US TSYS DRIFT INTO WKND AMID MUTED 2WAY FLOW; 2Y,5Y AUCTNS MON

     US TSYS SUMMARY: Treasuries ended a quiet post-Thanksgiving Friday session

midrange, mildly weaker, with 2/30Y, 5/30Y curves flatter. 

- Tsys saw early mild buying tied to softer dollar/yen, but then some

profit-taking, and basically then quiet two-way flows. Tsys also had 5-year note

buying going on. 

- Tsys had opened NY weaker after muted overnight 2way trading flows, and lifted

off overnight lows starting about 6:30am ET when 10Y note was at 2.352% session

high yield, vs. 2.340% 1pm ET early close yield). 

- TOKYO: Tsys reopened after Thu US Thanksgiving holiday. Foreign central banks

sold Tsys 5Y note, commercial banks sold 5Y, 10Ys; could be selling to clear the

decks to buy 2Y or 5Y note auctions next Mon. Jpn MOF said Jpn investors bought

net Y231.3B in foreign bonds. 

- LONDON: Tsys and EGBS pressured as German IFO hit a record high and Germany's

SPD party said willing to talk with PM Merkel. European stocks mainly higher,

except UK. Bloomberg said Russia, OPEC eyed a deal to extend production cuts.

Next Thu: OPEC production meeting in Vienna. 

- US CORPS: No issuance Friday; but heavy week next week expected. 

- US EURODLR FUTURES: Steady/lower ending, curve mildly steepens. 

- US SWAPS: Mixed, short end tighter, large curve trades earlier (over 500K DVO1

of 5/6/7Y fly went through, seemed belly receiving.) 

- US$ LIBOR: 1m (1.3376%), 3m (1.4676%), 6m (1.6539%) all higher; 

- US TSYS 3PM ET: 2Y 1.748%, 3Y 1.850%, 5Y 2.065%, 7Y 2.233%, 10Y 2.340%, 30Y

2.759%

US TSY FUTURES CLOSE: Trading lower but off session lows after the bell, curve

steeper for most of the day, long end underperforming. Volume totals inflated by

decent roll volume despite muted markets. Current futures levels: 

* Dec Ultra bonds down 12/32 at 167-27 (167-11L/168-21H) 

* Dec 30-yr Bond futures down 7/32 at 154-09 (153-29L/154-24H) 

* Dec 10-yr futures down 5/32 at 124-30.5 (124-28.5L/125-04.5H) 

* Dec 5-yr futures down 2.75/32 at 116-28.75 (116-27.5L/116-31.5H) 

* Dec 2-yr futures down 1.25/32 at 107-14.5 (107-14.5L/107-16H)

US EURODLR FUTURES CLOSE: Steady to lower at closing bell, curve modestly

steeper as Greens underperform in quiet session with volume around half of day

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

* Dec 17 unch at 98.45 

* Mar 18 -0.005 at 98.28 

* Jun 18 -0.015 at 98.13 

* Sep 18 -0.025 at 98.04 

* Reds (Dec 18-Sep 19) -0.025 to -0.02 

* Greens (Dec 19-Sep 20) -0.025 

* Blues (Dec 20-Sep 21) -0.025 to -0.02 

* Gold (Dec 21-Sep 22) -0.02

US SWAPS: Spds are running mixed by the close, short-end tighter while long-end

is wider. Muted flow, but there was a couple of large curve trades going through

earlier with over 500k DV01 of a 5Y-6Y-7Y fly going through which appeared to be

receiving in the belly. While there appeared paying in the belly of a 4Y-5Y-6Y

fly in over $380k DV01. Latest spread levels: 

* 2Y -0.32/17.23 

* 5Y -0.38/6.88 

* 10Y +0.70/-0.05 

* 30Y +0.125/-21.375

Eurodollar/Treasury Option Summary:

Eurodollar options: 

Pit/Screen:

* 20k Mar8 mid-curve (0EH8) 97.875 puts at 7 vs EDH9 at 97.94

Tsy Options:

Pit/Screen:

* +2.5k FVZ7 116.75 puts at '00+

* TUF8 107.50 calls bought at '02 in total of 6.8k

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

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