US TSYS END HIGHER, FLATTER; SO-SO 5Y SALE LATER TURNS PROFIT

     US TSYS SUMMARY: Treasuries ended Wed higher, flatter as 30Y, 10Y note esp.

drew buying; striking as $34B 5Y auction drew so-so demand, but later had profit

in aftermkt. The $13B 2Y FRN reopening had reasonably good bid: 3.5bp discount

margin; strong 62.7% indirects bids, no directs, left small 37.3% for dealers. 

- 5Y sale soft as tailed 1.6bp to 2.245%; 58.4% indirects, 7.94% directs, 33.7%

dealers, 2.36 cover; but buying came right after and 5Y sale soon traded at

profit. 

- Tsys began NY weak then firmed, stealthy bid/short-cover. Tsy futures buying

in 10Y TYH8 from 123-20 to 123-20+ for 10,000 before 8:22am ET. Natural gas rost

about 3.6%, NYMEX crude oil -0.52%; copper hit multi-yr highs. Tsys aided by

soft 122.1 Dec Conf Bd Consumer Confidence index, 0.2% NAR Nov pending home

sales.

- Tsys had late apparent sale on Classic Bond futures: 6,816 USH8 at 2:20pm ET.

- US swaps end wider except 2yr; had been US$170M receiver 5Y at 2.29602%. 

- TSY 3PM ET: 2Y 1.899%, 3Y 1.989%, 5Y 2.200%, 7Y 2.336%, 10Y 2.414%, 30Y

2.747%.

US TSY FUTURES CLOSE: Treasuries woke up at around 0800ET and rallied strongly

higher even after soft 5-yr Tsy auction, before large block sell in 10-yr long

bond brought rally to abrupt end. Latest curve update: 

* 2s10s -6.11, 51.12 (57.206H/50.580L) 

* 2s30s -7.67, 84.456 (91.605H/83.410L) 

* 5s30s -3.57, 54.485 (57.738H/53.394L). 

- Current futures levels: 

* Mar Ultra bonds up 63/32 at 167-15 (165-05L/167-22H) 

* Mar 30-yr Bond futures up 42/32 at 152-30 (151-12L/153-04H) 

* Mar 10-yr futures up 10.5/32 at 123-30.5 (123-17L/124-00.5H) 

* Mar 5-yr futures up 5.25/32 at 116-04 (115-29.25L/116-04.75H) 

* Mar 2-yr futures up 1.5/32 at 107-01.5 (106-31.5L/107-01.75H)

US EURODLR FUTURES CLOSE: Futures close higher, curve flatter as Blue and Gold

contracts outperform reversing early mixed/steeper opening. Some micro-curve

flattening seen in red Dec/blue Dec, but steepener in white Dec/red Dec. Current

White pack (Mar'18-Dec'18): 

* Mar 18 +0.02 at 98.225 

* Jun 18 +0.02 at 98.06 

* Sep 18 +0.02 at 97.95 

* Dec 18 +0.025 at 97.85 

* Reds (Mar 19-Dec 19) +0.025 to +0.03 

* Greens (Mar 20-Dec 20) +0.03 to +0.035 

* Blues (Mar 21-Dec 21) +0.035 to +0.04 

* Gold (Mar 22-Dec 22) +0.05

US SWAPS: Spreads end Wednesday wider with the exception of 2-yr which is

marginally tighter, led by the long-end. Earlier flow saw a paying in the belly

of a 10Y-15Y-20Y fly in $150k DV01, receiving in the belly of a 5Y-6Y-7Y fly in

$220k DV01 and small outright receiving in 4Y, 5Y, 6Y and 10Y. Latest spread

levels: 

* 2Y -1.75/18.0 

* 5Y +0.56/5.06 

* 10Y +1.06/-1.69 

* 30Y +1.525/-21.5

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

- Dec 28 0830 ** 23-Dec jobless claims 245K/238K

- Dec 28 0830 ** Nov advance goods trade gap -$69.1B/-- b USD

- Dec 28 0830 ** Nov advance wholesale inventories -0.4%/-- %

- Dec 28 0830 ** Nov advance retail inventories -0.1%/-- %

- Dec 28 0900 * Dec ISM-Milwaukee Mfg Index 59.62/--

- Dec 28 0945 ** Dec MNI Chicago PMI 63.9/64.0

- Dec 28 0945 * 24-Dec Bloomberg comfort index --/--

- Dec 28 1030 ** 22-Dec natural gas stocks w/w --/-- Bcf

- Dec 28 1100 ** 22-Dec crude oil stocks ex. SPR w/w -6.5/-- m bbl

- Dec 28 13:00pm ET US Tsy $28B 7Y Note Auction

- Dec 28 1500 * Nov farm prices -5.2%/-- %

- Dec 28 1630 ** 27-Dec Fed weekly securities holdings --/-- t USD

US Eurodollar Options Flows:

* +5k Short Mar 77/75/72 put fly vs Short Mar 76/75 2x3 put spread vs Front Apr

81/80/78 put fly at 7

* -5k Short Sep 80 calls EDU9 at 97.685 vs Green Sep 78 calls at 16.5 vs EDU0 at

97.595

* +5k Short Apr 73 puts at 1

-- Earlier: before 1:55pm ET:

* +4k Front Mar 83/85 call spread at 0.5 vs EDH8 at 98.215

* +5k Blue Jun 76/73 1x2 put spread at 1.5

* -11k Short Jun 80 puts at 31.5 -- total of 20k sold at 32/31.5

* -10k Red Dec 71 puts at 9 vs EDZ9 at 97.65

-- And before 1:49pm ET:

* -2k Green Dec 76 straddle vs Blue Dec75 straddle at 100.5

* +2k Red Mar 77 straddle at 35

* +2.5k Front Sep 77/76 1x2 put spread at 0.75

* +5k Front Jun 78/77 1x2 put spread at 0.5 vs EDM8 at 98.045

* +5k Front Jun 80/78 put spread vs Front Dec 76/75 put spread at 1.5

* +5k Short Mar 77/75/72 put fly vs short Mar 76/75 put spread at 9 vs EDH9 at

97.77

* +1k Short Sep 76 straddle at 35.5

* +1k Short Jan 77 straddle vs Short Mar 77 straddle at 10

* -30k Front Dec 80/77/73 put tree at

* +4k Short Apr 75/73 put spread at 11

* -8k Short Jun 80 puts at 32

-- And before 6:48am ET:

* +1.5k EDZ8 97.75 puts at 10.5

US Treasury options:

- Before 11:40am ET:

* -1.5k TYG8 124 calls at '23

- Before 11:06am ET: 10-yr Tsy option flow:

* +5,264 TYH8 123 puts at '24

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

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