US TSYS MIXED, STEEPER;HSE TAX VOTE TUES, SENATE TUES EVENING?

     US TSYS SUMMARY: Treasuries end Mon mixed, long end weaker amid curve

steepeners; Tsys hurt, stocks gain on hope for midweek passage in Congress of

GOP tax bill. US Hse vote may be Tue afternoon; US Sen vote may be Tue evening,

said AP. 

- Tsys had large steepening as curves unwind part of last wk's flattening that

pushed curve to 10-yr+ tights. US banks shares up on hope tax bill wld aid. 

- Quiet resumption of risk-on theme w/equities surging early, holding gain into

midday (large 1,250+-stock name buy program after open). 

- Tsy futures: block buys TYH +5k 124-12. +5k 124-13.5) pushed 10Y futrs to

day's high. Decent Eurodlr 1Y midcurve put buying targeting 1Q18 rate-hike

insurance. Also large buyer +40k EDM8/EDU8 spds, 0.100. Mild morning dip buying

in 2Y, 3Y, 5Y cash Tsys; 10Y, 30Y saw intermittent sales. MBS earlier had mild

tightness, then turned mixed later. 

- Pres. Trump cited national security strategy; Nikkei Asian Review: Trump

strategy "leans on military power to counter China." 

- TSYS 3PM ET: 2Y 1.832%, 3Y 1.945%, 5Y 2.167%, 7Y 2.305%, 10Y 2.392%, 30Y

2.744%

US TSY FUTURES CLOSE: Mostly weaker, long end underperforming all session as

curve rebounds from last week's 10+ year lows. Light pre-holiday volume

(TYH<640k). Current futures levels: 

* Mar Ultra bonds down 1-19/32 at 167-16 (167-08L/169-01H) 

* Mar 30-yr Bond futures down 1-3/32 at 153-06 (153-02L/154-08H) 

* Mar 10-yr futures down 5.5/32 at 124-08 (124-06.5L/124-13.5H) 

* Mar 5-yr futures down 1/32 at 116-09.25 (116-06.75L/116-11.75H) 

* Mar 2-yr futures up .5/32 at 107-03.75 (107-02L/107-04H)

US EURODLR FUTURES CLOSE: Lower across the strip, long end underperforming,

at/near session lows late, mirroring Tsy curve steepening on late curve unwinds.

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

* Mar'18 -0.010 at 98.220 

* Jun'18 -0.005 at 98.075 

* Sep'18 -0.015 at 97.975 

* Dec'18 -0.010 at 97.890 

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

* Green pack (Mar'20-Dec'20) -0.010-0.020 

* Blue pack (Mar'21-Dec'21) -0.020-0.030 

* Gold pack (Mar'22-Dec'22) -0.040-0.045

US SWAPS: Spds mixed by the closing bell, spd curve vs. 2s flatter, session lows

vs. steepening in Tsys. Second half rate paying in 2s and 5s, curve unwinds vs.

10s and 30s on light size. First half flow included small $47.2k DV01 3Y-5Y

STEEPENER, switch in 2s around 2.039-2.03875% and 8s around 2.329-2.305%;

earlier flatteners in 2s10s and 12s30s, receiving in belly of 5Y-7Y-10Y fly. OTC

and exchange traded option vol lower/off session lows in late trade; decent

buying limited downside Eurodollar put flys bought in latter, 1Q18 downside

insurance buying. Latest spread levels: 

* 2Y +1.56/20.25 

* 5Y +0.56/5.06 

* 10Y -0.44/-1.38 

* 30Y -0.50/-20.25

US OUTLOOK:

- Dec 19 Nov housing starts (1.29M, 1.250M) 0830ET

- Dec 19 Nov building permits (1.316M, 1.273M) 0830ET

- Dec 19 Q3 current account balance (-$123.1B, -116.3B) 0830ET

- Dec 19 16-Dec Redbook retail sales m/m (-0.7%, --) 0855ET

- Dec 19 US Treasury four-week T-Bill auctn (announce Dec18) 1130ET

- Dec 19 Minn Fed Kashkari Q&A: Lambda Alpha Intl, Minn. 1310ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 5,000 short Jun 81/Green Jun/Blue Jun 80 call strip, 13.5 total/covered

* 2,000 Blue Mar 73 puts, 3.0 vs. 97.62

* another +8,000 (+23k total) short Apr 73/76/77 1x4x2 broken put flys, 2.0 net

limited downside put buying continues

* +25,000 short Feb 76/77/78 put flys, 3.5 vs. 97.835/0.05, adds to 5k bought

* another +15,000 short Apr 73/76/77 broken put flys on a 1x4x2 ratio, 2.0 net

after 2k traded on splits at 1.75 w/5,000 short Feb 76/77/78 put flys, 3.5

* 4,000 Green Mar 78/81/83 call flys, screen

* +3,000 Green Feb 73/76 put spds, 3.5

* +2,500 short Mar 78 straddles, 18.0

structures targeting 1Q18

* +5,000 short Feb 76/77/78 put flys, 3.5

* +2,000 short Apr 73/76/77 broken put flys on a 1x4x2 ratio, 1.75 net/splits

* -25,000 Jan 85 calls, cab

* 4,000 short Mar 82/Blue Mar 81 call spds, 0.5 db/Blue Mar over

Tsy options, Pit/screen:

* 1,500 FVF 116.25 conversion, 0.0

* 1,000 USF 157 calls, 1/64 vs. 153-24

* -2,000 TYF 124.5 straddles, 26/64

* 2,000 TYF 124 puts, 5/64 vs. 124-11

* 3,000 FVG 116.25/117 call spds, 16.5

* -1,000 TYH 124.5 straddles 61/64 over the TYF 124 straddle

* 700 TYF 123.5/123.75/124/124.25 put condors, 4/64

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

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