US TSYS: TSY REBOUND ON SOUR APPLE EQUITY DRAG

US TSY SUMMARY: Tsys trading mildly higher after the bell, off highs after long

end caught up with intermediates earlier. Yield curves steeper but off highs

(2s10s +11 since Nov 9 lows (44.0L, 55.30H); 5s30s +13 since Nov 9 lows (32.7L,

46.40H)).

- Quiet rebound after a weaker open, initially triggered after US$/Yen dropped

to new session lows (112.43). Also underpinning rates, equities extended an

early sell-off (SPX down to 2681.5L), partially due to weak tech shares, with

index paring losses on late profit taking.

- Limited data to react to (NAHB housing mkt index dropped 8 points to 60), many

liquidity providers plying sidelines ahead Thu's Thanksgiving holiday closure,

early close Fri. 

- Mild deal- and option tied hedging. FVZ Block buy-through (112-26, buy-through

-25.75 post-time offer) helped get rebound rolling in first half, +7.2k TUU

105-16.7 lifted offer. 2s10s steepeners/flattener unwinds, prop and real$ buying

5s and 10s in second half. Tsy cash/ylds: 2Y 100-05.5 (2.781%), 5Y 100-01.5

(2.863%), 10Y 100-18.5 (3.056%), 30Y 101-03.5 (3.315%).

US TSY FUTURES CLOSE: Trading slightly higher near the top of the range; strong

volume (TYZ 1.43M); curves steeper; update:

* 2s10s +1.149, 27.037 (25.135L/28.571H);

* 2s30s +2.044, 53.116 (50.292L/55.300H);

* 5s30s +1.535, 45.176 (42.863L/46.426H);

Current futures levels:

* Dec Ultra bonds up 08/32 at 151-16 (150-12L/151-22H)

* Dec 30-yr Bond futures up 06/32 at 139-24 (139-00L/139-30H)

* Dec 10-yr futures up 05/32 at 119-10 (119-0.5L/119-12H)

* Dec 5-yr futures up 04/32 at 112-30.25 (112-24.25L/113-00H)

* Dec 2-yr futures up 02/32 at 105-17 (105-14.25L/105-17.5H)

US TSY FUTURES: Roll volume update. December future's staggered expiration on

December 19 for 10s, 30s and Ultras, and December 31 for 2s and 5s. Latest

volume and % complete as of Thu's close:

* TUZ/TUH appr 110.8k, 0.5 last; 8.0% complete

* FVZ/FVH appr 94.7k, 1.75 last; 7.0% complete

* TYZ/TYH appr 14.8k, 5.50 last; 4.0% complete

* USZ/USH only 200, 20.0 last; 2.0% complete

* WNZ/WNH appr 19.2, 24.75 last; 4% complete

US EURODOLLAR FUTURES CLOSE: Trading mildly higher, near top of the range;

strong volume. Current White pack (Dec'18-Sep'19):

* Dec'18 +0.0050 at 97.2700

* Jun'19 +0.015 at 97.175

* Jun'19 +0.030 at 97.075

* Sep'18 +0.040 at 97.010

* Red pack (Dec'19-Sep'20) +0.040

* Green pack (Dec'20-Sep'21) +0.035-0.030

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

* Gold pack (Dec'22-Sep'22) +0.020-0.015

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0054 to 2.1807% (-0.0001 last wk)

* 1 Month -0.0006 to 2.3002% (-0.0136 last wk)

* 3 Month +0.0013 to 2.6458% (+0.0264 last wk)

* 6 Month +0.0031 to 2.8657% (+0.0046 last wk)

* 1 Year -0.0163 to 3.1073% (-0.0204 last wk)

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

* Secured Overnight Financing Rate (SOFR): 2.26% vs. 2.20% prior, $828B

* Broad General Collateral Rate (BGCR): 2.25% vs. 2.17% prior, $442B

* Tri-Party General Collateral Rate (TGCR): 2.25% vs. 2.17% prior, $422B

PIPELINE: LAUNCH $5.5b Takeda Debt Offering in 4-parts

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

11/19  $5.5b #Takeda Debt Offering in 4-parts; $1b 2Y +105, $1.25b 3Y +120,

       $1.5b 5Y +155, $1.75b 10Y +200

11/19  $1.25b *DBS 3Y Covered Bond MS +31

11/19  $1b ADB 2Y, IPT MS -5a

11/19  $1b *Kexim $500m 3Y +67.5, $500m 5Y +87.5

11/19  $400m *Wisconsin Public Service 3Y +55

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

- Nov 20 Oct housing starts (1.201m, 1.230m) 0830ET

- Nov 20 Oct building permits (1.270m, 1.260m) 0830ET

- Nov 20 Nov Philadelphia Fed Nonmfg Index (37.6, --) 0830ET

- Nov 20 17-Nov Redbook retail sales m/m (0.2%, --) 0855ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 10,000 Short Dec 68 puts at 4-4.5 vs 9695/0.34%

* 4,000 Short Sep 67 puts at 17.5 vs 9696/0.36%

* 6,000 Short Dec 67/68 1x2 call sprd at 3 vs 9696/0.50%

* 5,000 Green Jun 77 calls with Blue Sep 80 calls at 1

* 30,000 Short Dec 72/76 call sprd at 1.5

* 10,000 Short Sep 65/66 put sprd at 3.5 vs 9696/0.12%

* 10,000 Short Sep 73/75 call sprd at 2.5 vs 9696/0.12%

* 3,000 Red Mar 71 calls at 21 vs 9695/0.40%

block, 11:24:54ET

* 10,500 Mar 73 calls at 2.5 vs 9718.5/0.20%

* +10,000 Mar 72/73 1x2 call sprd at CAB

* 4,000 Dec 72/73 5x2 put sprd at 11.5

* 5,000 Short Jun 67/71 1x2 call sprd at 1

* 10,000 Jun 68/70 put spds, 4.5

* 5,000 Dec 73 calls, 1.0 vs. 97.26

* 20,000 Green Jun 77/Blue Sep 80 call calendar diagonal, 1.0 net

* 6,000 Mar 68/70/71 put flys, 3.0

* 5,000 short Dec 67/68/72/73 all condors, 8.5 vs. 96.945/0.20%

* 3,000 Jun 70/72 Strangle at 15 vs 9707.5/0.16%

* +2,500 Red Sep 80/90 call sprd at 7

* -5,000 Red Jun 75/77 call sprd at 4 vs 9692/0.06%

* 5,000 Mar 65/67/70 put fly at 1

* 12,500 Green Dec 67 puts at 1.5 vs 9695/0.18%

* -4,000 Dec 72 Straddle at 6.25

* 4,000 Red Jun 75/77 call sprd at 4 vs 9692/0.06%

* -3,000 Mar 68/71 put sprd at 5.5 vs 9715/0.25%

* 8,000 Green Dec 65 puts at 0.5 vs 9690.5/0.10%

Tsy options, Pit/screen:

* +4,500 TYF 119.5 calls at 26 vs tyz9 8.5/0.40%

* over 5,000 TYF 121 calls, 7/64 vs. 119-10.5 to -11

* 2,300 FVZ 113/FVF 112.5 put spds, 1.5/64

* 1,000 TYG 120 calls, 29/64 vs. 119-02.5

* +4,000 TYG 118 Straddle at 140

* 3,000 FVH 112.25 puts, 21.5/64 vs. 112-28.2/0.32%

* -2,000 USZ 139 straddles vs. USG 135/142 strangles, 18- to 15/64 credit

* 1,000 TYF 117/117.5/118 put trees, 2/64

* 2,500 TYZ 118.5/119 put spds, 6/64

* total 3,200 FVZ 112.75 calls, 11/64

Earlier screen flow

* 5,900 TYZ 118.75/119 2x1 put spds, 1/64

* 5,000 TYZ 118.75/119.25 call spds, 19/64

* 2,500 USF 136/137 put spds, 15/64

* 3,000 TYF 118/120 puts over risk reversal at 4 vs 118-25/0.45%

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

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