US TSYS: US/CHINA TRADE "PESSIMISM" SPURS TSY REBOUND

US TSY SUMMARY: Trade headlines continue to drive markets: Early risk-on

head-fake: Overnight risk-on tone crushed just after opening bell on CNBC

twitter post of all things suggesting Beijing pessimism over reaching a

trade-deal with the Trump admin.

- Rates surged to new highs as equities extend sell-off, early flow included

prop and fast$ buying short end, real$ buying 10s, program buying long end, mild

deal-tied selling across the curve. Decent deal-tied hedging.

- Pick-up in Dec/Mar Tsy futures roll volume ahead Nov 29 first notice. Gradual

retreat in Tsys during second half, light overall volume.

- Little react to surprise Fed Chair Powell meet w/ Tsy Sec Mnuchin and Pres

Trump, "POWELL STRESSED POLICY DEPENDENT ON INCOMING DATA". No react to FED'S

MESTER SAYS SHE PREFERRED NOT TO CUT INTEREST RATES AT THE FED'S LAST MEETING"

Rtrs. October FOMC minutes release on Wednesday.

- The 2-Yr yield is down 1.6bps at 1.5939%, 5-Yr is down 2bps at 1.627%, 10-Yr

is down 2.1bps at 1.8101%, and 30-Yr is down 0.8bps at 2.2968%.

US TSY FUTURES CLOSE: Modestly higher across the curve but off mid-morning highs

amid sporadic sell pressure in second half. Update:

* 3M10Y  -1.548, 24.888 (L: 22.399 / H: 28.345)

* 2Y10Y  -0.444, 21.412 (L: 20.617 / H: 22.579)

* 2Y30Y  +0.905, 70.158 (L: 68.691 / H: 70.734)

* 5Y30Y  +1.097, 66.726 (L: 65.285 / H: 67.035)

Current futures levels:

* Dec 2-Yr futures up 1/32  at 107-20.75 (L: 107-18.625 / H: 107-21.62)

* Dec 5-Yr futures up 3.25/32  at 118-21.25 (L: 118-14.5 / H: 118-23.5)

* Dec 10-Yr futures up 5.5/32  at 129-10 (L: 128-31 / H: 129-14.5)

* Dec 30-Yr futures up 12/32  at 158-22 (L: 157-28 / H: 159-03)

* Dec Ultra futures up 11/32  at 185-9 (L: 183-31 / H: 186-03)

US TSY FUTURES: *** Dec/Mar roll volume picking up ahead Nov 29 first notice

(March futures take lead quarterly position). Dec futures don't expire until

mid-late Dec (10s, 30s and Ultras on 12/19, 2s & 5s 12/31). Update:

* TUZ/TUH appr 44,300 from -6.12 to -5.5, -6.0 last; 12% complete

* FVZ/FVH appr 34,500 from -10.0 to -9.25, -9.75 last; 9% complete

* TYZ/TYH appr 37,900 from -1.0 to -0.75, -0.75 last; 8% complete

* UXYZ/UXYH 14,200 from -1-12.25 to -1-11.75, -1-12.25 last; 1% complete

* USZ/USH appr 15,300 from 26.0 to 26.25, 26.0 last; 5% complete

* WNZ/WNH appr 2,600 from 24.25 to 24.5, 24.25 last; 4% complete

US EURODLR FUTURES CLOSE: Just off session highs by the bell, decent volume in

lead quarterly EDZ9 w/>235k. Current White pack (Dec 19-Sep 20): 

* Dec 19 +0.015 at 98.115

* Mar 20 +0.015 at 98.325

* Jun 20 +0.020 at 98.420

* Sep 20 +0.025 at 98.490

* Red Pack (Dec 20-Sep 21) +0.035 to +0.040

* Green Pack (Dec 21-Sep 22) +0.035 to +0.040

* Blue Pack (Dec 22-Sep 23) +0.030 to +0.035

* Gold Pack (Dec 23-Sep 24) +0.030

US DOLLAR LIBOR: Latest settles

* O/N -0.0014 at 1.5354% (-0.0019 last wk)

* 1 Month -0.0096 to 1.7236% (-0.0287 last wk)

* 3 Month -0.0041 to 1.8985% (+0.0020 last wk)

* 6 Month +0.0004 to 1.9189% (-0.0046 last wk)

* 1 Year -0.0076 to 1.9534% (-0.0388 last wk)

STIR: Federal Reserve Bank of New York EFFR for prior session:

* Daily Effective Fed Funds Rate: 1.55%, volume: $73B

* Daily Overnight Bank Funding Rate: 1.55%, volume: $159B

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

* Secured Overnight Financing Rate (SOFR): 1.59%, $1.049T

* Broad General Collateral Rate (BGCR): 1.55%, $445B

* Tri-Party General Collateral Rate (TGCR): 1.55%, $418B

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

19-Nov 0830 Oct housing starts (1.256m, 1.320m)

19-Nov 0830 Oct building permits (1.387m, 1.383m)

19-Nov 0855 16-Nov Redbook retail sales m/m

19-Nov 0900 NY Fed pres John Williams, moderated discussion SIFMA Annl Meet

19-Nov 1000 Q3 e-commerce retail sales

19-Nov 1000 Q3 Advance NSA Service Revenue

19-Nov 1000 Oct BLS state payrolls

PIPELINE: Intel leads w/$2.75B 2-parter; $9.7B to price Monday

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

11/18 $2.75B #Intel $1.25B 10Y +65, $1.5B 30Y +95

11/18 $1.5B #Banque Federative du Credit Mutuel SA (BFCM) $1B 3Y +63, $500M 5Y

+83

11/18 $1.5B #Dominion Energy $600m 5Y +88, $600m 10Y +123, $300m 30Y +160

11/18 $1.05B #Labcorp $400M $5Y +72, $650M 10Y +117

11/18 $900M #Packaging Corp $500M 10Y +120, $400M 30Y +180

11/18 $600M #American Honda Finance 2.5Y +37

11/18 $500M #Western Union 5Y +125

11/18 $300M #Mid-America Apartments WNG +10Y +97

11/18 $300M #Arizona Public Service +120

11/18 $300M Ameren Illinois WNG 30+ 110a

Eurodollar/Tsy options: 

Eurodollar Options

* +20,00 short Feb/short Mar 87 call spd, 2.0 vs. 98.65/0.02%, adds to +10k

Block

* -10,000 Jun 83/86 1x2 call spds, cab vs. 98.40/0.05%

* 7,000 short Dec 82/86 call over risk reversals, 2.5

* +5,000 short Dec 82/83 put spds 0.5 over short Dec 87 calls

* +5,000 Mar 83/87 w/Mar 85/87 call spds 3.25 over Mar 80/82 put spds, package

vs. 98.31/0.80%

* Update, >+34,000 Feb/Mar 81/82/83 put fly strips, 10.0 -- adds to +2k at 9.5

earlier

* >+27,500 Feb/Mar 81/82/83 put fly strips, 10.0, adds to +2k at 9.5 earlier

* +12,000 Dec 82 calls, 0.75

* +12,500 Red Dec 87/90/92 call trees, 0.5

* +10,000 Feb 87 calls, 1.0

* +5,000 Green Jun 75/77 put spds, 1.5

* +11,500 Red Dec'20 92 calls, 4.5

* -5,000 Feb 85/86/87 call flys, 0.5

Block, 0752:00ET,

* 10,000 Dec 77/80/81 broken put flys, 3.5Recap overnight trade

* >52,000 Mar/Feb 85 call spds, appears to be rolling March out to Feb

* 12,000 short Jun 82 puts vs. short Jun 86/90 call spds

* 5,000 Dec 78/80 put spds

Tsy options:

* +55,000 TUH 105.75p, .5

* +12,000 TYH 117.5 puts, cab-7

* +10,000 FVH 110.5 puts, cab-7

* +19,000 TYH 122 puts, 2/64 on screen/in pit

* +5,600 TYF 126.5/127.5/128.5 put flys, 9/64 vs. 129-05.5/0.05%

* +5,000 TYZ 129.75 calls, 6/64

Recap overnight trade

* >7,000 TYZ 128.25 puts, 2/64

* >20,000 FVZ 119 calls, 2/64

* Block, 10,000 USF 160 calls 2/64 over USG 153/155 put spds vs. 158-02/0.38%

* 5,500 TYZ 129 puts, 15/64

* 4,400 FVZ 118.25 puts, 4/64

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

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