US TSYS WEAK AFTER GILT, BUND SLIDE;SENATE DEBATE GOP TAX BILL

     US TSYS SUMMARY: Treasuries ended lower Wed after morning selloff, UK Gilt

slide, German Bunds decline. Tsys had weaker NY opening due to EGB weakness

after Bunds pressured by inflation data, Gilts by UK/EU Brexit pact. US Senate

may vote to advance GOP tax bill today. 

- Tsys selling amid 3.3% 3Q GDP growth; PCE revised lower to +2.3%. Tsys also

had corporate rate-locks amid a five-part Alibaba Grp deal, other heavy

issuance. Mkt digested 11:13am ET block sale of 3,135 WNH Mar Ultra Bond futrs,

followed early buy of 10,000 TYZ Tsy futures, then 8:57am ET block trade of

7,255 WNH Mar Ultra Bond futrs at 165-01 (vs. 165-08 bid price at time.) 

- Tsys hurt early by blk-box selling in US 10Y, 30Y amid firm US$/yen; some

reversed amid weak US$/yen later. Gold hammered in morning. Tsys saw early

steepeners, flatteners unwind, real$ and bank portf sales in 10s, 30Y. Also rate

receiving in 30s, while fast$ and prop accts did 2way flow in 5Y, 10Y. Talk of a

$39B order book for Alibaba debt deal. US high-tech, chip stocks hurt. 

- TSYS 3pm ET: 2Y 1.762%; 3y 1.859%; 5y 2.093%; 7y 2.268%; 10Y 2.376%; 30y

2.815%

US TSY FUTURES CLOSE: Trades weaker by the close, but off session lows on

afternoon short covering, position squaring as US$ reversed early gains,

equities faltered. March takes top-step Thursday. Current futures levels: 

* Dec Ultra bonds down 1-15/32 at 165-10 (164-22L/167-10H) 

* Dec 30-yr Bond futures down 30/32 at 153-11 (152-28L/154-22H) 

* Dec 10-yr futures down 8/32 at 124-23 (124-16.5L/125-03.5H) 

* Dec 5-yr futures down 3/32 at 116-26.25 (116-22L/116-31.5H) 

* Dec 2-yr futures down .75/32 at 107-13.75 (107-12.75L/107-15H)

US EURODLR FUTURES CLOSE: Trades weaker by the bell, off first half lows on

moderate volume. Current White pack (Dec'17-Sep'18):

* Dec'17 -0.002 at 98.450 

* Mar'18 -0.005 at 98.280 

* Jun'18 -0.005 at 98.130 

* Sep'18 -0.010 at 98.035 

* Red pack (Dec'18-Sep'19) -0.015-0.020 

* Green pack (Dec'19-Sep'20) -0.020-0.030 

* Blue pack (Dec'20-Sep'21) -0.025-0.030 

* Gold pack (Dec'21-Sep'22) -0.030-0.035

US SWAPS: After a mixed start, spds running mostly tighter by the bell, spd

curve flatter vs. bear steepening in Tsys. Deal-tied flow across the curve,

better rate receiving in long end earlier followed by modest unwinds later in

the session as Tsys come off lows. OTC vol firmer but off first half lows.

Latest spread levels: 

* 2Y +0.06/17.44 

* 5Y -0.31/6.19 

* 10Y -0.12/-0.75 

* 30Y -0.62/-23.88

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

- Nov 30 25-Nov jobless claims (239k, 240k) 0830ET

- Nov 30 Oct personal income (0.4%, 0.3%) 0830ET

- Nov 30 Oct current dollar PCE (1.0%, 0.3%) 0830ET

- Nov 30 Oct total PCE price index (0.4%, --) 0830ET

- Nov 30 Oct core PCE price index (0.1%, 0.2%) 0830ET

- Nov 30 Clevld Fed Mester moderates fincl innovation panel Wash DC 0830ET

- Nov 30 Nov ISM-Milwaukee Mfg Index (63.61, --) 0900ET

- Nov 30 Nov MNI Chicago PMI (66.2, 63.5) 0945ET

- Nov 30 26-Nov Bloomberg comfort index 0945ET

- Nov 30 24-Nov natural gas stocks w/w Bcf 1030ET

- Nov 30 Clevld Fed Mester introduces Fed VC Quarles, DC 1230ET

- Nov 30 Fed VC Supervision Quarles: speaks Clev Fed/OFR Conf DC 1230ET

- Nov 30 Dallas Fed Kaplan, Real Estate Cncl Series, Dallas, Q&A, 1300ET

- Nov 30 Oct farm prices (-1.7%, --) 1500ET

- Nov 30 29-Nov Fed weekly securities holdings 1630ET

Eurodollar/Treasury Option Summary:

Eurodollar options

Pit/screen:

* -30,000 short Jun 76/78 put spds, 8.5 w/

* -30,000 Green Jun 73/76 put spds, 6.0

* -17,500 Blue Jun 72/73 4x5 put spds, 21.0 vs. 97.62/0.60%

Block, 1147:00ET

* +21,280 short Sep 85 calls, 2.5, offered

* -12,500 Blue Jun 72/73 put spds, 3.0

* +4,000 Green Dec/Blue Dec72 straddle strip, 23.0 (implieds buoyed)

* +5,000 short Mar 81/82 call spds, 1.5

* 2,000 Blue Mar 72/75 put spds, 5.0

* -5,000 Jun 78/81 put spds, 8.0 vs. 98.115/0.38%

* +7,000 long Green Jun'20 71/77 3x1 put spds, 6.5

* +4,000 Green Mar 80/85 1x2 call spds, 3.0 vs. 97.755/0.16%

* -10,000 Jan 82/83 strangles, 2.5

* 3,500 Mar 80/Sep 72 put spds, 0.5

* total 7,500 short Dec 80/81 1x2 call spds, 1.5

* buyer long Green pack 77 straddle strip for 269.

* 2,500 short Dec 80/Blue Dec 83 put spds, 10.0

* -6,000 short Mar 81/Blue Mar 80 call spds, even net Red Blue conditional

flattener

* 2,000 Blue Dec 75 puts, screen

* 2,500 Red Dec 72/73/75 put flys vs. 75/76/77 put flys, screen

Tsy options

Pit/screen:

* screen 15k wk1 TY 124p, 2

* total -13,000 TUH 107.3/107.5/108.6 call trees, 0.0

* +1,500 USH 124 puts, 1/64

* 3,000 TYG 123/126 strangles, 24/64

* 2,000 TYF 122.5/123.5 put spds, 6/64

* 1,000 TYF 124.5 straddles, 55/64

* 1,250 TYF 123/123.5 put spds, 4/64

* 2,000 TYF 123.7/125.2 put over risk reversals, 2/64 vs. 124-14.

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

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