US TSYS: TSY CURVES BOUNCE, 30Y AUCTION TRADES THROUGH

US TSY SUMMARY: Third time is the charm: long end blipped off pre-auction lows

after 30Y stopped out slightly (5/30 yld curve pares gains, +2.010bps at 40.040

vs. 40.998H). All-in-all, pretty quiet, Christmas market malaise coming on with

most risk events out of the way (retail sales Friday) ahead next Wednesday's

final FOMC for 2018 (includes summary of economic projections). Mkt pricing in

25bp hike (despite Pres. Trump tweet/hoping wont raise "anymore"). Though

moderated OIS lvls imply only 1 hike in 2019 vs. nearly 4 a few weeks ago.

- Slow start to day on light volume, many sidelined ahead ECB rate annc -- left

refinance rate unch at 0.00, inflation forecasts broadly in line with previous,

greater emphasis on weaker external demand.

- Flow included two-way positioning w/better selling in long end, some

cross-current hedging vs. Bunds and Gilts, Deal-tied paying vs. $3B UNH 4-part

issue; duration weighted 2s5s flattener block, carry-over rate paying in 2s-5s

(modest receiving in 2s and 10s), net-long vol short Mar Eurodollar put tree

block followed up w/Green Mar put tree buy. Tsy cash/ylds: 2Y 99-31.5 (2.758%),

5Y 100-17.5 (2.754%), 10Y 101-26 (2.911%), 30Y 104-02.5 (3.162%)

US TSY FUTURES CLOSE: Trading mixed with the short end outperforming; strong

volume (TYH 1.18M); curves steepening; update:

* 2s10s +1.486, 15.007 (12.483L/15.524H);

* 2s30s +2.956, 40.489 (36.704L/40.994H);

* 5s30s +2.889, 40.883 (37.667L/40.998H);

Current futures levels:

* Mar Ultra bonds down 10/32 at 156-23 (156-15L/157-15H)

* Mar 30-yr Bond futures down 08/32 at 142-15 (142-10L/143-01H)

* Mar 10-yr futures up 0.5/32 at 120-08 (120-4.5L/120-11.5H)

* Mar 5-yr futures up 01/32 at 113-14 (113-11.25L/113-15.25H)

* Mar 2-yr futures up 0.5/32 at 105-20.25 (105-19.25L/105-20.75H)

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

trades steady to mildly higher; moderate volume. Current White pack

(DEC'18-SEP'19):

* DEC'18 -0.0050 at 97.1950

* MAR'19 0.000 at 97.200

* JUN'19 0.000 at 97.145

* SEP'19 +0.005 at 97.110

* Red pack (DEC'19-SEP'20) +0.015-0.010

* Green pack (DEC'20-SEP'21) +0.015-0.010

* Blue pack (DEC'21-SEP'22) +0.015-0.010

* Gold pack (DEC'22-SEP'23) +0.010-EVEN

US DOLLAR LIBOR: Latest settles, 

* O/N -0.0004 to 2.1843% (+0.0035/wk)

* 1 Month +0.0150 to 2.4551% (+0.0549/wk) 

* 3 Month +0.0107 to 2.7882% (+0.0172/wk)

* 6 Month +0.0086 to 2.9008% (+0.0150/wk)

* 1 Year +0.0111 to 3.1123% (+0.0118/wk)

US SWAPS: Spds running mostly wider, spd curve flatter w/short end on session

wides amid carry-over rate paying in 2s-5s (modest receiving in 2s and 10s).

Relative quiet. Latest spd levels:

* 2Y +1.25/14.75

* 5Y +0.38/10.75

* 10Y +0.06/3.50

* 30Y -0.25/-14.25

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

* Secured Overnight Financing Rate (SOFR): 2.20% vs. 2.19% prior, $882B

* Broad General Collateral Rate (BGCR): 2.17% vs. 2.17% prior, $424B

* Tri-Party General Collateral Rate (TGCR): 2.17% vs. 2.17% prior, $408B

PIPELINE: $3B United Health 4-part issuance, makes up 60% estimated issuance for

week

- $750M 5Y +80

- $300M 7Y +90

- $850M 10Y +100

- $1.1B 30Y +130

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

- Dec 14 retail sales (0.8%, 0.1%) 0830ET

- Dec 14 retail sales ex. motor vehicle (0.7%, 0.1%) 0830ET

- Dec 14 retail sales ex. mtr veh, gas (0.3%, --) 0830ET

- Dec 14 industrial production (0.1%, 0.5%) 0915ET

- Dec 14 capacity utilization (78.4%, 78.7%) 0915ET

- Dec 14 Markit Mfg Index (flash) (55.3, --) 0945ET

- Dec 14 Markit Services Index (flash) (54.7, --) 0945ET

- Dec 14 business inventories (0.3%, 0.6%) 1000ET

- Dec 14 St. Louis Fed Real GDP Nowcast 1100ET

- Dec 14 NY Fed GDP Nowcast 1115ET

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* +6,000 Green Mar 68 puts covered 18/0.16% vs -6,000 Blue Jan 70 puts covered

19/0.16%

* 5,000 Red Dec 71/72 call sprd vs the 66 puts for net 0

* 10,000 Red Dec 65/67 put sprd at 5 vs 9704/0.10%

* -11,000 Red Mar 70 puts at 20 vs 9710/0.40%

* 4,500 Mar 73/75 call sprd at 1

* 4,500 Short Mar 72 calls at 8 vs 9711/0.34%

* Total 45,000 Green Mar 67/68/70 put tree at 1 vs 9723/0.05%, 10k blocked

* 4,000 Short Mar 71/72 puts over risk reversal at 7 vs 9710/0.70%

* Total 13,000 Short Dec 70 puts at 0.25, on screen

* 4,000 Short Sep 70 puts at 18 vs 9714.5/0.38%

* 12,000 Short Mar 66/67 2x1 put sprd at 0

block, 09:08:14ET,

* 20,000 Short Mar 66 puts at 1.5 vs 9709/0.05%

block, 09:07:16ET,

* 40,000 Short Mar 67/68 put sprd at 2.5 vs 9709/0.10%

* -20,000 Mar 72/73/75 call tree at 2.25

* 3,500 Dec 72 puts at 5.25 vs 9720/0.90%

Tsy options, Pit/screen:

* Total 10,000 TYF 120.5/TYH 122.5 call sprd at 0, note 5k traded at 1

* 5,000 TYF 120.5/TYH 122.5 call spds, 1/64

* 1,000 TYG 118.5/119.5 put spds 3/64 over TYG 122 calls vs. 120-09.5/0.28%

* Total +4,000 TYF 119.25/119.5/119.75 put tree at 1 vs 12/0.05%

* 3,000 TYF 119.25/119.5/119.75 put trees, 1/6

* 5,000 TYF 119.25/119.75 put sprd at 4

* 6,000 FVG 112.25/112.75 2x1 put spds, 1.5 vs. 113-12

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

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