US TSYS END NEXT-TO-LAST 2017 DAY SOFTER; 2WAY POSITION TWEAKS

     US TSYS SUMMARY: Tsys ended Thurs mildly weaker on next-to-last 2017

trading day, with mixed curve action amid 2way flow, last-minute trades into

Fri, Dec29 yr-end. Tsy had mixed/OK $28B 7Y auction that tailed to 2.370% (but

later had a profit); 2.55 bid/cvr, fairly good 60.5% indirect, 13.14% directs,

26.4% dealers. 

- Tsys were hit pre-auction by block sale: -6.000 USH Classic Bond futures at

152-20, a sell through -23 bid, 12:49pm ET. After auction, Tsys had

redistribution sales of 7Y notes in muted two-way flows, included dip buying. 

- Cash Tsys, futures began NY weak as hurt by EGBS, then held weaker levels into

midday, near midrange on light yearend volume (TYH 610K by day's end). Curves

mixed w/short end steepening off recent 10+ yr low. Morning pre-auction

shorts/sales into 7Y sale. No high-grade corporate deals. 

- Mild buying post wkly claims (steady at 245k), little/no react to higher 67.6

MNI Chicago Business barometer. Mixed curve flow on light volume, steepener

unwind in 2s vs. 10s and 30s, 5s/30s flatteners. Modest mo/qtr/yr end buying;

most done Wed? Eurodlr futures mostly weaker, light short end buys.

- TSYS 3PM ET: 2Y 1.911%, 3Y 1.998%, 5Y 2.235%, 7Y 2.356%, 10Y 2.432%, 30Y

2.755%.

US TSY FUTURES CLOSE: Lower across the board on late chop, near mid-range on

light volume. Decent -6k USH Block sale knocked futures lower into the 7Y

auction, with levels gradually recovering in post supply re-distribution. Curves

mostly flatter/new lows after steeper start. Late curve update: 

* 2s10s +0.563, 52.125 (53.329H/51.485L) 

* 2s30s -0.449, 84.655 (87.470H/84.270L) 

* 5s30s -2.782, 52.241 (55.632H/51.843L). 

Current futures levels: 

* Mar Ultra bonds down 11/64 at 167-03 (166-17L/167-13H) 

* Mar 30-yr Bond futures down 9/32 at 152-21 (152-13L/152-29H) 

* Mar 10-yr futures down 5/32 at 123-26.5 (123-24.5L/123-31H) 

* Mar 5-yr futures down 2.25/32 at 116-02.25 (116-00.75L/116-04.25H) 

* Mar 2-yr futures down .75/32 at 107-01 (107-00.5L/107-01.75H)

US EURODLR FUTURES CLOSE: Steady to mixed in the short end to mildly lower out

the strip. Front end bid all day w/3M LIBOR rise slowing into year end. Current

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

* Mar'18 +0.010 at 98.235

* Jun'18 +0.005 at 98.065 

* Sep'18 +0.000 at 97.950 

* Dec'18 -0.010 at 97.840 

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

* Green pack (Mar'20-Dec'20) -0.020-0.015 

* Blue pack (Mar'21-Dec'21) -0.020-0.015 

* Gold pack (Mar'22-Dec'22) -0.020

US SWAPS: Spds hold mildly wider after the bell amid light but varied flow

through the session: 300M 5y receiver at 2.25967%; $61.5k DV01 2Y6Y flattener;

5Y switch around 2.26967-2.26812%; $91.7k DV01 3s4s steepener; $240M 5Y payer,

2.270%. OTC vols lower across the surface. Latest spread levels: 

* 2Y +0.38/18.19 

* 5Y +0.06/3.19 

* 10Y +0.06/-1.62 

* 30Y +0.56/-20.94

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

- Dec 29 Q4 St. Louis Fed Real GDP Nowcast (+3.02%, --) 1100ET 

- Dec 29 Q4 NY Fed GDP Nowcast (+3.9%, --) 1115ET

Eurodollar options, Pit/screen:

* 10,000 Dec 77/80 strangles, 17.5

* 22,500 Dec 77/82 2x1 put spd, 23.0, 1-leg over

* 2,500 short Jan 77/80 6x1 put spds, 10.0

* 5,000 Feb 85/86/87 1x3x2 call flys, 0.0

* 1,000 Jun 77/78/80 2x3x1 put flys, 2.25

* 3,700 Mar 81/82/83 2x3x1 put flys, 1.0 net/belly over

* 5,000 Dec 73/76 put spds, 4.0

* screen volume light, under 35k

Tsy options, Pit/screen:

* total 4,500 FVG 116.5 calls, 6.5/64 vs. 116-02.5

* 4,000 TYG 124.5 calls, 13/64

* 1,200 TYG 123.5 puts, 18/64 vs. 123-28/0.37%

* 1,000 wk1 FV/FVG 116 straddle spds, 15/64 vs. 116-03.25

* 4,500 TYH 122/126 call over risk reversals, 0.0 vs. 124-00.5

* 1,155 TYH 124.5 calls, 26/64 on screen

* 1,132 TYG 125.25/126.5 call spds, 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$]