US TSYS: CAN'T KEEP EQUITIES DOWN FOREVER, CAN YOU?

US TSY SUMMARY: The buys have it! In equities that is, large buy programs rolled

through late, lifting SPX off session lows in late trade -- 2397.0L to >2466.0

after the FI pit close. Bid for Tsys evaporated w/Ultra-bond actually slipping

into the red after leading rally all day. Yld curves gap steeper. All moves on

light volume/illiquid trade while implieds recede.

- US$ index that had recovered some ground after conf data, extended lower into

midday and recovering slightly in late trade (DXY -.493 at 96.557). US$/Yen off

session lows, -.40 at 110.97 vs. 110.46L.

- Third time the charm, $32B 7Y note auction (9128285T3) trades through, awarded

2.680% rate vs. 2.685% WI.

- Spds reverse from tighter levels held much of the session, 10Y on session

wides, long end ignores move.

- Overall volumes much better than prior session at this time (TYH just under

1M) largely due to return of London from Boxing day holiday. Pre-auction

hedging, mixed year-end positioning/extensions. Tsy cash/ylds: 2Y 99-28

(2.560%), 5Y 100-02.25 (2.608%), 10Y 103-02 (2.767%), 30Y 107-07 (3.055%)

US TSY FUTURES CLOSE: Well off second half high -- bid evaporates w/Ultra-bond

actually slipping into the red as equities bounce off late lows, buy program

triggered, FI volume very light on move. Tsy yld curves reverse -- gap steeper,

update:

* 2s10s +1.396, 20.279 (17.158L/20.480H);

* 2s30s +4.544, 49.090 (42.561L/49.417H);

* 5s30s +3.374, 44.650 (37.641L/44.831H);

Current futures levels:

* Mar Ultra bonds DOWN 3/32 at 159-24 (159-13L/161-05H)

* Mar 30-yr Bond futures up 12/32 at 145-04 (144-15L/145-28H)

* Mar 10-yr futures up 12/32 at 121-13 (120-30.5L/121-19H)

* Mar 5-yr futures up 8/32 at 114-09.75 (113-31.5L/114-12.75H)

* Mar 2-yr futures up 2.5/32 at 106-01.25 (105-29.75L/106-02.5H)

US EURODLR FUTURES CLOSE: Trading modestly higher (Reds and Greens outperform),

levels just off top end of range -- not a significant pull back like Tsys

experienced in last few minutes; EDH9/EDH0 inversion (-0.065). Current White

pack (Dec'18-Sep'19):

* Mar'19 +0.030 at 97.290

* Jun'19 +0.035 at 97.295

* Sep'19 +0.040 at 97.305

* Dec'19 +0.050 at 97.320

* Red pack (Mar'19-Dec'20) +0.060-0.065

* Green pack (Mar'20-Dec'21) +0.060

* Blue pack (Mar'21-Dec'21) +0.060-0.055

* Gold pack (Mar'22-Dec'22) +0.050-0.040

US DOLLAR LIBOR: Latest settles,

* O/N +0.0012 to 2.3910% (-0.0006/wk)

* 1 Month +0.0167 to 2.5223% (+0.0160/wk)

* 3 Month -0.0104 to 2.8030% (-0.0186/wk)

* 6 Month -0.0107 to 2.8830% (-0.0249/wk)

* 1 Year -0.0154 to 3.0324% (-0.0407/wk)

US SWAPS: Spds reverse from tighter levels held much of the session, 10Y on

session wides, long end ignores move. Mixed flow on net, decent volume for quiet

session: >$300M 2Y payer at 2.6835%, receiver in 3s at 2.61774%, 2-way in 5s

around 2.63731-2.64603%, receiver in 8s at 2.7025, two-way in 9s. First half

flow included receiving in 3s at 2.6615%, two-way in 5s around 2.66831% to

2.65875% w/better paying in 6s-7s. 3s5s6s payer fly. Latest spd levels:

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

Thu 3:00    +0.06/13.25   +0.19/4.62     +0.50/2.00    -0.56/-16.06

1:15        -0.31/12.88   -0.12/4.31     -0.12/1.38    -0.50/-16.00

11:30       -0.38/12.81   -0.06/4.38     +0.00/1.50    -0.38/-15.88

10:15       -0.25/12.94   +0.19/4.62     +0.38/1.88    +0.00/-15.50

Thu Open    +0.56/13.75   +0.31/4.75     +0.19/1.69    +0.00/-15.50

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

* Secured Overnight Financing Rate (SOFR): 2.44%, $957B

* Broad General Collateral Rate (BGCR): 2.43%, $403B

* Tri-Party General Collateral Rate (TGCR): 2.43%, $387B

PIPELINE: No new supply on day/week

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

28-Dec 0900 *   Dec ISM-Milwaukee Mfg Index (56.63, --)

28-Dec 0945 **  Dec MNI Chicago PMI (66.4, 60.0)

28-Dec 1000 **  Nov NAR pending home sales index (102.1, --)

28-Dec 1030 **  21-Dec natural gas stocks w/w

28-Dec 1100 **  21-Dec crude oil stocks ex. SPR w/w (-0.49m bbl, --)

28-Dec 1100 **  Q4 St. Louis Fed Real GDP Nowcast (+2.90%, --)

28-Dec 1115 **  Q4 NY Fed GDP Nowcast (+2.48%, --)

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* 15,000 short Mar 68/71 2x1 put spds, 2.0 net vs.

* 7,500 short Mar 72 calls, 23.5 vs. 97.405/0.88%

* 11,665 Green Mar 73/75 call spds 3.0 over the Green Mar 71 puts vs.

97.485/0.30%

* -20,000 short Jun/Blue Jun 73 call spds, 4.5, short Jun over

* 4,250 Green Mar 71/72/73 put trees, 1.0

* +8,000 Green Jun/Gold Jun 77/81 call spd spd, 3.5, steepener

* +40,000 Jan 71/72 put spds, 2.25-2.0 w/

* +40,000 Mar 70/71 put spds, 1.5

* +15,000 short Apr 68/70 put spds, 1.5

* +5,000 short Jan 70/71 put spds, 0.5 w/

* +5,000 short Jan 76/77 call spds, 1.0

* +11,500 Dec 65 puts, 1.5 on screen, still well offered

* +3,000 Green Mar 85 calls, 0.5

* 1,000 Dec 68/70 call spds, 9.0

Tsy options, Pit/screen:

* 1,700 TUH 105.6/105.8 2x1 put spds, 2/64

* 2,000 TYG/TYH 121.5 straddle spds, 29/64

* 1,000 TYG 120/121 2x1 put spds, 10/64

* over +6,000 TYH 132.5 calls, 1/64 earlier

* 2,500 TUH 105.5/105.7/106 put flys, 4/64

* over 7,500 FVH 114.25 straddles, 61- to 62.5/64

* -2,500 TYG 120.75/121.75 strangles, 44/64

* -2,000 TYH 120/122 strangles, 52/64

* 1,500 TYG 120.75/121.75 strangles, 43/64 pre-data

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

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