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COMMODITIES

Crude Bounces, But Well Shy of Friday Highs

PIPELINE

November Corporate Debt Issuance Over $120B

US TSY OPTIONS

NFP option

     
US TSY SUMMARY: Tsys were weaker but off midday lows by the close. Salient moves
driven by US/China trade headlines on day, risk-on around midday after trade
officials relayed hope a deal may be signed in November, modest unwind late as
one US official expressed interest in tougher language related to intellectual
property. 
- Several large Block sales in 2-, 5- and 10Y futures helped trigger the
sell-off around the midmorning headlines: "NAVARRO: POSSIBLE SIGNING OF
U.S.-CHINA PHASE 1 DEAL IN NOV" Bbg.
- Session flow included light month end buying and two-way option related
hedging and position squaring ahead the weekend, fast$, prop and program acct
related selling into early strength. Otherwise, markets remained choppy on thin
participation, volumes slightly above week's moribund avg.
- The 2-Yr yield is up 4.4bps at 1.6216%, 5-Yr is up 3.9bps at 1.6225%, 10-Yr is
up 3bps at 1.796%, and 30-Yr is up 2.6bps at 2.2884%.
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 2018; TIPS -0.01Y; Govt inflation-linked, -0.04Y
*.....................Projected...1Y Avg Incr..Last Year
*US Tsys.................0.07........0.08........0.06
*Agencies................0.08........0.08........0.19
*Credit..................0.09........0.09........0.06
*Govt/Credit.............0.08........0.08........0.06
*MBS.....................0.06........0.07........0.06
*Aggregate...............0.07........0.08........0.06
*Long Govt/Credit........0.06........0.10........0.05
*Interm Credit...........0.08........0.08........0.06
*Interm Govt.............0.07........0.08........0.06
*Interm Govt/Cred........0.07........0.08........0.06
*High Yield..............0.07........0.08........0.07
US TSY FUTURES CLOSE: Weaker but off midday lows. Salient moves driven by
US/China trade headlines on day, risk-on around midday after trade officials
relayed hope a deal may be signed in November, modest unwind late as one US
official expressed interest in tougher language related to intellectual
property. Yld curves mostly flatter. Update
* 3M10Y  +2.767, 12.462 (L: 6.836 / H: 13.792)
* 2Y10Y  -1.189, 17.446 (L: 16.354 / H: 18.574)
* 2Y30Y  -1.79, 66.466 (L: 64.616 / H: 68.419)
* 5Y30Y  -1.529, 66.211 (L: 64.809 / H: 68.248)
Current futures levels:
* Dec 2-Yr futures down 2.75/32  at 107-20.75 (L: 107-19.37 / H: 107-24.25)
* Dec 5-Yr futures down 6/32  at 118-23.25 (L: 118-19.5 / H: 118-31.5)
* Dec 10-Yr futures down 9.5/32  at 129-17.5 (L: 129-11.5 / H: 129-31)
* Dec 30-Yr futures down 15/32  at 159-16 (L: 159-05 / H: 160-11)
* Dec Ultra futures down 31/32  at 185-31 (L: 185-19 / H: 187-19)
US EURODLR FUTURES CLOSE: Also weaker but off lows after the bell. Positive
trade headline noise weighing w/Whites-Reds underperforming. Despite lead
quarterly EDZ9 futures decline, the probability for a rate cut at next week's
FOMC climber to 90%. 
- For the week: lead EDZ9 futures declined 0.040 to 98.090, while EDH0 through
EDU0 declined 0.055-0.060; Reds (EDZ0-EDU1) -0.060-0.055 lower, Greens through
Golds (EDZ1-EDU4) 0.040-0.055 lower. Current White pack (Dec 19-Sep 20): 
* Dec 19 -0.010 at 98.095
* Mar 20 -0.030 at 98.315
* Jun 20 -0.040 at 98.395
* Sep 20 -0.050 at 98.445
* Red Pack (Dec 20-Sep 21) -0.05 to -0.04
* Green Pack (Dec 21-Sep 22) -0.035 to -0.025
* Blue Pack (Dec 22-Sep 23) -0.02 to -0.015
* Gold Pack (Dec 23-Sep 24) -0.015 to -0.01
US DOLLAR LIBOR: Latest settles
* O/N +0.0033 at 1.8060% (-0.0090/wk)
* 1 Month +0.0006 to 1.8048% (-0.0455/wk)
* 3 Month -0.0075 to 1.9281% (-0.0251/wk)
* 6 Month +0.0012 to 1.9332% (-0.0186/wk)
* 1 Year -0.0051 to 1.9557% (-0.0315/wk) 
STIR: Federal Reserve Bank of New York EFFR for prior session:
* Daily Effective Fed Funds Rate: 1.85%, volume: $65B
* Daily Overnight Bank Funding Rate: 1.82%, volume: $175B
US TSYS: REPO REFERENCE RATES: (rate, volume),
* Secured Overnight Financing Rate (SOFR): 1.86%, $1.086T
* Broad General Collateral Rate (BGCR): 1.85%, $453B
* Tri-Party General Collateral Rate (TGCR): 1.84%, $425B
OUTLOOK: *** US Data/speaker calendar (prior, estimate):
28-Oct 0830 Sep advance goods trade gap (-$72.8B, -$73.5B)
28-Oct 0830 Sep advance wholesale inventories (0.2%, 0.3%)
28-Oct 0830 Sep advance retail inventories (-0.1%, --)
28-Oct 1030 Oct Dallas Fed manufacturing index (1.5, 0.0)
PIPELINE: Thu's Wells Fargo 2-part nearly double total issuance for week
Date $MM Issuer/Rating/Desc/Maturity/Yld; Priced *; Launch #:
10/25 No new supply in pipeline for Friday
10/?? Chatter: possible T-Mobile US 
-
$7.8B Priced Thursday, $15.35B/wk
10/24 $6.5B *Wells Fargo $3B 6NC5 fix/FRN +82, $3.5B 11NC10 fix/FRN +112
10/24 $800M *Norfolk Southern Corp $400M 10Y +83, $400M 30Y +120
10/24 $500M *Zions Bancorp 10Y +153
Canadian issuance:
10/24 C$450M *CN Rail 30Y +145
10/24 C$385M *Laurentian Bank NHA MBS +51
Eurodollar/Tsy options: 
Eurodollar Options
* 5,000 short Dec 88/90 call spds, 1.0
* -2,000 Green Mar 85 straddles, 37.0
* +10,000 Red Dec'20 95/100 call spds 2.5 earlier
* +20,000 Dec 82/83 call spds, 1.5 pit/screen
* +10,000 Blue Dec 82 puts, 3.5
* +20,000 Sep 88/93 call spds 7.5
* 3,000 short Dec 87/90 call spds, 3.0
* 2,000 Nov 80/81/82 call flys, 6.0
* 1,750 short Dec 86/87 2x1 call spds, 1.0
* 1,750 short Dec 82/83/85 put trees, 3.0
* 5,000 Blue Dec 82 puts, 3.5
* 2,000 Jan 83 straddles, 19.5
* 2,000 short Nov 85/86/87 call flys, 2.5
* 1,000 Mar 78/80/81/82 put condors, 1.75
Tsy options:
* +20,000 USZ 146 puts, 1/64 on screen
* +5,000 TYZ 133 calls, 3/64 vs. 129-30/0.04%
Recap overnight Blocks
* 20,000 FVZ 119.5/120.25 1x2 call spds, 5.5/64
* 30,000 FVZ 118/118.75/119.25 broken put flys, 2/64/wings over
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com