US TSYS INTERMEDIATES, LONG END RISE IN LIGHT VOLUME; SO-SO 2Y

     US TSYS SUMMARY: Treasuries ended Tuesday with 5Y-30Y stronger, 2Y-3Y

weaker amid curve-flattening flows and a soft/mixed $26B 2Y note auction (2Y

auction drew 1.922% rate, fairly soft 40% indirects (least since Dec 2016

32.74%,), near-avg 14.5% directs, leaving fairly large 45.5% for dealers; 2.52x

bid/cover. 

- Tsys began NY weaker then firmed into midday, ending off late morning highs as

long end outperformed into 2Y auction. Mild US$ weakening aided Tsys with

FX-tied bid; curve flattening with supply-tied hedding kept short-end anchored. 

- Light post-Christmas trading volume (TYH 10Y futures 270,997); Little to no

react as Oct. Case-Shiller home price index up 0.7%. No LIBOR sets Tues amid UK

holiday. 

- NYMEX crude oil rose: WTI near $60, most since mid-2015 as alleged terrorists

blew up Libya pipeline; Natl Oil Corp estimated -100K output drop (Bloomberg.) 

- US swaps spds tight. US high-grade corporate bond issuance absent. 

- OVERNIGHT REPO: Tsy 10Y, 5Y tight. 

- TSYS 3PM ET: 2Y 1.903%, 3Y 2.017%, 5Y 2.237%, 7Y 2.381%, 10Y 2.468%, 30Y

2.813%.

US TSY FUTURES CLOSE: Treasury futures ended Tuesday mainly higher across the

curve on light volume.

- Current futures levels:

* Mar Ultra bonds up 28 at 165-17 (164-08L/165-25H)

* Mar 30-yr Bond futures up 20/32 at 151-20 (150-24L/151-25H)

* Mar 10-yr futures up 5+/32 at 123-21+ (123-13+L/123-21+H)

* Mar 5-yr futures up 2.25/32 at 115-31 (115-27L/115-31H)

* Mar 2-yr futures up 0.25/32 at 107-00.25 (106-31L/107-00.25H)

US SWAPS: Spds ended Tues tighter amid light 2-way curve flow in short end, flys

$219k 5Y-6Y-7Y Fly, paying the belly, $301.4k 3Y-5Y-10Y Fly, paying the belly.

Latest spread levels:

* 2Y -1.38/19.38

* 5Y -0.09/4.41

* 10Y -0.63/-2.88

* 30Y -1.00/-23.00

US EURODLR FUTURES: Trading ended Tuesday mainly higher on light post holiday

volume, Reds (EDH9-EDZ9) underperforming; no LIBOR sets due to London holiday,

resumes Wednesday. 3M LIBOR had gained +0.0745 last week, settling at 1.6858%

last Friday. Current White pack (Mar'18-Dec'18):

* Mar'18 up at 98.205

* Jun'18 up at 98.040

* Sep'18 down at 97.925 (vs. Fri close 97.930)

* Dec'18 up at 97.825

* Red pack (Mar'19-Dec'19) up at 97.765

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

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

* Gold pack (Mar'22-Dec'22) up 0.030

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

- Dec 27 22-Dec MBA Mortgage Applications (-4.9%, --) 0700ET

- Dec 27 23-Dec Redbook retail sales m/m (-0.4%, --) 0855ET

- Dec 27 Nov NAR pending home sales index (109.3, --) 1000ET

- Dec 27 Dec Conference Board consumer confidence (129.5, 128) 1000ET

- Dec 27 Dec Dallas Fed services index (20.4, --) 1030ET

- Dec 27 US Tsy $13B 2Y FRN reopening auction 1130ET

- Dec 27 US Tsy $34B 5Y Note Auction 1300ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +10,000 short Mar 81/82 1x2 call spds, 0.0

* 5,000 Jun 77/78 2x1 put spds, 0.5

* total +10,000 Green Apr 73/78 put over risk reversals, 0.0

* -2,500 Blue Feb/Blue Mar 75 straddle stupid, 42.0

* +20,000 short Sep 80 calls, 7.0 vs. 97.685/0.24%

* +4,000 short Jun 81 calls, 3.0 vs. 97.73/0.14%

* +3,000 Green Apr 73/78 put over risk reversals, 0.0

* -1,500 Blue Jan 75 straddles, 11.0 vs. 97.54/0.26%

Tsy options, Pit/screen:

* +4,700 TYG 125/126 call spds, 4/64, adds to 1k bought at 3/64 earlier

* 5,000 TYG 121/121.5/122.5 put flys, 5/64

* 1,000 TYG 125/126 call spds, 3/64

* +750 TYH 125/128 1x2 call spds, 10/64

* small wk1/wk2 FV 115.75 straddle spd, 15/64 vs. 115-27.7

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

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