US TSYS: FED WALK BACKS TOO LITTLE TOO LATE?

US TSY SUMMARY: Tsy trading mixed with the short end outperforming; strong

volume (TYH 1.22M); Curves steeper. Data today consisted of US GDP 3Q, Personal

Consumption, Core PCE, Durable Goods, US PCE, Personal Income, Spending, and

UofM Sentiment; Tsy largely ignored todays data;

-The Fed came out today with several different statements changing the tone on

all the things that spooked the markets Wednesday

-Cleveland Fed President Mester spoke on radio saying, "*FED'S MESTER: GLOBAL

OUTLOOK HAS SOFTENED SOMEWHAT-bbg" and "*MESTER: WILL CAREFULLY MONITOR WHAT

MKTS SAYING ABOUT ECONOMY-bbg"

-NY Fed President Williams went on CNBC today to give his thoughts which led to

a risk-on price action; Tsy slipped while equities and stocks spiked to session

highs

-Equities fall (emini -54.25, 2432.00) with a low of 2431.25; WTI down (WTI

-0.46, 45.42), DXY higher (+.727, 97.003); $/Eur -0.0085 at 1.1361, $/Yen +0.03

111.31; Gold (XAU -4.20, 1255.70)

-Tsy cash/ylds: 2Y 100-6.75 (2.635%), 5Y 101-2.75 (2.637%), 10Y 102-28 (2.788%),

30Y 106-25.5 (3.027%).

US TSY FUTURES CLOSE: Tsy trading mixed with the short end outperforming; strong

volume (TYH 1.22M); Curves steeper; update:

* 2s10s +1.527, 15.096 (11.345L/15.304H);

* 2s30s +1.274, 38.854 (33.882L/39.717H);

* 5s30s +0.773, 38.682 (34.910L/39.507H);

Current futures levels:

* Mar Ultra bonds down 13/32 at 160-11 (159-20L/160-31H)

* Mar 30-yr Bond futures up 01/32 at 144-27 (144-11L/145-06H)

* Mar 10-yr futures down 01/32 at 121-01 (120-28.5L/121-03H)

* Mar 5-yr futures up 2.75/32 at 114-00 (113-25L/114-0.25H)

* Mar 2-yr futures up 02/32 at 105-28 (105-25L/105-28.25H)

US EURODOLLAR FUTURES CLOSE: Trading mixed with the front end outperforming;

moderate volume. Current White pack (MAR'19-DEC'19):

* MAR'19 +0.005 at 97.235

* JUN'19 +0.015 at 97.225

* SEP'19 +0.030 at 97.220

* DEC'19 +0.035 at 97.200

* Red pack (MAR'20-DEC'20) +0.030-0.010

* Green pack (MAR'21-DEC'21) -0.015-0.005

* Blue pack (MAR'22-DEC'22) -0.030-0.020

* Gold pack (MAR'23-DEC'23) -0.020

US DOLLAR LIBOR: Latest settles,

* O/N +0.0038 to 2.3916% (+0.2069/wk)

* 1 Month +0.0025 to 2.5063% (+0.0512/wk) 

* 3 Month -0.0022 to 2.8216% (+0.0208/wk)

* 6 Month +0.0079 to 2.9079% (+0.0074/wk)

* 1 Year +0.0077 to 3.0731% (-0.0246/wk)

US TSYS: *** /REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): 2.41% vs. 2.30% prior, $963B

* Broad General Collateral Rate (BGCR): 2.40% vs. 2.29% prior, $418B

* Tri-Party General Collateral Rate (TGCR): 2.40% vs. 2.29% prior, $401B

US SWAPS: Latest spd levels:

* 2Y -0.13/15.50

* 5Y +0.23/9.50

* 10Y +0.38/4.30

* 30Y -0.05/-11.80

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

24-DEC  Christmas Eve   No Events Scheduled

25-DEC  Christmas Day   No Events Scheduled

     PIPELINE: NO NEW ISSUANCE SO FAR THIS WEEK

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 5,000 Short Jan 68/70 1x2 call sprd at 13

* -15,000 Jan 73/75/76 call fly at 0 vs 9722/0.08%

* +4,000 Wk1 121.5/122.5 call sprd at 1 over the TYF 121 calls

* 5,000 Mar 68 puts at 0.5 vs 9719.5/0.05%

* Total +50,000 Dec 68/70 put sprd at 4.25 on legs

* 4,000 Short Mar 72/73 1x2 call sprd at 3.5

* 4,000 Short Jan 70/71 put sprd at 1.5

     US TSY OPTIONS

US TSY OPTIONS: Latest trade,

* 4,000 TYG 121 Straddle at 108

* -6,000 TYF 121.25 calls at 1

* Total +60,000 TYG 122.5 calls at 11

* Total +6,000 TYG 119.5/121 3x2 put sprd at 51 vs 0.5/0.66%

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]