US TSYS: RISK-OFF UNDERPINNED LATE FRI, EQS' EXTEND SELL OFF

US TSY SUMMARY: Tsys see-sawed higher on day, underpinned later in second half

as equity sell-off accelerated, classic risk-off ahead weekend and prospect of

limited liquidity going into Christmas and New Years holidays.

- US equities chopped lower late (SPX -50.0 at 2598.75), Gold softer (XAU -3.03

at 1239.06), West Texas crude reversing Thu's gains (WTI -1.40, 51.18). 

- Muted react to today's data, Nov retail sales +0.2% vs +0.1% exp, but well

below +0.9% whisper; Nov IP +0.6% vs +0.5% expected. 

- Flow included +9,500 Eurodollar Red pack (EDZ9-EDU0) Block at 0.0325, Large

>70k EDZ9/EDH0 spd buys from 0.035-0.040, >10k EDU1/EDZ1 at 0.025 and >20k

EDU9/EDZ9 +0.035.

- Slow start to next week, data highlights for Monday (estimates): Dec Empire

Manufacturing Index (21.0 est), NAHB home builder index (58 est), net TICS flows

for October, 13- and 26W bill auctions. Focus more on next Wed's FOMC policy

annc, SEP/dots and press conference by the Fed chairman.

- Tsy cash/ylds: 2Y 100-01 (2.729%), 5Y 100-22 (2.724%), 10Y 102-01 (2.886%),

30Y 104-16 (3.141%)

TECHNICALS:

US TSY FUTURES CLOSE: Trading mildly higher in the middle of the range; strong

volume (TYH 1.23M); curves steeper; update:

* 2s10s +0.764, 15.464 (13.745L/15.772H);

* 2s30s +0.415, 40.950 (39.306L/41.504H);

* 5s30s +0.210, 41.535 (40.364L/42.639H);

Current futures levels:

* Mar Ultra bonds up 16/32 at 157-05 (156-16L/157-18H)

* Mar 30-yr Bond futures up 10/32 at 142-24 (142-11L/143-05H)

* Mar 10-yr futures up 5.5/32 at 120-13 (120-07L/120-19H)

* Mar 5-yr futures up 4.25/32 at 113-18 (113-13.5L/113-21.75H)

* Mar 2-yr futures up 1.5/32 at 105-21.5 (105-19.75L/105-23.25H)

US EURODOLLAR FUTURES CLOSE: Trading mixed with EDZ8 trading -0.25 tick lower

while the rest of the strip trades mildly higher; strong volume. Current White

pack (DEC'18-SEP'19):

* DEC'18 -0.0025 at 97.1950

* MAR'19 +0.020 at 97.220

* JUN'19 +0.025 at 97.170

* SEP'19 +0.020 at 97.130

* Red pack (DEC'19-SEP'20) +0.040-0.035

* Green pack (DEC'20-SEP'21) +0.050-0.040

* Blue pack (DEC'21-SEP'22) +0.040-0.035

* Gold pack (DEC'22-SEP'23) +0.035-0.030

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0004 to 2.1847% (+0.0039/wk)

* 1 Month -0.0001 to 2.4550% (+0.0548/wk) 

* 3 Month +0.0125 to 2.8007% (+0.0297/wk)

* 6 Month -0.0003 to 2.9005% (+0.0147/wk)

* 1 Year -0.0146 to 3.0977% (-0.0028/wk)

US SWAPS: Spds still running steady/mixed but front end has forged wider in the

second half amid decent cross-current flow in 2s over last couple hours between

2.86628% to 2.8830%, mild rate receiving in 3s at 2.84143%, rate receiving in 4s

at 2.8350% and paying in 5s at 2.8550%. Latest spd levels:

* 2Y +0.81/14.56

* 5Y -0.06/10.40

* 10Y +0.00/3.31

* 30Y +0.00/-14.50

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

* Secured Overnight Financing Rate (SOFR): 2.21% vs. 2.20% prior, $897B

* Broad General Collateral Rate (BGCR): 2.18% vs. 2.17% prior, $426B

* Tri-Party General Collateral Rate (TGCR): 2.18% vs. 2.17% prior, $409B

PIPELINE: No new issuance Friday, $3B on week, all due to United Health 4-part

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

17-Dec 0830ET Dec Empire Manufacturing Index (23.3, 21.0)

17-Dec 1000ET Dec NAHB home builder index (60, --)

17-Dec 1130ET US Tsys 13W bill auction

17-Dec 1130ET US Tsys 26W bill auction

17-Dec 1600ET Oct net TICS flows

17-Dec 1600ET Oct long term TICS flows

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* -7,500 Mar 71 Straddle at 15.5 vs 9721/0.42%

* +10,000 Green Mar 63 puts at 0.5 vs 9720.5/0.05%

* +8,000 Short Mar 68 puts at 3.5 vs 9713.5/0.20%

* +6,000 Short Feb 68/70 put sprd at 3 vs 9713.5/0.14%

* +4,000 Apr/Jun 68/70 put strip spd, 2.25 net db

* +10,000 Mar/Jun 70/71 put spd spd, 2.25 Jun over

* +13,000 Red Mar 60 puts at 1 vs 9711/0.05%

* +10,000 short Dec 71 calls, cab

* 6,000 Green Mar 67/68/70 put fly at 1.5 vs 9718/0.05%

* +5,000 Jun 72/73/75 call fly at 1 vs 9717.5/0.10%

* +2,000 Red Dec 68 straddles, 42.0

block, 08:13:20ET, Correction

* -10,000 Green Jan 68/70/71 1x1x2 put tree at 5.5 vs 9723/0.40%

block, 08:13:20ET

* 10,000 Green Jan 68/70 put sprd at 0.5 vs 9723/0.40%

Tsy options, Pit/screen:

* -3,000 TYF 120 calls at 30

* +2,000 TYG 120.5 calls at 34 vs 14.5/0.49%

* 2,000 FVG 112.5/113 2x1 put spds, 2/64

* -2,000 TYF 120 puts, 6/64

* over 2,000 TYF 120/120.5 2x1 put trades 8/64

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

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