US TSYS SLID W/ GERMAN BUNDS;US HOUSE PASSED TAX BILL;SEN NEXT

     US TSYS SUMMARY: Treasuries ended lower Tues after dip buys at selloff

lows; US House voted 227-203 to passr US tax bill; bill goes to US Senate. 

- Tsys began NY mixed/flatter, then dropped with sliding German Bunds (due to

higher 2018 overall German govt debt supply, esp. long end.) Tsys also hurt by

firm US$/yen FX-tied sales. Tsys sold due to 3.3% US Nov hsg starts; US 3Q

Current Acct Gap:-100.6B. 

- Tsys 8:14am ET big steepener block trade (separate prints): sale apparently of

11,950 in FVH 5Y Futrs/vs. 2,000 buy of WNH Ultra bd futrs. Tsy futrs had 9:08am

ET block sale of 7,200 TYH 10Y futures. Later block sale: 5,000 TYH 10Y futrs at

11:35am ET. 

- Cash Tsy curve flipped to steeper. Hi-grd corp bd issuance dead. EGBs weak:

10Y German Bund yld +6.9bps to 0.373%; core EGBs hurt: Hansson said ECB needs to

adjust communication 1H 2018. 

- EURODLR FUTR: Spd buyer pre-10:55am ET: 50K EDZ8/EDH9; earlier sale 50K EDU8

White. 

- 3PM ET: Tsy 2Y 1.852%, 3Y 1.978%, 5Y 2.220%, 7Y 2.370%, 10Y 2.463%, 30Y 2.823%

US TSY FUTURES CLOSE: Trade broadly lower into the NY close, off lows with rate

futures rebounding off second half session lows following House tax bill pass

vote -- expected. Senate vote later tonight. Late curve update: 

* 2s10s +4.598 60.830 

* 2s30s +5.926, 96.814 

* 5s30s +3.010, 60.186. Current futures levels: 

* Mar Ultra bonds down 2-11/64 at 165-05 (164-27L/167-29H) 

* Mar 30-yr Bond futures down 1-21/32 at 151-17 (151-11L/153-15H) 

* Mar 10-yr futures down 17/32 at 123-22.5 (123-20L/124-08H) 

* Mar 5-yr futures down 7.5/32 at 116-02 (116-00L/116-09.25H) 

* Mar 2-yr futures down 2/32 at 107-02 (107-01.25L/107-03.75H)

US EURODLR FUTURES CLOSE: Trading lower into the close, near session lows with

some mild short covering/position squaring after tax bill passed House, on way

to Senate vote tonight. Heavy volume for usually quiet pre-holiday trade: +50k

EDZ8/EDH9, 0.060, -50k EDU8, 97.955 (-0.025). Current White pack

(Mar'18-Dec'18): 

* Mar'18 -0.010 at 98.215 

* Jun'18 -0.020 at 98.060 

* Sep'18 -0.025 at 97.955 

* Dec'18 -0.025 at 97.865 

* Red pack (Mar'19-Dec'19) -0.035-0.045 

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

* Blue pack (Mar'21-Dec'21) -0.060-0.065 

* Gold pack (Mar'22-Dec'22) -0.065-0.070

US SWAPS: Spds running mostly tighter, spd curve flatter in face of second day

of steepening/rebound in Tsy curve. Light swap-tied volume on net, better rate

receiving in 10s and 30s after midday, light payers in 2s and 3s earlier,

switches in 3s and 5s on light volume. OTC and exchange traded vol firmer,

directional with higher Tsy ylds. Latest spread levels: 

* 2Y +0.62/21.00 

* 5Y -0.38/4.75 

* 10Y -0.69/-1.69 

* 30Y -1.12/-20.88

US OUTLOOK: 

- Dec 20 15-Dec MBA Mortgage Applications 0700ET 

- Dec 20 Nov existing home sales (5.48M, 5.51M) 1000ET 

- Dec 20 15-Dec crude oil stocks ex. SPR w/w 1030ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* total +250,000 Mar 78 puts, cab, total screen volume/day >700k

* 13,000 Jan 81 puts, cab a minute later

* update, total +25,000 Green Jan 75 puts, 1.0 vs. 97.65/0.10%

* Update, total +40,000 Jun 76 puts, cab

Block, 0928:43, adds to screen buy

* 10,000 Jun 76 puts, cab

* 22,000 short Jun 81 calls, 3.0 vs. 97.79/0.16%

* 22,000 Green Jun 80 calls, 5.5 vs. 97.70/0.22%

* 22,000 Blue Jun 80 calls, 5.0 vs. 97.62/0.18%

* 7,500 (6k in pit) short Apr 73/76/77 2x2x1 put flys, 2.0 net/wings over vs.

97.755

* -20,000 Mar 82/83 2x1 put spds, 3.0

* +9,000 short Feb 76/77/78 put flys, 3.5 vs. 97.84/0.05%

* +5,000 Blue Jun 73/76 2x1 put spds, 2.0

-2,500 Green Jun/Blue Jun 71 put strip, 5.5

* Update, total +20,000 Mar 81/82 2x1 put spds, 5.0

* total -20,000 Jan 82/83 strangles, 4.5, 0.5 net debit

* +7,500 Mar 81/82 2x1 put spds, 5.0

* -7,500 Jan 82/83 strangles, 4.5

* +5,000 Feb 83 calls, cab

* +2,500 Dec 78/81 1x2 call spds, 3.5

Package, 7.5 total debit/strip buy:

* +5,000 short Jun 72/75 put spds, 3.0

* +5,000 Green May 71/73 put spds, 3.0

* +5,000 Green Jun 68/70/72 put flys, 1.5

* 2,000 short Mar 77 puts, 5.5

* -3,000 short Mar 78 straddles, 18.0 vs. 97.82

* 2,000 Mar/Jun 82 call spds, 1.25

* screen total 16,800 Green Mar 72/75/76/77put condors

* screen total 7,100 Green Mar 73/76 put spds

* 5,000 Mar 81/82 2x1 put spds

* 5,000 Green Mar 72/75/76/77 put flys

* 2,000 Green Mar 73/76 put spds

* 2,000 Green Jan 75/76/77 put flys

Tsy options, Pit/screen

* +12,300 FVH 112.75 puts on screen, opener/OI only 3,222 coming into session

* 2,000 TYH 120.5/122.5 put spds, 16/64 vs. 123-21

* 2,500 USG 151 puts vs. 2,000 USG 153 puts, 50/64 net

* 4,500 TYH 125/126 1x2 call spds on screen recently

* 2,000 TYH 120.5/122.5 put spds, 16/64 vs. 123-21

* 2,500 USG 151 puts vs. 2,000 USG 153 puts, 50/64 net

* 4,500 TYH 125/126 1x2 call spds on screen recently

* 1,500 TYF 123.25/123.75 put spds, 7/64

* 1,000 TYG 126.5/127.5/128.5 1x3x2 call flys, 1/64 net/wings over vs. 124-04

* +3,800 TYH 120.5/123 put spds, 19/64

* 2,000 TYH 122.5 puts, 14/64 vs. 123-31.5

* 1,000 TYF 123/123.5/124 put flys, 8/64

* 2,000 USG 152 puts, 59- to 1-3/64

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

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