US TSYS: RISK-ON POST C-MAS, EQS' BOUNCE BUT STIL BRUISED

US TSY SUMMARY: Tsys weaker across the board, at/near session lows as stocks and

crude see strong post-Christmas rally. Tsy futures volume exceptionally

light<750k. Tsys briefly bounced off then session lows following second auction

tail of week ($41B 5Y note awarded 2.652% rate vs. 2.632% WI). Rates extended

sell-off as equities saw first real rally since late November.

- Equities firmer (SPX +84.0 at 2575.00) after opening appr -9.0. US$ index

ground higher (DXY +.489, 97.070), Gold reversed early gains (XAU -3.86,

1265.58), crude surged, making strong gains in second half (WTI +4.0, 46.53).

- For Thu: Conf Brd conf for Dec (134.6 est); Nov New Home Sales & Building Perm

Revs' canceled due to US Gov shutdown (see 0941ET Main Wire for details).

- Swap spd curve flatter by the bell/off midday levels w/long end paring move.

Moderate 2-way flow on the session includes decent scale receiver in 2s, appr

$750M from 2.7079-2.7050%, small paying in 3s at 2.6525%, receiver in 4s at

2.6475%, 2-way in 5s; two-way 2s3s5s fly, 3s5s10s payer fly and 3s4s7s receiver

fly. Tsy cash/ylds: 2Y 99-25 (2.615%), 5Y 101-02 (2.642%), 10Y 102-24.5

(2.801%), 30Y 106-07.5 (3.054%)

US TSY FUTURES CLOSE: Trading near late session lows after extending risk-on

move as stocks surged. Volumes light, however. Yld curves mildly steeper/off

early highs, update:

* 2s10s +0.614, 18.391 (16.662L/19.249H);

* 2s30s +0.656, 43.949 (42.284L/45.418H);

* 5s30s +0.196, 41.443 (40.184L/43.644H);

Current futures levels:

* Mar Ultra bonds down 1-14/32 at 159-19 (159-18L/161-28H)

* Mar 30-yr Bond futures down 25/32 at 144-21 (144-20L/146-03H)

* Mar 10-yr futures down 13.5/32 at 120-31.5 (120-31.5L/121-20.5H)

* Mar 5-yr futures down 7.5/32 at 114-00.75 (114-00.5L/114-13.5H)

* Mar 2-yr futures down 2.25/32 at 105-30 (105-30L/106-03H)

US EURODOLLAR FUTURES CLOSE: Lower across the strip by the bell, sitting on late

session lows. Current White pack (Dec'18-Sep'19):

* Mar'19 -0.015 at 97.255

* Jun'19 -0.020 at 97.255

* Sep'19 -0.025 at 97.255

* Dec'19 -0.015 at 97.265

* Red pack (Mar'19-Dec'20) -0.020-0.045

* Green pack (Mar'20-Dec'21) -0.045-0.055

* Blue pack (Mar'21-Dec'21) -0.060-0.050

* Gold pack (Mar'22-Dec'22) -0.055

US DOLLAR LIBOR: No rate sets due to Boxing Day holiday.

US SWAPS: Spd curve flatter by the bell/off midday levels w/long end paring

move. Moderate 2-way flow on the session includes decent scale receiver in 2s,

appr $750M from 2.7079-2.7050%, small paying in 3s at 2.6525%, receiver in 4s at

2.6475%, 2-way in 5s; two-way 2s3s5s fly, 3s5s10s payer fly and 3s4s7s receiver

fly. Latest levels:

Time (ET)   2Y Swap/Mid   5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

Wed 3:00    +0.06/13.00   -1.19/6.31     -0.62/1.75    -1.00/-15.38

1:15        +0.56/13.75   -0.94/6.56     -0.62/1.75    -1.12/-15.50

11:30       +0.25/13.44   -0.62/6.88     -1.00/1.38    -1.62/-16.00

10:30       +0.31/13.50   -0.50/7.00     -1.00/1.38    -1.19/-15.56

Wed Open    +0.75/13.75   +0.00/7.50     -0.44/1.94    -0.62/-15.00

Wed 7:30    +1.31/14.31   +0.44/7.94     -0.12/2.25    +0.12/-14.25

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

* Secured Overnight Financing Rate (SOFR): 2.41%, $881B

* Broad General Collateral Rate (BGCR): 2.41%, $385B

* Tri-Party General Collateral Rate (TGCR): 2.41%, $378B

PIPELINE: No new supply on day/week

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

27-Dec 0830 **  22-Dec jobless claims (214k, 216k)

27-Dec 0900 **  Oct  FHFA Home Price Index (0.2%, --)

27-Dec 0945 *   23-Dec Bloomberg comfort index

27-Dec 1000 *** Nov new home sales (544k, 544k) 

27-Dec 1000 *   Nov bldg permits revision

27-Dec 1000 *** Dec Conference Board confidence (135.7, 134.6)

27-Dec 1500 *   Nov farm prices

27-Dec 1630 **  26-Dec Fed weekly securities holdings

27-Dec 1300 US Tsy $32B 7Y note auction (9128285T3)

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* +19,750 Apr 76/77 call spds, 0.75, opener

* +15,000 Mar 72/73/75 1x2x2 call trees, 0.5 net db

* Just over -9,000 Green Feb 71 puts 2.0 on screen, still offered

* +15,000 Red Mar'20 80 calls, 10.0

* +5,000 Red Jun'20 77 calls, 21.5

Decent screen volume continues on an otherwise quiet session

* +15,000 Sep 65 puts, 0.5

* 5,000 Jun 75 calls, 4.25 vs. 97.205/0.24%

* total 10,000 short Feb 72/73/75 call trees, 1.0

* 5,000 short Mar 67/68 put spds

* 15,200 Dec 77 calls, 8.5

* +10,000 short Jun 80 calls, 7.0

* 5,000 short Feb 72/73/75 call trees, 1.0 vs. 97.405/0.15%

* +4,000 short Feb 70/71 1x2 call spds, 19.0

* -6,000 Red Dec 75 straddles, 80.5-80.0

* +7,000 Green Jun 75 straddles, 46.0

* +15,000 Sep 68 puts, 2.5 vs. 97.295/0.10%

* -2,000 Jun 72 straddles, 22.5

* +6,500 Mar 71/72 1x2 call spds, 0.25 to 0.5

* -5,000 Jun 75 calls, 4.25

* +7,500 Dec 68/72 put spds, 12.5

* 5,000 short Mar 70 puts, screen

* 2,000 Green Mar 70/71/72 put flys on screen

* 5,000 Green Mar 73/75 call spds 3.0 over the Green Mar 71 puts

* +3,000 short Sep 71 puts vs. -1,500 Green Sep 76 calls, 2.5 net

* 1,800 each Jan and short Jan 70/71 put spds

* 4,000 Sep 62/67/68/70 put condors

Tsy options, Pit/screen:

* -2,000 FVH 114 straddles, 60.5/64

* +10,000 TYH 133 calls, 1/64 on screen

* 1,000 FVG 115.25/116.25/117.25 call flys, screen

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

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