US TSYS SLIDE WITH BUNDS,GILTS ON EGB SUPPLY, ECB TAPER NERVES

     US TSYS SUMMARY: Treasuries end Tues lower, tracking UK Gilts, German Bunds

down; 10Y Gilt yld up +9.9bp. That amid EGB supply and as ECB Coeure cited

"reasonable chance that bond buying would not be extended." 

- Tsys began NY weaker, steeper after UK action (Tokyo out 'til Thu.) The market

then saw mild dip buying. Then Tsys drew more sales after firm 55.1 US Markit

Dec manfctrng PMI. Mkt digested corporate rate-lock hedges amid high-grade bond

issuance. 

- And in Tsy futrs: 10:43am ET sell-thru block of 3,521 UXH (Mar 10Y Ultra) at

133-01; followed last Friday's block buy of 3,500 Mar 10Y Ultras at 133-18.5. 

- Tsys had fast$, prop acct sales in 5Y and 10Y, and program sellers joined

real$ sellers in 10Y, 30Y; 5/30Y steepeners done & flattener unwinds. Fast$

bought the lows in 2s and 54s, while rate receivers in the mix as swap spreads

ground in tighter. 

- Late morning selling in TYH 10Y Tsy futrs from 123-23 to 123-20.5. US Eurodlr

futrs sale before 12:40pm ET: 14K EDM at 98.045. 

- Tsys improved off lows amid afternoon dip buying and corporate rate lock hedge

unwinds.

- TSYS 3PM ET: 2Y 1.923%, 3Y 2.015%, 5Y 2.25%, 7Y 2.382%, 10Y 2.465%, 30Y 2.810%

US TSY FUTURES CLOSE: Traded progressively weaker all session, off lows in late

trade -- the long end lead move, yld curves steeper/off highs. Latest curve

update: 

* 2s10s +1.829, 53.672 (55.285H/51.121L) 

* 2s30s +2.938, 88.229 (90.064H/84.901L) 

* 5s30s +2.505, 55.694 (56.317H/52.801L). Current futures levels: 

* Mar Ultra bonds down 1-29/64 at 165-24 (165-05L/167-16H) 

* Mar 30-yr Bond futures down 1-6/32 at 151-26 (151-12L/152-29H) 

* Mar 10-yr futures down 11/32 at 123-22.5 (123-17L/124-00H) 

* Mar 5-yr futures down 5.5/32 at 115-31.75 (115-28.75L/116-04.75H) 

* Mar 2-yr futures down 2/32 at 106-31.75 (106-31L/107-01.75H)

US EURODOLLAR FUTURES CLOSE: Lower across the strip by the bell, off midday

lows, long end underperforming; decent/heavy selling short end, EDH'8 lead w/

255k. Current White pack (Mar'18-Dec'18): 

* Mar'18 -0.025 at 98.215 

* Jun'18 -0.030 at 98.045 

* Sep'18 -0.025 at 97.935 

* Dec'18 -0.030 at 97.825 

* Red pack (Mar'19-Dec'19) -0.025-0.035 

* Green pack (Mar'20-Dec'20) -0.030-0.035 

* Blue pack (Mar'21-Dec'21) -0.040-0.045 

* Gold pack (Mar'22-Dec'22) -0.045-0.050

US SWAPS: Spds are running tighter after a mixed open, short end reversing early

widening as Tsys continued to ratchet lower. Light mixed flow included rate

receivers in 3s and 5s after small fly action: $134.2k 4s5s6s fly, paying the

belly and $167.8k 5s6s7s fly, paying the belly. Mixed curve play early w/US$

56.6k DV01 2s5s steepener and US$88.8k DV01 5s10s flattener. OTC vol

directionally higher w/Tsy ylds and steeper yld curve. Latest spread levels: 

* 2Y -0.62/18.12 

* 5Y -0.31/3.19 

* 10Y -0.94/-2.12 

* 30Y -1.44/-21.44

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

- Jan 03 Dec NA-made light vehicle sales SAAR (13.3M, 13.4M)

- Jan 03 29-Dec MBA Mortgage Applications 0700ET

- Jan 03 30-Dec Redbook retail sales m/m (0.1%, --) 0855ET

- Jan 03 Dec ISM-NY current conditions (58.1, --) 0945ET

- Jan 03 Dec ISM Manufacturing Index (58.2, 58.0) 1000ET

- Jan 03 Nov construction spending (1.4%, 0.7%) 1000ET

- Jan 03 Jan help-wanted online ratio (1.14, --) 1000ET

- Jan 03 Federal Reserve release Dec 12-13 FOMC minutes in Wash. 1400ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +20,000 Green Sep 78 calls, 10.0 vs. 97.59/0.52% w/

* +20,000 Blue Sep 76 calls, 17.0 vs. 97.52/0.42%

* 10,000 Jun 78/80 2x1 put spds, 3.0

* 5,000 Apr 78/80 put spds, 4.0

* +5,000 Mar 82 calls, 3.0 vs. 98.21/0.38%

* +5,000 Dec 73/77 put spds vs. 10,000 Dec 83 calls, 6.0 net db

* +5,000 short Jan 77 puts, 2.5 vs. 97.745/0.10% (+25k at 2.0/Block earlier)

* 3,500 Apr 78/80 put strip 4.0

* 7,000 Jun 78/80 2x1 put spds, 3.0

* 4,000 Green Mar 72/75 put spds, 4.0 vs.

* 2,000 Green Mar 73/76 put spds, 8.0

* +4,000 Green Mar 80/81 call spds, 1.0 vs. 97.65/0.10% vs.

* -4,000 Gold Mar 80/81 call spds, 0.5, 0.5 net db

* 10,000 short Mar 81/Blue Mar 80 1x2 call spds, 0.0

* 5,000 short Mar 75/76 put spds, 2.5 vs. 97.79/0.10%

* +5,000 short Mar 75/76/77 put fls, 2.5

* +5,000 Jun 78 puts, 1.25

* Update, total +20,000 Apr 81/Green Apr 78 call spds, 1.0

* +11,000 Apr 80/short Apr 77 call spds, 0.0 on screen

* 5,000 Jun 81/82 call strip, 7.0 vs. 98.06/0.54%

* +2,500 Dec 73/75 put spds, 1.5 vs. 97.845/0.10%

Latest Block, 0856:36, still offered

* +40,000 Red Dec'19 87 calls, 2.5 vs. 97.66/0.05%

* +20,000 Apr 81/-Green Apr 78 call spds, 1.0

* +3,000 short Mar 81/82 1x2 call spds, 0.0

Latest Block, 0839:53, still offered

* +25,000 short Jan 77 puts, 2.0

Tsy options, Pit/screen:

* +6,000 TYG 123 puts, 12/64 vs. 123-21

* 1,200 TYG 122/123 put spds, 8/64

* 2,000 TYH 117/118/119 2x3x1 put flys, 0.0

* 1,000 TYG 124.75 calls, 7/64 vs. 123-24.5

* 1,600 TYG 126.5/127.5/128.5 1x3x2 call flys, 0.0 net

* screen, 4,170 FVH 115.5 puts, 9.5/64

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

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