US TSYS END MIXED/FLATTER AS SELLOFF STOPS;GOOD 5Y TIPS REOPEN

REFILE: Corrects 5Y TIPS Reopening typo to read 71.7% Indirects 

     US TSYS SUMMARY: Treasuries end Thu mixed/flatter, long end gains amid

consolidation day after 3day selloff. Mkt had strong $14B 5Y TIPS reopening:

stopped thru to 0.370% yield, high 71.7% indirects, solid 12.23% directs, left

only record-low 16.12% for dealers to mop up. Congress seems working on Tsy

limit; recall temporary debt limit lift expires Fri Dec. 22. 

- US weekly initial jobless claims up 20K; 3Q GDP 3rd estimate +3.2%. 

- Tsys saw early pre-leading indicator flow of real$ selling 5s and 10s, buying

off-the-run 2s and 3s, fast$ doing flatteners in 5s vs. 10s and 30s. Long end

rose late morning with real$ buying long end futures and cash Tsys esp. 30y

bond. Tsys mirrored core EGBs coming into NY, opened bid, pared gain soon after,

followed core EGB lead into midmorning. 

- Levels rebounded w/Bunds, prop and real$ buying 10s and 30s after fast$

selling in intermediates. More long-end Tsys buys done, and curve flattenerstoo.

- Month-end: BBG/Barclays Tsys index extends 0.07yrs, Agencies 0.12yrs. 

- TIPS outperformed nominal Treasuries.

- TSYS 3PM ET: 2Y 1.878%, 3Y 1.997%, 5Y 2.245%, 7Y 2.395%, 10Y 2.481%, 30Y

2.833%

US EURODLR FUTURES CLOSE: Trading mixed into the close, long end support

mirroring flattening in Tsys. Current White pack (Mar'18-Dec'18):

* Mar'18 +0.000 at 98.210

* Jun'18 -0.005 at 98.050

* Sep'18 -0.005 at 97.940

* Dec'18 -0.010 at 97.840

* Red pack (Mar'19-Dec'19) -0.010-0.015

* Green pack (Mar'20-Dec'20) -0.010-0.005

* Blue pack (Mar'21-Dec'21) steady to +0.005

* Gold pack (Mar'22-Dec'22) +0.005-0.015

US SWAPS: Spds mostly wider by the close, spd curve steeper vs. flattening in

Tsys. Light volume: 2-way in 4s and 5s, payers in 2s at 2.07375%., flattener

unwinds. OTC vol lower across the surface heading into the holidays. Latest

spread levels: 

* 2Y -0.31/20.94 

* 5Y +0.25/4.81 

* 10Y +0.69/-1.56 

* 30Y +1.69/-20.75

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

- Dec 22 Nov durables new orders (-0.8%, 2.3%)/ex trans (0.9%, 0.6%) 0830ET

- Dec 22 Nov personal income (0.4%, 0.4%) 0830ET

- Dec 22 Nov current dollar PCE (0.3%, 0.4%) 0830ET

- Dec 22 Nov total PCE price index (0.1%, --)/core PCE (0.2%, 0.1%) 0830ET

- Dec 22 Dec Philadelphia Fed Nonmfg Index (19.3, --) 0830ET

- Dec 22 Nov new home sales (685k, 658k) 1000ET

- Dec 22 Nov bldg permits revision 1000ET

- Dec 22 Dec Michigan sentiment index (f) (96.8, 97.0) 1000ET

- Dec 22 Nov BLS state payrolls (240.7K, --) 1000ET

- Dec 22 Dec Kansas City Fed Mfg Index (16, --) 1100ET

- Dec 22 Q4 St. Louis Fed Real GDP Nowcast 1100ET

- Dec 22 Q4 NY Fed GDP Nowcast 1115ET

- Dec 22 US Financial Futures Close Early 1300ET

- Dec 22 US Cash Bonds/Treasuries Early Close 1400ET

- Dec 22 Dec Treasury Allotments (p) --/-- b USD 1500ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +8,000 short Mar 81/82 1x2 call spds, 0.0

* -10,000 Green Mar 76/Green Jun 73 put spd, 3.0

* +5,000 short Mar 75 puts, 1.0

* -4,000 Blue Jun 73/76 2x1 put spds, 1.0

* -3,500 Green Mar 73/78 call over risk reversals, 1.0 net vs. 97.645

* +/-4,000 short Sep 77/Blue Sep 75 straddle spds, 78.0

* +3,500 Jan 77/78/80 put flys, cab

* +10,000 Jun 78/80 2x1 put spds, 2.5

* -5,000 Apr 78/80 put strip, 3.5, 1.5 net debit package

* 5,000 Sep 82/85 call spds, 6.5 vs. 97.955/0.30%

* 3,200 Dec 76 straddles, 42.0

* total 13,000 Mar 80/81 put spds, 1.0 (12k Blocked)

* 10,300 Sep 83/85 call spds

Tsy options, Pit/screen:

* 3,000 TYH 120.5/123 put spds, 29/64

* 1,200 TUH 106.8/107/107.1 put flys, 1.5/64

30Y ratio iron fly

* appr 3,600 USH 151 straddles, 3-55/64 vs.

* 6,300 USH 146/156 strangles, 54- to 53/64

* Screen total 26,100 TYG 123 puts, 22/64

* total 3,000 TYG 123/123.5 put strips, 52- to 53/64 vs.

* total 4,000 TYG 124.5 puts, 1-9/64 vs. 123-17

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

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