US TSYS: BOND BID EVAPORATES LATE, YLD CURVES BOUNCE

US TSY SUMMARY: Surprise! Tsys trade weaker, yld curves rebound after extending

Wed's sharp flattening for much of session. Tsys bid evaporated late.

- Surprising second half action. A year without a Santa Clause rally? Equities

made new session lows SPX -55.5 at 2448.25 (down appr 8% for year). Traders

looked for Tsys to catch more of a risk-off bid; rather muted trade, however,

many have drifted towards exits earlier. 

- Gold making new highs, XAU +23.0 and change, >1266.0, while US$ index extends

session low (DXY -0.849 at 96.186); CBoE vol index made new high of 30.30

(+4.72), blowing past Oct 11 high of 28.84, but still off the epic rally high

from early February when index spiked to 50.30.

- NOT quite risk-off -- SELL everything Mortimer! Potential risk-parity acct

unwind (sell both Tsys and Eqs' as has been cited last month. Eqs' drew buying

on lows, SPX bouncing by more than 20.0 off lows but slipped lower late.

Unexpected (?) news that Pres Trump will NOT sign stopgap spend bill and recent

comments from Fed Dudley adding to move. Tsy cash/ylds: 2Y 100-05 (2.666%), 5Y

101-01 (2.651%), 10Y 102-27.5 (2.790%), 30Y 106-31.5 (3.019%)

US TSY FUTURES CLOSE: Long end support evaporated late, Tsy make new session

lows after the closing bell; strong volume (TYH 1.82M); curves reverse/rebound

to steeper late; update:

* 2s10s +0.994, 11.687 (9.070L/12.068H);

* 2s30s +0.798, 34.076 (30.107L/34.401H);

* 5s30s +0.102, 36.113 (32.669L/36.265H);

Current futures levels:

* Mar Ultra bonds down 10/32 at 160-14 (160-12L/162-11H)

* Mar 30-yr Bond futures down 12/32 at 144-21 (144-19L/146-00H)

* Mar 10-yr futures down 4.5/32 at 121-01 (120-31.5L/121-10.5H)

* Mar 5-yr futures down 4/32 at 113-28.25 (113-27L/114-01H)

* Mar 2-yr futures down 1.75/32 at 105-25.75 (105-25L/105-28H)

US EURODOLLAR FUTURES CLOSE: Trading mildly lower near the bottom of the range;

strong volume. Current White pack (MAR'19-DEC'19):

* MAR'19 -0.035 at 97.230

* JUN'19 -0.025 at 97.210

* SEP'19 -0.030 at 97.190

* DEC'19 -0.035 at 97.165

* Red pack (MAR'20-DEC'20) -0.030-0.010

* Green pack (MAR'21-DEC'21) -0.015-0.010

* Blue pack (MAR'22-DEC'22) -0.020

* Gold pack (MAR'23-DEC'23) -0.020-0.015

US DOLLAR LIBOR: Latest settles, 

* O/N +0.2061 to 2.3878% (+0.2031/wk)

* 1 Month +0.0244 to 2.5037% (+0.0487/wk) 

* 3 Month +0.0341 to 2.8237% (+0.0230/wk)

* 6 Month +0.0292 to 2.9000% (-0.0005/wk)

* 1 Year +0.0127 to 3.0654% (-0.0323/wk)

US SWAPS: Spds wider across the board by the close, intermediates rebound from

Wed's post FOMC narrowing. Better but rather modest rate paying in shorts to

intermediates, little change in spds as support for rate evaporated.  Note, 3Y

spd anomaly, Bbg currently has >3.0bp tighter at 9.42 -- appr half that move is

in error, other platforms show midpoint around 11.12. Still significant

divergence from balance of spds. One desk points out "Jan 22s are cheap, so

there is some roll effect" contributing, in addition to sellers of cash 3s.

Latest spds:

Time (ET)   2Y Swap/Mid   5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

Thu 3:00    +2.00/14.50   +0.69/8.38     +1.44/3.44    +2.25/-11.25

Thu Open    +1.81/14.31   +0.62/8.31     +0.69/2.69    +1.69/-11.81

Wed 3:00    +0.50/13.75   -1.00/7.75     -1.00/1.25    +0.56/-14.00

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

* Secured Overnight Financing Rate (SOFR): 2.30% vs. 2.32% prior, $910B

* Broad General Collateral Rate (BGCR): 2.29% vs. 2.30% prior, $424B

* Tri-Party General Collateral Rate (TGCR): 2.29% vs. 2.30% prior, $404B

PIPELINE: No new supply on day/week

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

21-Dec 0830ET Q3 GDP (3rd) (3.5%, 3.5%)

21-Dec 0830ET Q3 GDP Price Index (1.7%, 1.7%)

21-Dec 0830ET Nov durable goods new orders (-4.4%, +0.0%)

21-Dec 0830ET Nov durable new orders ex transport (0.1%, 0.4%)

21-Dec 0830ET Dec Philadelphia Fed Nonmfg Index (43.3, --)

21-Dec 1000ET Dec Michigan sentiment index (f) (97.5, 97.0)

21-Dec 1000ET Nov personal income (0.5%, 0.3%)

21-Dec 1000ET Nov current dollar PCE (0.6%, 0.4%)

21-Dec 1000ET Nov total PCE price index (0.2%, --)

21-Dec 1000ET Nov core PCE price index (0.1%, 0.2%)

21-Dec 1000ET Nov BLS state payrolls

21-Dec 1100ET Q4 St. Louis Fed Real GDP Nowcast (2.65%, --)

21-Dec 1115ET Q4 NY Fed GDP Nowcast (2.42%, --)

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* 5,000 Sep 72/73/75 call tree at 1 vs 9722/0.10%

* 10,000 Dec 72/73 call sprd at 1 over the Short Dec 76/77 call sprd

* 8,500 Short Mar 70/71 2x1 put sprd at 0

block, 12:15:52ET,

* 20,000 Green Jun 80/82 call sprd at 2.5 vs 9745/0.05%

* +35,500 Green Jun 80/82 call sprd vs 9741/0.10% vs Short Mar 73/75/76/77 call

condor net 0.5, selling the call condor

* 3,000 Mar 77 calls at CAB vs 9724/0.05%

* 4,500 Green Jun 80/82 call sprd at 2.5

* -20,000 Mar 75 calls at 0.5

* +3,000 Sep 73 calls, 5.0 over Sep 68/70 put spds

* +20,000 Jan 71/73 puts over risk reversal at CAB

Block, 0222ET

* +5,000 E2H 73/75 call spds 2.0 over Green Mar 71p

Tsy options, Pit/screen:

* 5,000 FVH 113.5/114.5 call sprd at 27.5

* +8,500 TYH 130.5 calls at 1

Pre-data screen trade

* +5,000 TYG 122.5 calls, 10/64, total volume just under 15k

* just over 7,700 USG 141 calls, 4-47/64

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

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