US TSYS HIGHER AMID N.KOREA-TIED SAFE-HAVEN BID INTO WEEKEND

     US TSYS SUMMARY: Treasuries prices ended higher Friday but off the day's

price highs amid rangebound wait to see how weekend passes amid threats by

N.Korea dictator Kim Jung Un to set off hydrogen bomb over Pacific. Tsys began

NY higher after overnight safe-haven buying on NK threats. Real$ early tried to

push Tsys long end lower, did not succeed so gave up and mkt crept higher. Those

who set shorts after FOMC meeting outcome/Dec hike hints forced to cover by

price action, then sat still into wkend. 

- Black boxes early on bought Tsys amid weak US dollar/firmer yen, then reversed

trade later as the US dollar firmed up. Tsys had technical sales as TY 10Y Tsy

futures could not break over 125-28 upside pivot, nor could cash 10Y break over

100-00 upside pivot. Heavy selling in TY 10Y Tsy futures: 90K from 125-28 to

125-24 in 5 minutes. Tsy 5/30Y curve saw mild steepen, 2/10Y, 2/30 flatten. 

- Tsy 10Y futures saw two late buys of 5,000 each at 2:00pm ET and at 1:55pm ET.

- Early think tank report said perhaps rate hikes could number 2, not 3 in 2018

if inflation not buoyed & tax/infrastructure spending not stimulative enough. 

- TSYS 3PM ET: 2Y 1.443%; 3Y 1.58%; 5Y 1.873, 7Y 2.101%, 10Y 2.264%, 30Y 2.796%.

US TSY FUTURES CLOSE: Trading firmer after the bell, well off first half highs

to low end of range. Quiet end to FOMC week as curve comes off flatter levels.

No corp/supra sov issuance, no react to second tier data. Current futures

levels: 

* Dec Ultra bonds up 11/32 at 166-28 (166-19L/167-17H) 

* Dec 30-yr Bond futures up 6/32 at 154-02 (153-29L/154-19H) 

* Dec 10-yr futures up 4.5/32 at 125-24.5 (125-18.5L/125-30H) 

* Dec 5-yr futures up 2.75/32 at 117-22.5 (117-19.25L/117-25.75H) 

* Dec 2-yr futures up .5/32 at 107-28.5 (107-28L/107-29.5H)

US EURODLR FUTURES CLOSE: Mildly higher across the strip, tail end Whites

through Reds lagging. Decent late selling front quarterly (-19.1k EDZ 98.505,

+0.010). Rate hike probability declined to 68.0 vs. 71.1% late Thu. Current

White pack (Dec'17-Sep'18): 

* Dec'17 +0.015 at 98.510 

* Mar'18 +0.010 at 98.410 

* Jun'18 +0.000 at 98.315 

* Sep'18 +0.005 at 98.250 

* Red pack (Dec'18-Sep'19) +0.010 

* Green pack (Dec'19-Sep'20) +0.015-0.020 

* Blue pack (Dec'20-Sep'21) +0.025-0.030 

* Gold pack (Dec'21-Sep'22) +0.025-0.030

US SWAPS: Spds hold marginally tighter levels by the close, spd curve mildly

steeper on narrow range all session, early receivers turned two-way. OTC vol

steady to mixed, gamma firmer. Latest spread levels: 

* 2Y -0.44/26.88 

* 5Y +0.06/8.69 

* 10Y -0.25/-3.12 

* 30Y -0.06/-31.06

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

- Sep 25 NY Fed Dudley, "Workforce Developmnt" Syracuse, NY Q&A 0830ET

- Sep 25 Sep Dallas Fed manufacturing index (17.0, --) 1030ET

- Sep 25 US Tsy $42.0B 13-Week Bill auction 1130ET

- Sep 25 US Tsy $36.0B 26-Week Bill auction 1130ET

- Sep 25 Chic Fed Evans: lunch Econ Club of Grand Rapids, MI Q&A. 1240ET

- Sep 25 MinFed Kashkari: Eye of Hawk Twn Hall, Grand Forks, ND Q/A 1830ET

Eurodollar/Treasury option summary

Eurodollar options,

Blocks:

0520ET

+5k EDM 80/82p spd w/EDU 77/80p spd, 9.5

1157ET

10k EDZ 86c, 1.5 vs. 98.51/0.35%

1353ET

10k E2X 77/78/80p trees, 3.5

1411ET, more in pit/on screen

+10k EDZ 87c, cab

Pit/screen:

+90k EDZ 87c, cab, closer

+40k EDM 81/82p spds, 4.0 vs. 98.32/0.10%

11k EDZ 86c, 1.5 vs. 98.51/0.35%

+9k EDZ 83/85 2x1p spds, 3.75

-8k EDZ 83/85p spds, 4.25

-3k EDV 85 straddles, 3.75

5k EDM'19 77/80p spds,

3.75k EDZ 83/85 2x1p spds, 3.75

1k EDZ 85/86p spds, 8.5

+10k EOV 82/83 1x2c spds, 0.75

6k EOZ 83/85 2x3c spds

-5k EOZ 80p, 2.5

+5k EOZ 80/81/82p flys, 3.5 w/

+20k EDZ 87c, cab

Off-ratio Fly:

-5k EOZ 82p, 16.0 vs.

+8.75k EOZ 81p, 9.0 vs.

-3.5k EOZ 80p, 5.0

2k EOZ 82/83 2x3c spds, 4.0

15k EDZ 77/80p spds, 8.5 vs. 97.995/0.30%

+2k E3Z 78 straddles, 26.0

Tsy options

Block:

1126ET

10k TYX 128c, 6 vs. 125-26.5/0.10%

Pit/screen:

+3.7k TYZ 123/124/125+p flys, 21

+2.7k TYX 125/126+ strangles, 37

2.6k TYX 125/127 strangles vs.

TYZ 123+/128+ strangles, 12 net

2k TYX 127/128c spds, 8

2k TYX 125+p, 29

+10k USZ 140p, 2

2k USX 156/160 1x2c spds, 28

2k USX 156/158/159c flys, 18

+5k FVZ 14.2p, 1

+4.2k FVZ 117.7 straddles, 41.5-40.5

+2k FVZ 114.2/114+p spds, 2

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

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