US TSYS CUT LOSS, DIP BUYS AFTER WEAKNESS ON SEN TAX BILL OK

     US TSYS SUMMARY: Treasuries end Monday lower, but well off session lows,

after afternoon dip buying followed overnight weakness on Sat tax bill passage

in Senate. Risk assets bid as ABC News corrected Friday story to say Pres. Elect

Trump, not candidate Trump, asked ex-NSA Flynn to contact Russians (big legal

difference.) 

- Tsys weak as US stocks gained in morning; but was large stock sell-program

with more than 937 stock names. Tsys long end buying arose and 2/10Y, 2/30Y,

5/30Y, 2/10Y flatteners. Tsys also had some mild dip buying as UK, EU did not

reach BREXIT pact Mon, said traders.

- Tsy futures weak, top of day's range; decent Block sales (mostly) in Tsy 5s

and 10s. Eurodlr futures: earlier massive sale -40k EDZ7 Eurodlr futrs after

open at 98.4375; heavy selling in Whites- Reds (EDZ7-EDU9), Dec 17 as 3m LIBOR

rises into yr-end. Option implieds steady/firmer, decent low delta put buying. 

- US SWAPS: Swap spds wider, curve steeper, 2way short end, rate paying in 30Ys 

- US HIGH-GRADE CORPORATE BONDS: Busy issuance continues. 

- TSYS 3PM ET: 2Y 1.810%; 3Y 1.925%; 5Y 2.148%; 7Y 2.294%; 10Y 2.381%; 30Y

2.772%

US TSY FUTURES CLOSE: Trading weaker after the bell, top end of session range,

however, as US$ continued to scale back early strength. Light volume late as

risk-on tone in first half waned; large sell-program in equities (>935 names

contributing). Current futures levels: 

* Mar Ultra bonds down 9/32 at 166-26 (165-12L/166-30H) 

* Mar 30-yr Bond futures down 8/32 at 153-00 (152-02L/153-04H) 

* Mar 10-yr futures down 6/32 at 124-07.5 (123-30L/124-09H) 

* Mar 5-yr futures down 5.5/32 at 116-09.25 (116-05.25L/116-11.75H) 

* Mar 2-yr futures down 2/32 at 107-05 (107-04.25L/107-06H)

US EURODLR FUTURES CLOSE: Finish weaker across the strip, mid- to top-end narrow

session range. Heavy selling in Whites-Reds (EDZ7-EDU9), Dec17 pressed as 3M

LIBOR continues to climb into year end, Red Dec18 volume leads, however, >420k.

Current White pack (Dec'17-Sep'18): 

* Dec'17 -0.010 at 98.440 

* Mar'18 -0.025 at 98.250 

* Jun'18 -0.020 at 98.100 

* Sep'18 -0.020 at 98.005 

* Red pack (Dec'18-Sep'19) -0.030-0.045 

* Green pack (Dec'19-Sep'20) -0.040-0.035 

* Blue pack (Dec'20-Sep'21) -0.035-0.025 

* Gold pack (Dec'21-Sep'22) -0.025-0.020

US SWAPS: Spds running mostly wider by the bell, long end dragging shorts off

narrows in late trade, spd curve steeper all session. Generally modest swap flow

on day, two-way in the short end vs. better rate paying in 30s. OTC vol lower

across the surface, light payer selling in 1m10Y, spec selling ahead Fri's NOV

NFP. Latest spread levels: 

* 2Y -0.12/18.62 

* 5Y +0.06/6.19 

* 10Y +1.00/+1.19

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

- Dec 05 Oct trade balance (-$43.5B, -$47.5B) 0830ET

- Dec 05 02-Dec Redbook retail sales m/m (-0.2%, --) 0855ET

- Dec 05 Nov Markit Services Index (final) (54.7, --) 0945ET

- Dec 05 Fed Chr Nominee Powell confirmation hearing: Sen 1000ET

- Dec 05 Nov ISM Non-manufacturing Index (60.1, 59.0) 1000ET

- Dec 05 Dec IBD/TIPP Optimism Index (53.6, --) 1000ET

- Dec 05 Q2 QCEW employment 1000ET

- Dec 05 US Tsy $20.0B 52-Week Bill auction 1130ET

Eurodollar/Treasury Option Summary:

Eurodollar options

Pit/screen:

* 7,500 Blue Jan 75/77 put over risk reversals, 1.0 vs. 97.60/0.54%

* 2,500 Blue Dec 73/78 put over risk reversals, 0.0 vs. 97.615

* 3,000 Green Feb 73/75/76 1x4x2 put flys, 2.5 net vs. 97.715

* 13,250 short Jan 76/77 put spds 2.0 w/short Feb 77 puts, 4.5 w/

* 26,500 short Mar 75/76 2x1 put spds, 0.5 vs. 97.855/0.27%

* 3,500 Green Jan 73/75/76 put flys, 2.0 vs.

* 3,500 Green Feb 73/75 put spds, 2.0 vs. 97.695/0.2%

* 2,000 Blue Mar 76 straddles, 27.0

* 40,000 short Apr 73/75 put spds, 1.5 vs. 97.80/0.28%

* 40,000 short Apr 73/76 put spds, 4.0

* 10,000 Jan 82 puts 2.75 vs. 98.25

* 2,500 short Dec 78/80 call strip, 7.5

* 5,000 Green Dec 78/80 call spds, 0.5 vs. 97.71/0.08%

* 2,500 Gold Dec 73/76 call over risk reversals, 1.0 vs. 97.53 earlier

* 15,000 Sep 76/77 2x1 put spds, 0.5

* -3,000 Jan 82/83 strangles, 3.0

* 4,000 Jan/Mar 82/83 call spd spds, 1.25/Jan over

* 2,000 short Sep/Green Sep 80/86 call spd spd, 0.5/EOU over

Latest Block, 0755ET

* 5,000 Blue Dec 75/77 1x2 call spds, 11.0 vs. 97.625/0.45%

Recapping overnight Blocks and other trades

* +10,000 short Mar 76/77 3x2 put spds, 4.5 blocked at 0216-0226ET

* +7,000 Sep 78/80 put spds, 5.5 blocked at 0305ET

* +15,000 Green Feb 73 puts, 2.0 vs. 97.69 blocked at 0420ET

* +5,000 Mar 83/85 call spds 0.5 over Mar 81 puts vs. 98.245 blocked at

0548ET and adds to another 13k on screen

* 41,000 short Feb 76/78 put spds

* 10,000 Jan 82/83/85 call flys

Tsy options

Pit/screen:

* 10,000 TUH 107/107.1 put spds 3/64

* 1,000 TYF 125/125.5/126 call trees, 1/64 vs. 124-03.5/0.05%

* 1,000 wk2 US 151.5/125.5 put over risk reversals, 2/64 vs. 152-24

* 4,950 TYG 122.5/123.5 put strips, 20/64 vs.

* 6,600 TYG 124 puts, 37/64

* 1,800 wk2 TY 124 calls, 23/64 vs. 124-06.5

* 2,000 FVF 116.2/116.75 put over risk reversals, 6/64

* 1,800 wk2 TY 124.75 calls, 5/64 vs. 124-05.5

* 1,000 TYF/TYG 124.5 call spds, 14/64 vs. 124-04

--MNI New York Bureau; tel: +1 212-669-6432; email: sheila.mullan@marketnews.com

[TOPICS: MTABLE,MNUEQ$,M$U$$$,MR$$$$,M$$FI$,MN$FI$]