US TSYS END FRIDAY YEAR-END HIGHER: 2-WAY FLOW, MONTH-END BID

     US TSYS SUMMARY: Treasuries prices ended a short yr-end Friday higher amid

2way flow, light volume. Earlier real/fast$ selling in cash long end followed by

month-end buying; much mo-end buy done earlier in week, said traders. 

- Ten-yr note saw fairly steady bid. Weak US$/yen helped Tsys on FX-tied buying.

- US stocks began higher then pared gain; sources cite US Pres Trump Tweet that

cited poor US Postal Service performance vs Amazon, said they shd be "charging

MUCH MORE!" (AMZN -7.629 at 1178.471). Apple shares declined (AAPL-1.03 at

170.05). Sources noted GS shrs ebbed after forecasted "$5Bln hit to qrtrly and

FY earnings due to new tax law;" (GS shrs cut loss to 73c.) 

- Some exited prior curve steepeners during day. 

- OVERNIGHT RP: Tsy G/C open 1.80% then 1.65%, 1.90%, 1.85% midmorn; MBS 2%. 

- US HIGH-GRADE CORPORATE BONDS: Nothing Fri; Brazil,Philippines eye New Yr.

- US TSY FUTURES: Had late blocks, both buys 

* +3,500 UXH (March 10Y Ultra) 133-18.5, buy through -18 offer at 1259:20 

* +12,902 FVH 116-05.75, but through -05.5 offer at time of post, 1300:17ET

- TSYS 1PM ET: 2Y 1.891%; 3Y 1.976%; 5Y 2.211%; 7Y 2.335%; 10Y 2.413%; 30Y

2.744%

US MONTH-END EXTENSIONS/UPDATED: Bloomberg-Barclays advance US month-end index

extensions compared to the average increase for the past year and the same time

in 2016. Small increases in the projected month-end extns in latest revision:

*.....................Projected...1Y Avg Incr..Last Dec

*US Tsys.................0.07........0.06........0.05

*Agencies................0.11........0.09........0.04

*Credit..................0.06........0.04........0.06

*Govt/Credit.............0.07........0.05........0.06

*MBS.....................0.07........0.11........0.11

*Aggregate...............0.06........0.06........0.07

*Long Govt/Credit........0.08........0.00........0.02

*Interm Credit...........0.06........0.04........0.05

*Interm Govt.............0.07........0.01........0.03

*Interm Govt/Cred........0.06........0.01........0.04

*High Yield..............0.09........0.00.......-0.02

US TSY FUTURES CLOSE: Finish shortened session higher, curves off early steeper

lvls as long end recovered from early sell pressure by midmorning, chopped

higher over last couple hours on light volume. Contributing factors included

weaker US$ that provided sporadic buy trigger fro FX accts; drop in equities off

early highs spurred some risk on unwinds. Incidentally, Goldman Sachs shares

fell "after forecasting $5 billion hit to quarterly and FY earnings due to new

tax law," sources say. Latest curve update:

* 2s/10s -0.323, 51.622 (54.069H/51.622L)

* 2s/30s +0.435, 84.936 (87.793H/84.270L)

* 5s/30s +1.114, 52.946 (54.486H/51.921L). 

- Current futures levels:

* Mar Ultra bonds up 15/64 at 167-22 (166-17L/167-24H)

* Mar 30-yr Bond futures up 10/32 at 153-01 (152-10L/153-03H)

* Mar 10-yr futures up 6.5/32 at 124-01.5 (123-26L/124-02H)

* Mar 5-yr futures up 3.25/32 at 116-05.5 (116-01.25L/116-05.75H)

* Mar 2-yr futures up 1/32 at 107-01.75 (107-00.75L/107-02H)

US EURODOLLAR FUTURES CLOSE: Mildly higher across the strip, at/near session

highs into early close. Current White pack (Mar'18-Dec'18):

* Mar'18 +0.005 at 98.240

* Jun'18 +0.010 at 98.075

* Sep'18 +0.010 at 97.960

* Dec'18 +0.020 at 97.860

* Red pack (Mar'19-Dec'19) +0.015

* Green pack (Mar'20-Dec'20) +0.020

* Blue pack (Mar'21-Dec'21) +0.025

* Gold pack (Mar'22-Dec'22) +0.025-0.030

US SWAPS: Spds running mildly mixed into the early close, spd curve holding

flatter all session on very light swap-tied flow, $151.1k DV01 2s10s steepener,

$106.6k DV01 5s10s flattener, $120M payer in 10s at 2.415%. Coming into the

session, small $47.1k DV01 3s5s flattener. O/N repo specials adding to widening

w/3s, 5s and old 5s and 10s all trading tight. Latest spread levels:

* 2Y +0.44/18.38

* 5Y +0.12/3.44

* 10Y -0.12/-1.44

* 30Y -0.38/-20.62

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

- Jan 01 US bond/stock markets/government holiday for New Year's Day

- Jan 02 Dec Markit Mfg Index (final) (55.0, --) 0945ET

- Jan 02 US Tsy $48.0B 13-Week Bill auction 1130ET

- Jan 02 US Tsy $20.0B 52-Week Bill auction 1130ET

- Jan 02 US Tsy $42.0B 26-Week Bill auction 1300ET

- Jan 02 US Tsy $50.0B 4-Week Bill auction 1300ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 26,000 Blue Jun 80 calls, 4.5 vs. 97.58/0.17%

* 2,500 Blue Jun 72/80 put over risk reversals, 1.5 vs. 97.575

* 1,500 Green Feb 75/76/77 call trees, 4.0

* total +15,000 Mar 78 puts, cab-- last wk Tues, appr 225,000 bought on

screen (pushing OI up 117k to 229k)

* +10,000 Jun 85 calls, 0.5 vs. -2,000 Jun 81/82 put spds, 9.5

* 2,000 Blue Jun 71/76/81 iron flys (strangle x2), 21.5 net

* +10,000 Mar 78 puts, cab on screen

* 4,500 short Jun 81 calls, 3.0 vs. 97.745/0.14%

* 4,500 Blue Jun 80 calls, 4.5 vs. 97.585/0.17%

* 5,000 Feb 81/83 call over risk reversals, 0.0 vs. 98.235/0.10%

* 5,000 short Feb 76/78 call over risk reversals, 2.5 vs. 97.79/0.42%

* 5,000 Jun 78/80 put spds, 3.75 vs.

* 5,000 Dec 75/76 put spds, 2.5

* 13,000 Apr 78/80/81 2x3x1 put flys, 2.0 net

* screen trade extremely light by the bell, <6k

Tsy options, Pit/screen:

* +6,000 TYG 118/118.5 put strip, cab-14; adds to Thu's +15k, OI up like amount

* +14,000 TYG 124.5 calls, 14/64 -- large offer faded, 13 bid at 15/64 out

* 1,750 USG 153/154 call spds, 25/64

* 2,400 TYH 122/126 call over risk reversals, 0.0 vs. 124-00

* -2,900 TYH 124 straddles, 1-22/64

* 3,000 TYG 123.75 straddles, 57/64

* 2,000 USG 154 calls, 43/64 vs. 152-19/0.32%

* 4,000 FVG 116.5 calls, 6.5/64 vs. 116-02.5/0.24%

* 1,625 TYG 125/126 call spds, 5/64 on screen

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

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