US TSYS: THE HIKES HAVE IT, FOMC LESS DOVISH THAN HOPED FOR

US TSY SUMMARY: Tsys broadly higher after the bell, took a few minutes for curve

flattening rally to take hold after Fed hike of .25 bps (funds range to

2.25%-2.50%), SEP: 2 more for 2019. Generally speaking, annc not as "dovish" as

anticipated/priced in. 

- US$ rebounded, while equities slower to react, pared gains but still traded

higher for several minutes ahead Fed chair conf. Yld curves pancaked as lonf end

gapped higher. 

- Large TUH/FVH steepener block on close: +16,750 TUH9 at 105-28.5, post time

offer, -14,750 FVH9 at 114-02, sell through -02.5 post time bid.

- A lot of vol for swap spds on day, mixed by the close/well off second half

wides/mildly wider in wings vs. tighter 5s-10s. Spds gapped wider into midday.

Decent round trip across the curve. Move corresponded w/midday turn in rates,

large payer 2s at 2.79062% including decent selling in Eurodollar Reds

(EDH0-EDZ0), heavy flurry two-way fly trades.

- Tsy cash/ylds: 2Y 100-06 (2.652%), 5Y 101-03 (2.637%), 10Y 103-00.5 (2.771%),

30Y 107-10.5 (3.000%)

US TSY FUTURES CLOSE: Trading sharply higher with the long end making new

session highs into the bell; strong volume (TYH 1.53M); curves sharply

flattening; update: 

* 2s10s -4.076, 13.068 (11.869L/17.406H);

* 2s30s -5.504, 36.668 (34.050L/43.002H);

* 5s30s -3.561, 38.445 (35.029L/43.242H);

Current futures levels:

* Mar Ultra bonds up 2-07/32 at 161-03 (158-30L/161-02H)

* Mar 30-yr Bond futures up 1-13/32 at 145-09 (143-29L/145-10H)

* Mar 10-yr futures up 11.5/32 at 121-07 (120-28L/121-7.5H)

* Mar 5-yr futures up 05/32 at 114-01 (113-28L/114-1.5H)

* Mar 2-yr futures up 0.5/32 at 105-27.75 (105-27.25L/105-28.75H)

US EURODOLLAR FUTURES CLOSE: White pack trading mixed while reds through golds

trade moderately higher; strong volume. Current White pack (MAR'19-DEC'19):

* MAR'19 -0.010 at 97.270

* JUN'19 -0.005 at 97.245

* SEP'19 +0.015 at 97.240

* DEC'19 +0.020 at 97.225

* Red pack (MAR'20-DEC'20) +0.075-0.050

* Green pack (MAR'21-DEC'21) +0.080-0.070

* Blue pack (MAR'22-DEC'22) +0.070-0.065

* Gold pack (MAR'23-DEC'23) +0.070-0.065

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0015 to 2.1817% (-0.0030/wk)

* 1 Month +0.0092 to 2.4793% (+0.0243/wk) 

* 3 Month -0.0024 to 2.7896% (-0.0111/wk)

* 6 Month -0.0055 to 2.8708% (-0.0297/wk)

* 1 Year -0.0086 to 3.0527% (-0.0450/wk)

US SWAPS: US SWAPS: A lot of volatility for spds on the day, levels currently

mixed, well of second half wides to mildly wider in the wings vs. tighter

5s-10s. Spds gapped wider into midday. Decent round trip across the curve (range

still off last week Mon's move when short end gapped tighter by over 3bp). Move

corresponded w/midday turn in rates, large payer 2s at 2.79062% including decent

selling in Eurodollar Reds (EDH0-EDZ0), heavy flurry two-way fly trades: 2s6s7s

payer, 2s5s6s receiver, 2-way 3s4s5s, 3s4s7s and 3s4s6s receiver, 5s6s7s

receiver and 5s7s10s receiver flys. Latest spds:

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

Wed 3:00    +0.50/13.75   -1.00/7.75     -1.00/1.25    +0.56/-14.00

1:00        +0.75/14.00   +0.38/9.12     +0.81/3.06    +2.62/-12.50

10:45       -0.06/13.19   -1.31/7.44     -0.94/1.31    +0.12/-14.44

9:30        -0.25/13.00   -1.06/7.69     -0.62/1.62    -0.06/-14.62

Wed Open    -0.88/12.38   -0.88/7.88     -1.00/1.25    -1.19/-15.75

Tue 3:00    -1.19/13.44   -1.75/8.50     -1.50/2.00    -0.75/-14.75

US SWAPS: *** Spds have gapped wider since prior heads up (belly was still

tighter but wings had already started bouncing. Decent round trip across the

curve (range still off last week Mon's move when short end gapped tighter by

over 3bp). Move corresponded w/midday turn in rates, large payer 2s at 2.79062%

including decent selling in Eurodollar Reds (EDH0-EDZ0), heavy flurry two-way

fly trades: 2s6s7s payer, 2s5s6s receiver, 2-way 3s4s5s, 3s4s7s and 3s4s6s

receiver, 5s6s7s receiver and 5s7s10s receiver flys. Latest spds:

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

1:00        +0.75/14.00   +0.38/9.12     +0.81/3.06    +2.6/-12.50

10:45       -0.06/13.19   -1.31/7.44     -0.94/1.31    +0.12/-14.44

9:30        -0.25/13.00   -1.06/7.69     -0.62/1.62    -0.06/-14.62

Wed Open    -0.88/12.38   -0.88/7.88     -1.00/1.25    -1.19/-15.75

Tue 3:00    -1.19/13.44   -1.75/8.50     -1.50/2.00    -0.75/-14.75

US SWAPS: ### POV, TRADE OR FADE SPD COMPRESSION?

- Whether recent tactical wideners/receiver unwinds is a good idea remains to be

seen. In the meantime, long and short end of spd curve has eased off this

morning's appr 30-month low in 2s and 6-month low in 30s. 

- Carry-over year end customer position squaring amid constrained balance sheet

for dealers helped push spds tighter over last couple weeks. But as the charge

higher in US LIBOR sets has moderated of late, the theme may have run it's

course. Note, some chatter that dealers had loaded up early to avoid year end

funding issues. - As to flow, decent two-way in short end over last couple

hours, better rates and spd receiving in 5s and 10s. Latest spd levels:

* 2Y -0.06/13.19

* 5Y -1.31/7.44

* 10Y -0.94/1.31

* 30Y +1.12/-14.44

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

* Secured Overnight Financing Rate (SOFR): 2.32% vs. 2.31% prior, $920B

* Broad General Collateral Rate (BGCR): 2.30% vs. 2.28% prior, $421B

* Tri-Party General Collateral Rate (TGCR): 2.30% vs. 2.28% prior, $405B

PIPELINE: No new supply on day/week

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

20-Dec 0830ET 15-Dec jobless claims (206k , 225k)

20-Dec 0830ET Dec Philadelphia Fed Mfg Index (12.9, 15.0)

20-Dec 0945ET 16-Dec Bloomberg comfort index (59.4, --)

20-Dec 1000ET Nov leading indicators (0.1%, 0.0%)

20-Dec 1030ET 14-Dec natural gas stocks w/w

20-Dec 1130ET US Tsy 4Y/4M Tips auction

20-Dec 1630ET 19-Dec Fed weekly securities holdings

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

block, 15:03:00ET,

* 10,000 Jun 71/72 put sprd over the Jun 73 calls at EVEN

Block, 1414:12ET,

* 10,000 Sep 71/72 3x2 put spds, 1.5 net

block, 14:10:56ET,

* 10,0000 Mar 71/72 put sprd at 2 over the Mar 73 calls

* 20,000 Green Jun 70/75 calls over risk reversal at 8-8.5 vs 9736/0.60%, note

11k

traded earlier at 8.5 vs 9736.5/0.60%

Total 20,000 Mar 70/71 put sprd at 1.5 vs 9729/0.12%, adds to earlier 10k block

block, 11:06:06ET,

* +10,000 Short Apr 80 calls at 2 vs 9731.5/0.10% 

* Another +50,000 bought in in pit

* Update, total +60,000 short Feb 72/73/75 call trees, 1.5-1.75/legged

block, 11:04:45ET,

* +20,000 Short Mar 73/75/76/77 call condor at 2.5 vs 9730/0.05%

* +6,750 Green Jun/Gold Jun 80/82 call sprd spd, 1.5 net/Greens over

* +8,000 Short Jan 68/70/71 put fly at 1.5

* +10,000 Red Mar 75/80 call sprd at 10

block, 10:16:08ET,

* +14,500 Sep 70/72 2x1 put sprd at 4

block, 10:16:38ET,

* 10,000 Mar 70/71 put sprd at 1.5 vs 9729/0.12%

* +5,000 Short Mar 72 Straddle at 27

* +15,000 Jun 70/71 put sprd at 3.5 vs 9724.5/0.15%

* 8,000 Dec 70/72 2x1 put sprd at 2

* 4,000 Dec 67/70 3x2 put sprd at 11.5

* 5,000 Short Jan 72/73 call sprd at 5 vs 9727/0.25%

block, 07:52:38ET

* 5,000 Short Mar/Blue Mar 68 put sprd at 0

block, 06:46:19ET, UPDATE

* 9,000 Green Mar 72/75 2x3 call sprd at 8 over x2 Green Mar 70 puts vs 9737.5

block, 06:35:14ET-06:35:16ET

* 7,618 Mar 72/73 1x2 call sprd on splits for net 1.75

Tsy options, Pit/screen:

* +3,000 TYH 122 calls, 23/64

* +3,000 FVG 113/113.5 2x1 put spds, 2.5

* 2,000 TYG 121 straddles, 1-9/64 vs. 4,000 TYH 119.5 puts at 1/64

* 1,000 FVF 113.5/113.75 put spds, 4.5 vs. USF 143.5 puts, 13/64, duration

weighted

* +6,000 TYG 118.5/119 put sprd at 2

* +10,000 FVG 112.75/113.24 2x1 put sprd at 5

* 3,100 FVG 113.25/114 2x1 put spds11.5/64 vs. 113-28/0.08%

* 5,000 TUG 105.5 puts, 2.5/64 vs. 105-27.25 earlier

Overnight trade heading into the NY open, implieds steady to mildly lower in 5s

an 10s

* +7,425 TYH TYF 121.25 calls, 10/64 vs. 120-30/0.32%

* -8,000 FVG 114.5 calls, 10- to 11/64

* +6,500 FVH 112 puts, 2.5/64

* -6,600 FVH 113.5 calls, 44.5- 44/64

* 11,900 USH 141 puts, 41- to 36/64

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

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