US TSYS: US/CHINA TRADE SNAG ON AG PURCHASES

US TSY SUMMARY: Despite the Fed Chair testimony and House impeachment hearings,

US/China trade headlines steal the show. Strong risk-off on late headlines

outlining a "snag" in negotiations over agricultural purchases kicked Tsys

higher and reversed tepid gains in equities. TYZ volume spiked by 100k in less

than 5 minute period from 128-25 to -28.5. Gold also rallied on safe haven

buying.

- Tsys traded strong early, risk-off carry-over from late Tue after Pres Trump

speech at NY Econ Club speech re: China trade failed to enlighten. Decent

volumes at moment, (TYZ>440k); Tsy yld curves bull flattening w/3M10Y appr

12.5bp flatter last 24 hours.

- Tsy futures Block sales, early bond sale weighed: -9,243 USZ 157-11, sell

through 157-19 post-time bid; -8,400 FVZ 118-10.75, sell through 118-11

post-time bid late morning. Other flow included two-way on net from fast$ and

props in the the short end to intermediates, modest deal-tied flow in 2s-10s.

- The 2-Yr yield is down 2.8bps at 1.634%, 5-Yr is down 5.1bps at 1.6878%, 10-Yr

is down 5.4bps at 1.8808%, and 30-Yr is down 5.7bps at 2.3589%.

US TSY FUTURES CLOSE: Strong risk-off support, Tsys off highs after the bell.

Yld curves extend flattening. Update:

* 3M10Y  -5.849, 30.482 (L: 27.635 / H: 33.504)

* 2Y10Y  -2.212, 24.828 (L: 22.892 / H: 26.721)

* 2Y30Y  -2.53, 72.658 (L: 70.564 / H: 74.249)

* 5Y30Y  -0.228, 67.31 (L: 65.937 / H: 67.933) Current futures levels:

* Dec 2-Yr futures up 1/32  at 107-18.25 (L: 107-16 / H: 107-19.125)

* Dec 5-Yr futures up 4.5/32  at 118-11.75 (L: 118-03 / H: 118-14.5)

* Dec 10-Yr futures up 8/32  at 128-25 (L: 128-10.5 / H: 128-29.5)

* Dec 30-Yr futures up 11/32  at 157-11 (L: 156-11 / H: 157-26)

* Dec Ultra futures up 22/32  at 183-2 (L: 181-04 / H: 183-29)

US TSY FUTURES: *** Roll update: Dec/Mar rolling ahead first notice (March

futures take lead quarterly position) on Nov 29. Dec futures don't expire until

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

* TUZ/TUH appr 37,300 from -5.25 to -4.62, -5.25 last; 10% complete

* FVZ/FVH appr 37,600 from -9.25 to -8.25, -9.0 last; 7% complete

* TYZ/TYH appr 12,200 from 0.25 to 1.25, 0.25 last; 6% complete

* UXYZ/UXYH <900 from -1-10.25 to 1-9.75, -1-10 last

* USZ/USH appr 7,400 from 26.25 to 27.0, 26.5 last; 2% complete

* WNZ/WNH appr 8,400 from 24.25 to 24.75. 24.5 last; 2% complete

US EURODLR FUTURES CLOSE: Stronger across the strip, near highs w/parallel shift

in Reds-Golds. Current White pack (Dec 19-Sep 20): 

* Dec 19 +0.005 at 98.085

* Mar 20 +0.015 at 98.30

* Jun 20 +0.020 at 98.370

* Sep 20 +0.030 at 98.430

* Red Pack (Dec 20-Sep 21) +0.035 to +0.045

* Green Pack (Dec 21-Sep 22) +0.045 to +0.050

* Blue Pack (Dec 22-Sep 23) +0.045 to +0.050

* Gold Pack (Dec 23-Sep 24) +0.045 to +0.045

US DOLLAR LIBOR: Latest settles

* O/N -0.0002 at 1.5390% (+0.0004/wk)

* 1 Month +0.0037 to 1.7654% (+0.0064/wk)

* 3 Month +0.0006 to 1.9098% (+0.0092/wk)

* 6 Month -0.0039 to 1.9223% (-0.0008/wk)

* 1 Year -0.0186 to 1.9870% (-0.0128/wk)

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

* Daily Effective Fed Funds Rate: 1.55%, volume: $71B

* Daily Overnight Bank Funding Rate: 1.55%, volume: $168B

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

* Secured Overnight Financing Rate (SOFR): 1.57%, $1.064T

* Broad General Collateral Rate (BGCR): 1.54%, $450B

* Tri-Party General Collateral Rate (TGCR): 1.54%, $420B

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

14-Nov 0530 VC Quarles, pre-recorded remarks Intl Assn Insurance Supervisors',

no Q&A

14-Nov 0830 09-Nov jobless claims (211k, 215k)

14-Nov 0830 Oct Final PPI (-0.3%, 0.3%); ex. food & energy (-0.3%, 0.2%)

14-Nov 0830 Oct PPI ex. food, energy, trade (0.0%, 0.2%)

14-Nov 0900 Fed VS Clarida, Cato Institute conf, DC

14-Nov 0900 NY Fed Deputy General Counsel Bergin, Culture and Conduct Forum,

London

14-Nov 0910 Chi Fed Pres Evans, Fintech Conf, Philadelphia Fed. No Q&A

14-Nov 1000 Fed Chair Powell on economic outlook, House Budget Committee

14-Nov 1030 08-Nov natural gas stocks; 1100 08-Nov crude oil stocks ex. SPR

14-Nov 1145 SF Fed Pres Daly, intro Asia Economic Policy conf

14-Nov 1200 NY Fed Pres Williams, open remarks Asia Eco-Policy Conf

14-Nov 1220 StL Fed Pres Bullard, econ/mon-pol, Louisville, KY, Q&A

14-Nov 1300 Dallas Fed Pres Kaplan, community forum Tx

PIPELINE: Hasbro Launched, Aon priced

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

11/13 $2.375B #Hasbro $300M 3Y +95, $500M 5Y +135, $675M 7Y +180, $900M 10Y +205

11/13 $2B #Egypt $500M 4Y 4.55%, $1B +12Y 7.05%, $500M 40Y 8.15%

11/13 $1B *Kommunivest WNG +3Y +11

11/13 $500M *Aon Corp 3Y +55

11/13 $400M *L3Harris WNG 10Y +105

11/13 $350M Choice Hotels 10Y +195a

11/13 $Benchmark Enbridge Inc. 5Y +100a, 10Y +140a, 30Y +185a

11/13 $Benchmark Equinor 30Y +100a

11/?? Nationwide Fncl Servc investor call

11/?? Chatter: Sprint

11/?? Chatter: T-Mobile US

Eurodollar/Tsy options: 

Eurodollar Options

* +20,000 Jun 85/87/90 call flys, 2.5 vs. 98.35/0.08%

* -10,000 short Dec 83/85 strangles, 11.0

* +17,500 Sep 86/88/90/92 call condors, 2.5 adding to +5k earlier

* +10,000 Sep 80 puts, 3.0

* 6,000 Dec 81/82 call spds, 1.5

* -6,000 Red Mar 90 calls 15.0 over 3,000 Mar 83 calls

* +5,000 Sep 86/88/90/92 call condors, 2.5

* -6,000 Feb 82 straddles, 6.0 over 12,000 Jun 81/83 3x1 put spds earlier

ongoing call buyer in pit/on screen

* Update, total +25,000 Red Dec 92 calls, 4.0

* 5,000 Mar 82 straddle, 16.0

* +8,000 Green Dec 78/81 put spds, 1.0

* +10,000 Green Dec 82 puts, 6.0 vs. 98.42

* +6,000 Red Dec 92 calls, 4.0

* Update, total +30,000 Apr 82 puts, 5.5 vs. 98.37-38.375/0.34%

* Update, total +5,000 short Mar 86/87/88/90 call condors, 2.0

Block, 1009:56ET, put spd sold over

* -11,000 Mar 80/82 put spds, 4.75 vs.

* +11,000 Mar 83/86 call spds, 4.0

* 6,820 EDH0 98.30

* +7,000 Sep 87/90/92 call flys, 1.5

* +7,500 Blue Dec 87/92 call spds, 1.0

* +10,000 Jun 90 calls, 2.0

* 2,500 short Mar 86/87/88/90 call condors, 2.0

* Update, +7,000 Jun 87/88/90/91 call condors, 1.0 vs. 98.39

* 7,000 Dec 83/86 call spds, cab

* 4,000 Jun 87/88/90/91 call condors, 1.0 vs. 98.39

* Update, total +15,000 Jun 85/87/90 call flys, 2.5

* 10,000 Jun 85/87/90 call flys, 2.5

* 3,000 Sep 85 calls, 14.5 vs. 98.415/0.40%

* more Sep 80/87 call over risk reversals going up in pit and screen, total

>-100k at 4.5

Latest screen trade

* +30,000 Jun 71/73 call spds

* 10,500 short Jun 90/96 call spds

* 5,000 short Dec 87/91 call spds

Overnight Blocks recap:

* total -80,000 Sep 80/87 call over risk reversals, 4.5

Block, 0625:11ET,

* 6,000 short Mar 87 calls, 6.0 vs. 98.44/0.10%

Tsy options:

* Update, over +60,000 TYZ 129.25/130 call spds, 8- to 11/64 on screen

* +28,000 TYZ 129.25/130 call spds, 8/64 on screen -- right around time the

US/China trade snag headline spiked the underlying

* 2,000 FVH 118.75 straddles, 1-22- to 1-21.5/64

* 1,800 TYZ 130 puts, 1-7/64 vs. 128-30/0.92%

* +1,000 USF 155/160 strangles, 1-44 to 1-45/64

* +2,000 TYF 129 straddles, 1-34/64

* 3,000 TYH 128 puts, 49/64 vs. 128-28/0.36%

duration weighted FIB/5s over Bonds

* 2,000 FVF 119.5 calls 10/64 vs. 400 USF 156 calls, 2-12

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

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