly to moderately higher with the long

end outperforming; Strong volume. Current White pack (DEC'18-SEP'19):

* DEC'18 +0.0150 at 97.2000

* MAR'19 +0.020 at 97.150

* JUN'19 +0.025 at 97.075

* SEP'19 +0.035 at 97.030

* Red pack (DEC'19-SEP'20) +0.050-0.040

* Green pack (DEC'20-SEP'21) +0.060-0.050

* Blue pack (DEC'21-SEP'22) +0.065-0.060

* Gold pack (DEC'22-SEP'23) +0.075-0.065

     US DOLLAR LIBOR: Latest settles,

* O/N -0.0058 to 2.1761% (-0.0015/wk)

* 1 Month +0.0006 to 2.3795% (+0.0326/wk)

* 3 Month -0.0125 to 2.7388% (+0.0027/wk)

* 6 Month +0.0011 to 2.8963% (+0.0017/wk)

* 1 Year -0.0053 to 3.1329% (+0.0126/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.23% vs. 2.28% prior, $912B

* Broad General Collateral Rate (BGCR): 2.22% vs. 2.27% prior, $435B

* Tri-Party General Collateral Rate (TGCR): 2.22% vs. 2.27% prior, $416B

PIPELINE: *** PRICED: $250m *Baidu Tap 2024 Notes +162.5

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

12/04  $250m *Baidu Tap 2024 Notes +162.5

-

$1.50b Priced This Week

     OUTLOOK: 

Most data releases rescheduled due to day of mourning Wed, Thu heavy

- Dec 05 30-Nov MBA Mortgage Apps' (5.5%, --) 0700ET

- Dec 05 Q3 Service Revenue 1000ET

- Dec 05 Dec help-wanted online ratio 1000ET

- Dec 05 Fed Beige Book for upcoming FOMC meet, 1400ET

- Fed chair testimony on US eco-outlook has been cancelled altogether

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* 15,000 Red Dec 68/71 puts over risk reversal at 2 vs 9696/0.79%, note -10k

sold at 3 this morning

* +10,000 Jan 72/Jun 75 call strip at 2 

* -20,000 Red Mar 65/Red Jun 66 put strip at 20 

* 5,000 Blue Mar 66/68 2x1 put sprd at 2.5 vs 9709/0.10%

* 7,000 Blue Sep 80 calls at 4

* 40,000 Jun 75/80 call sprd at 1

* -20,000 Blue Dec 68/73 call over risk reversal at 0 vs 9712/0.60%

* 4,000 Green Dec 71/72/73 call tree at 1.5 vs 9704.5/0.16%

* 40,000 Jun 67/68 put sprd at 2

US EURODLR OPTIONS: Latest trades,                                           

* Total +30,000 Mar 67/68/70 put fly at 0.75, +10k blocked, +20k pit all day 

TSY OPTIONS:

* -12,000 TYG 121 calls, 13/64 vs. 119-22.5/0.10%

* -2,000 TYF 119 puts, 7/64

* 1,500 TYF 119/120.5 call over risk reversals, 2/64 vs. 119-25/0.42%

* 1,200 TYG 122/123.5 1x2 call spds, 2/64 vs. 119-30.5/0.10%

* 5,000 FVF 113/FVH 113.75 call strip at 1

* -8,000 TYG 118.5 calls at 134

* +4,500 TYF 119 puts at 5

* +6,000 TYF 118/118.75 3x1 put sprd at 0

* -13,579 FVF 112.75 calls at 33 vs FVH9 6.5/0.73% BLOCK

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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