US TSYS: US4 WEAK VS. YEN/TSYS BID INTO 2018 CLOSE

US TSY SUMMARY: Quiet end to 2018 for rates and foreign currencies despite the

early chop. Markets close early for New Years eve. Tsy bill auctions: $39B 13W

(912796RD3), $36B 26W bills (912796RW1) and $26B 52W bills (912796RT8) passed

without incident; no react to Dallas Fed employ index 11.0/production index 7.3.

- Early equity bid on positive sounding headlines on US/China trade (WSJ article

over weekend -- "fleshing out" deal) and Italy budget acceptance.

- FI Volumes very light (Japan out most of week for various year-end holidays),

TYH just over 460k by the bell; long end futures outpaced, yld curves reverse

mixed. US$ vs. Yen slips to new 6M low, 109.66 last seen mid-June.

- Light, two-way flow, program selling in short end post LIBOR set, year-end

buying intermediates.

- Tsy cash/ylds: 2Y 100-00 (2.496%), 5Y 100-16.25 (2.513%), 10Y 103-24 (2.688%),

30Y 107-07 (3.006%)

US TSY FUTURES CLOSE: Firmer across the curve by the early close, near

midmorning highs. Tsy yld curve update:

* 2s10s -0.821, 18.982 (15.439L/21.267H);

* 2s30s +0.623, 50.829 (46.598L/52.025H);

* 5s30s +2.416, 49.002 (45.921L/49.093H);

Current futures levels:

* Mar Ultra bonds up 22/32 at 160-24 (159-24L/161-03H)

* Mar 30-yr Bond futures up 18/32 at 146-03 (145-07L/146-09H)

* Mar 10-yr futures up 13/32 at 122-01 (121-18L/122-01.5H)

* Mar 5-yr futures up 9/32 at 114-23 (114-12.5L/114-23.75H)

* Mar 2-yr futures up 2.75 at 106-05.5 (106-02L/106-05.5H)

US EURODLR FUTURES CLOSE: Well bid/session highs on early close; EDH9/EDH0

extends inversion (-0.150). Current White pack (Dec'18-Sep'19):

* Mar'19 -0.005 at 97.285

* Jun'19 +0.005 at 97.315

* Sep'19 +0.010 at 97.340

* Dec'19 +0.010 at 97.350

* Red pack (Mar'19-Dec'20) +0.025-0.040

* Green pack (Mar'20-Dec'21) +0.050-0.070

* Blue pack (Mar'21-Dec'21) +0.075-0.080

* Gold pack (Mar'22-Dec'22) +0.075-0.065

US DOLLAR LIBOR: Latest settles,

* O/N -0.0142 to 2.3782% (+0.0008 last wk)

* 1 Month -0.0172 to 2.5027% (+0.0136 last wk)

* 3 Month +0.0106 to 2.8076% (-0.0246 last wk)

* 6 Month +0.0025 to 2.8756% (-0.0348 last wk)

* 1 Year -0.0077 to 3.0054% (-0.0600 last wk)

MONTH-END EXTENSIONS: *** FINAL Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2017; TIPS -0.02Y; Govt inflation-linked, -0.04Y

*.....................Projected...1Y Avg Incr..Last Dec

*US Tsys.................0.06........0.08........0.07

*Agencies................0.05........0.10........0.11

*Credit..................0.06........0.09........0.06

*Govt/Credit.............0.06........0.08........0.07

*MBS.....................0.05........0.07........0.07

*Aggregate...............0.05........0.08........0.06

*Long Govt/Credit........0.07........0.09........0.08

*Interm Credit...........0.06........0.08........0.06

*Interm Govt.............0.06........0.08........0.07

*Interm Govt/Cred........0.06........0.08........0.06

*High Yield..............0.04........0.08........0.09

US SWAPS: Spds running wider, top end session range, 30Y lagging all session.

Modest swap flow seeing better receivers in 2s-5s, mixed flys w/2s5s10s payer

and 3s5s10s receiver, small size. Latest spd levels:

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

12:45       +1.75/16.62   +1.62/6.62     +0.50/2.50    +0.25/-17.25

10:45       +1.12/16.00   +0.88/5.88     +0.38/2.38    +0.06/-17.44

9:30        +1.12/16.00   +0.81/5.81     +0.31/2.31    +0.12/-17.38

Mon Open    +0.62/15.50   +0.44/5.44     +0.25/2.25    +0.25/-17.25

Fri 3:00    +0.38/14.12   +0.50/5.25     +0.06/2.19    -0.69/-17.38

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

* Secured Overnight Financing Rate (SOFR): 2.46%, $927B

* Broad General Collateral Rate (BGCR): 2.45%, $392B

* Tri-Party General Collateral Rate (TGCR): 2.45%, $381B

PIPELINE: No new supply on day/week

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

01-Jan Markets closed for New Years

-

02-Jan 0855 **  29-Dec Redbook retail sales m/m

02-Jan 0945 *** Dec Markit Mfg Index (final) (53.9, --)

02-Jan 1030 **  Jan Dallas Fed services index (11.4, --)

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

Block, 1106:36ET

* 10,000 Mar 71/72 put spds, 3.25

* 7,500 short Mar 67/68 put spds, 1.5 vs. 97.395/0.10%

* 10,000 Green Mar 68/72 call spds 33.0

* 15,000 Green Jun 68 puts, 2.5 vs. 5,000 Green Jun 75/78 2x3 call spds, 14.5

* -20,000 Mar 71 puts, 1.75 on the heels of recent Block buy of 10k Mar 70 puts,

0.5

* +10,000 Jun 73/75 call spds, 3.25

* +7,500 Dec 68/71 2x1 put spds, 2.0

Block, 1002:53ET

* +10,000 Mar 70 puts, 0.5, still offered

* 3,000 Green Mar 71 puts, 2.5 vs. Green Mar 73/76 1x1.5 call spds, 7.0

* 2,000 Mar 71/72 1x2 call spds on screen

Tsy options, Pit/screen:

* +5,000 TYG 114.5/115 put strip, cab-13

* +6,000 TYH 125/127 1x2 call spds, even -- ongoing position add

* 2,000 FVH 112.5/113.5/114 put flys, 2.5/64

* +1,000 FVG 114.75/116 call spds, 10.5

* >12,000 TYG 115.5 puts, cab-7

Last Friday volume leaders:

* >80,000 TYG 121.5/123.5 call spds, 31/64 (Open Interest +63.7k and 41.2k in

respective calls)

* >55,000 FVG 114.25/115.25 call spds, 20.5-22 (Open Interest +35.6k and 45.0k

in respective calls)

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

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