US TSYS: TSYS OFF LOWS, EU/UK BREXIT DRAFT MEETING WEDNESDAY

US TSY SUMMARY: Nascent risk-on tone evaporated late, rates inched higher as eqs

reversed course. Dead-cat bounce earlier (after Mon's sharp sell-off in

equities) added impetus from positive China trade noise from Trump advisor

Kudlow, EU/UK to discus Brexit draft agreement Wed (1400ET), large-ish buy

program >1280 stocks.

- Tsy yld curves mostly steeper as long end underperformed. Notable Large

5s/Ultra-bond steepener block in early trade: +39,682 FVZ 112-11.5, buy through

-10 post time offer, -7,235 150-04, post time bid.

- Slow data day, little substance from multiple Fed speakers w/Mn Fed Pres

Kashkari, Fed Gov Brainard, Philly Fed Pres Harker and Philly Fed Pres Harker.

Quiet US Tsy bill auctions: $164B total 4-, 8-, 13- and 26W.

- Rates inched off lows midday, gained traction as equities reversed, deal-tied

flow, prop and fast$ two-way in intermediates. Swap flow: receivers in 2s at

3.091%, payer in 4s at 3.13625%, two-way in 5s from 3.1394% to 3.13737%, 2s3s5s

receiver fly and 3s5s10s payer fly on modest volume. Tsy cash/ylds: 2Y 99-30.75

(2.891%), 5Y 99-15.25 (2.987%), 10Y 99-25.5 (3.147%), 30Y 100-02.5 (3.370%).

US TSY FUTURES CLOSE: Trading mixed in the middle of a tight range; strong

volume (TYZ 1.65M); curves mixed; update:

* 2s10s -0.791, 24.580 (24.580L/26.947H);

* 2s30s +1.138, 46.732 (45.487L/49.099H);

* 5s30s +2.959, 37.672 (34.668L/38.310H);

Current futures levels:

* Dec Ultra bonds down 09/32 at 150-06 (149-23L/150-21H)

* Dec 30-yr Bond futures up 03/32 at 138-18 (138-03L/138-21H)

* Dec 10-yr futures up 04/32 at 118-16.5 (118-7.5L/118-17.5H)

* Dec 5-yr futures up 02/32 at 112-12 (112-7.25L/112-12.75H)

* Dec 2-yr futures EVEN 00/32 at 105-9.5 (105-8.5L/105-10.25H)

US EURODOLLAR FUTURES CLOSE: Trading mildly higher with a parallel shift across

reds through golds; at the top of the range on moderate volume. Current White

pack (Dec'18-Sep'19):

* Dec'18 +0.010 at 97.255

* Jun'19 +0.015 at 97.115

* Jun'19 +0.020 at 96.970

* Sep'18 +0.025 at 96.875

* Red pack (Dec'19-Sep'20) +0.030-0.025

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

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

* Gold pack (Dec'22-Sep'22) +0.035-0.025

US DOLLAR LIBOR: Latest settles, 

* O/N 2.1778%

* 1 Month -0.0001 to 2.3065% (-0.0079/wk)

* 3 Month +0.0020 to 2.6161% (-0.0020/wk)

* 6 Month -0.0004 to 2.8550% (-0.0030/wk)

* 1 Year 3.1320%

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

* Secured Overnight Financing Rate (SOFR): 2.20% vs. 2.21% prior, $836B

* Broad General Collateral Rate (BGCR): 2.19% vs. 2.20% prior, $436B

* Tri-Party General Collateral Rate (TGCR): 2.19% vs. 2.20% prior, $410B

US SWAPS: Spds running mostly tighter, narrow range, 5Y resisting move. Mixed

flow underscores range: receivers in 2s at 3.091%, payer in 4s at 3.13625%,

two-way in 5s from 3.1394% to 3.13737%, 2s3s5s receiver fly and 3s5s10s payer

fly on modest volume. Latest spd levels:

* 2Y -0.19/19.19

* 5Y +0.31/13.31

* 10Y -0.12/5.88

* 30Y -0.44/-9.94

PIPELINE: $35B Expected This Week; DowDuPont Jumbo Deal

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

11/13  $500m World Bank 7Y Green Bond MS +7a

11/13  $Benchmark Marriott International 2Y FRN, 5Y, 10Y

11/13  $Benchmark Handelsbanken 5Y +95, 5Y FRN L-equiv

11/13  $Benchmark US Bancorp 3Y +55, 3Y FRN L-equiv, 7Y +90

-

$20.75B Priced Last Week

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

- Nov 14 09-Nov MBA Mortgage Applications (-4.0%, --) 0700ET

- Nov 14 Oct CPI (0.1%, 0.3%) 0830ET

- Nov 14 Oct CPI Ex Food and Energy (0.1%, 0.2%) 0830ET

- Nov 14 US Fed VC/Gov Quarles, semi-ann'l testimony efforts, activity,

objectives, plans of suprvs'n/regult'n depository inst, Hse Rep's Fncl Srvcs

Comm, 0900ET

- Nov 14 Nov Atlanta Fed inflation (2.3%, --) 1000ET

- Nov 14 Dal Fed Pres Kaplan, Fed Chair Powell, ntnl/global econ, Q&A. 1700ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* 10,000 Short Dec 65/66 put sprd at 1 vs 9678/0.10%

* 5,000 Blue Dec 67 puts at 3.5 vs 9685/0.30%

* 3,500 Short Dec 67 Straddle at 13 vs 9677/0.10%

* 4,000 Long Green Dec 65 puts at 24 vs 9681.5/0.10%

* 10,000 Long Green Mar 62 puts at 19 vs 9682/0.22%

* -10,000 Green Dec 70 calls at 2.5 vs 79/0.19%

* -15,000 Red Sep 68/72 call sprd vs Red Sep 60 puts at 4.5 vs 9780/0.32%,

buying the 60 puts

UPDATE: Total -50,000 Long Green Dec 95 puts at 1, on screen

* Total over -35,000 Long Green Dec 95 puts at 1, on screen

* 10,000 Short Jan 70 calls at 3.5 vs 9676/0.20%

* 20,000 Front Feb/Front Mar 70 put sprd at 0.75

Block, 08:53:14ET

* +10,000 Short Dec 66 puts at 1.5 vs 9676.5/0.10%

* 10,000 Mar 68 puts at 0.75 vs 9710/0.10%

* 2,500 Green Jun 70/75 call sprd at 10 vs 9683.5/0.24%

* 3,000 Short April 71/75 call sprd at 4

Tsy options, Pit/screen:

* total +80,000 TYZ 118/119 call spds, 26- to 29/64 screen trade

* -3,000 TYF 118 puts, 28/64

* Total -10,000 wk5 112.25/112.75 call sprd at 8.5 vs 10.75/0.28%

* 3,000 TYZ 119/119.5/120 call flys, 2/64

* 2,000 wk3 TY 118/118.25 put strip, 17/64 vs. (?)

* 2,600 TYZ 117.75/118 put strip, 14/64

* total screen volume TYZ 118 puts up to 14,100, 8/64 last

* 1,250 USZ 139.5/140.5 call spds, 5/64 on screen

* +2,000 TYZ 119 calls, 5/64 vs. 118-10.5

* 1,250 FVZ 112.5/112.75 call spds, 3/64 vs. 112-09.25

* 1,650 wk3 TY 118/118.25 call spds, 11/64

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

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