US TSYS WEAKER: 2-PART SELLOFF, STEEPENER; HOUSE OKS TAX BILL

     US TSYS SUMMARY: Treasuries ended Wed lower in 2-part selloff with brief

break as US stocks faltered, and Tsys repair some technical losses. Then Tsys

continued to slide amid afternoon bear-steepening. US House re-voted: approved

US tax bill. 

- Tsys began NY weaker after overnight 2way flow, then ebbed since about 5:36am

ET. Tsys 10-year note hit a 2.499% session high yield; highest in months, after

breaking over 2.48%, nearing key 2.5%. 

- Lg end underperformed; 30Y yield hit session high yield of 2.878% at 3pm ET.

Tsy ylds thus flirted with multi-month highs. 

- Tsys saw selling in 10Ys, out curve: pensions, MBS-tied, hedge funds and CTAs,

in cash and in futures. Tsys saw 3rd day of yld curve steepening. But stocks

faltered midmorning, which helped Tsys briefly: S&P Eminis hurt by morning big

$4.6B 36.4K-contract S&P Eminis sale amid VIX action, sell-stops. DJIA index,

S&P 500 and Nasdaq weaker late. Tsys saw off-run buyers. 

- Pres. Trump held late afternoon bill "passage" ceremony (but will be Trump

bill signing at later unspecified date).

- TSYS 3PM ET: 2y 1.861%, 3y 1.991%, 5Y 2.243%, 7Y 2.403%, 10Y 2.499%, 30Y

2.878%.

US TSY FUTURES CLOSE: Rates broadly lower -- extending session lows late, ylds

at multi-month highs (10Y +.0308 at 2.4952 vs. 2.4970 -- March highs; 30Y +.0569

at 2.8767 vs. 2.8775 -- 4-week highs). Sources report multiple acct selling in

10s on out the curve: pension, mortgage, hedge fund and CTAs, cash and futures.

Third consecutive day yld curve steepening. Late curve update: 

* 2s10s +2.632, 63.412 vs. 63.618H 

* 2s30s +4.849, 101.173 vs. 101.964H 

* 5s30s +4.096, 63.788 vs. 64.374H. Current futures levels: 

* Mar Ultra bonds down 1-17/64 at 163-18 (163-16L/165-21H) 

* Mar 30-yr Bond futures down 30/32 at 150-18 (150-17L/151-28H) 

* Mar 10-yr futures down 8/32 at 123-14 (123-13.5L/123-26.5H) 

* Mar 5-yr futures down 3.75/32 at 115-30 (115-29.5L/116-04H) 

* Mar 2-yr futures down .5/32 at 107-01.75 (107-01L/107-02.75H)

US EURODLR FUTURES CLOSE: Lower across the strip, just off session lows on

modest volume, Blues-Golds underperforming. Current White pack (Mar'18-Dec'18): 

* Mar'18 -0.005 at 98.210 * Jun'18 -0.005 at 98.055 

* Sep'18 -0.005 at 97.950 * Dec'18 -0.010 at 97.855 

* Red pack (Mar'19-Dec'19) -0.010-0.025 

* Green pack (Mar'20-Dec'20) -0.020-0.025 

* Blue pack (Mar'21-Dec'21) -0.025-0.030 

* Gold pack (Mar'22-Dec'22) -0.025-0.030

US SWAPS: Spds running mixed into the close, spd curve near session flats vs.

steeper Tsys, long end extending inversion. Light flow on net with 2-way earlier

in 5s around 2.25873-2.26632%, $94k 2s3s5s fly/receiving the belly. More

recently, $154.8k 2Y-5Y-7Y fly (receiving the belly), spd curve flatteners in 2s

vs. 5s and 7s, $100M receiver 5s at 2.27223%. OTC vol firmer across the surface,

gamma outpacing longer vega (1M10Y outperforming), while exchange traded option

vol chops around mixed levels after showing gains around midmorning as

underlying rates sold off. Ongoing interest in low delta put buying for the most

part. Latest spread levels: 

* 2Y +0.25/21.56 

* 5Y +0.06/4.56 

* 10Y -0.44/-2.38 

* 30Y -1.50/-22.50

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

- Dec 21 16-Dec jobless claims (225k, 235k) 0830ET

- Dec 21 Q3 GDP (3rd) (3.3%, 3.3%) 0830ET

- Dec 21 Q3 GDP Price Index (2.1%, 2.1%) 0830ET

- Dec 21 Dec Philadelphia Fed Mfg Index (22.7, 22.0) 0830ET

- Dec 21 Oct FHFA Home Price Index (0.3%, --) 0900ET

- Dec 21 17-Dec Bloomberg comfort index 0945ET

- Dec 21 Nov leading indicators (1.2%, 0.4%) 1000ET

- Dec 21 15-Dec natural gas stocks w/w 1030ET

- Dec 21 US Treasury $14B 5-year TIPS reopening 1300ET

- Dec 21 20-Dec Fed weekly securities holdings 1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

Block, 1254:45 ET

* 10,000 short Mar 83 calls, 0.5

* +9,000 Jun 77/78 put spds, 0.75

* total 10,000 short Feb 76/77/78 put flys, 3.5 vs. 97.825

Block, 1236:49 ET

* +10,000 Jun 80 puts, 5.0, still offered

Block, 11150:16ET

* 10,000 Sep 76/77/78 put trees, 2.5 vs. 97.985/0.06%

* +10,000 Jun 78/80 put spds, 4.0 vs. 98.05/0.22%

* 3,500 short Feb 76/77/78 put flys, 3.5 vs. 97.825

* +10,000 short Jan 77 puts, 3.0 vs. 97.77/0.10% earlier

* +5,000 Jun 80/83 2x1 strangles vs. -15,000 Jun 81 puts, 21.0 net cr

* +5,000 Jan 85/86/87 call flys, cab

* +5,000 Jan 77/78/80 put flys, cab

* Block, 10,000 Jun 80 puts, 5.5 vs. 98.05-0.40% at 1100:33ET

* total +19,846 short Jun 80/81/82/85 broken call condors, 1.0

* +5,000 Jan 85/86/87 call flys, cab

* +5,000 Jan 77/78/80 put flys, cab

* +18,000 short Mar 83 calls, 0.5 vs. 97.81

* Update, total +32,000 Jun 78/80 2x1 put spds, 2.5 vs.

* -16,000 Apr 78/80 put spds, 3.5

* Update, total 12,000 short Mar 76/77 put spds, 4.0 vs. 97.815/0.10%

* 10,000 short Mar 76/77 put spds, 4.0 vs. 97.815/0.10%

* 5,000 Dec 75/76 put spds, 2.5

Tsy options, Pit/screen

* +5,000 TYG 125.5/126 call spds, 2/64 vs. 123-22/0.10%

* +/-1,100 TYH 121.5/125.5 risk reversals, 0.0

* total 8,000 TYG 123/124 put spds, 31- to 30/64

* total -14,600 TYG 123 puts vs. +10,500 TYF 123.5 puts, 9- to 10/64 net

* 2,500 TYF 123 puts, 2/64 vs. 123-14.5

* 5,200 TYF 123.5 puts, 10/64

* 2,000 FVH 115.7/116.2 put spds, 16.5/64

* +/-3,000 TYG 123.5 straddles, 104-105

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

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