MNI ASIA MARKETS ANALYSIS: Sentiment Improves

HIGHLIGHTS

• ECDC SAYS RESTRICTIONS ON CHINA TRAVELERS NOT JUSTIFIED, Bbg
• Italy Finds No New Concerning Covid Variants in First Tests, Bbg

US TSYS: Bond-Lead Rally, Stocks Strong Too

Tsys see-sawed higher Thursday, partially driven by same factors pushing equities back to early Tuesday levels: improved market sentiment over COVID curbs on China travel as testing has not revealed new variants while "European health officials called screenings and restrictions on travelers from China unjustified" Bbg.

• Knee-jerk post-data (weekly claims in-line at 225k, continuing claims higher than est at 1.710M) 30Y Bond sale quickly reversed, 30YY falling back to 3.9479% from 3.9773% post-data high.
• Futures see-sawed higher as risk sentiment for stocks improved. Note, yield curves reversed Wed's steepening, 2s10s currently -6.416 at -53.885.
• Tsys pare gains briefly after $35B 7Y note auction (91282CGB1) tailed: 3.921% high yield vs. 3.907% WI; 2.45x bid-to-cover vs. 2.33x last month. Indirect take-up climbs to 68.08% vs. 61.89% prior; Direct take-up: 16.17% vs. 16.57% prior; Primary dealer take-up falls to 15.75% vs. 21.35% prior auction.
• Friday -- quiet end to the last trading day of 2022 w/ MNI Chicago PMI (40.0 est) release at 0945ET. FI/FX trading floor closes at 1300ET, but GLOBEX closes at 1700ET. LINK

SHORT TERM RATES

US DOLLAR LIBOR: Latest settlements:

• O/N -0.00457 to 4.31186% (-0.00485/wk)
• 1M -0.01486 to 4.36871% (-0.01815/wk)
• 3M +0.02490 to 4.75386% (+0.02833/wk)*/**
• 6M -0.01357 to 5.13757% (-0.01557/wk)
• 12M -0.02772 to 5.44257% (-0.00129/wk)
• * Record Low 0.11413% on 9/12/21; ** New 14Y high: 4.77857% on 11/30/22

• Daily Effective Fed Funds Rate: 4.33% volume: $99B
• Daily Overnight Bank Funding Rate: 4.32% volume: $255B

• Secured Overnight Financing Rate (SOFR): 4.30%, $1.005T
• Broad General Collateral Rate (BGCR): 4.26%, $379B
• Tri-Party General Collateral Rate (TGCR): 4.26%, $362B
• (rate, volume levels reflect prior session)

FED Reverse Repo Operation

NY Fed reverse repo usage climbs to $2,308.319B w/ 104 counterparties vs. $2,293.003B in the prior session. Prior record high stands at $2,425.910B on Friday, September 30.

EURODOLLAR/SOFR/TREASURY OPTIONS SUMMARY

• SOFR Options:
  • Block, 9,750 SFRM3 94.62/95.00/95.37 put flys, 10.0
  • +20,000 SFRZ3 96.50/97.50 call spds, 12.25
  • +2,000 SFRZ3 95.50/96.00/96.50 call trees, 2.0 ref 95.52
  • +5,000 2QH3 96.12/96.25/96.50 broken put flys, 5.25
  • 2,000 OQF3 95.87 puts, 12.5 ref 95.885
  • +2,500 2QF3 96.12/96.37/96.62 put flys, 4.75
  • 3,800 2QG3 96.12/96.37/96.62 put flys ref 96.69
  • 1,500 SFRZ3 94.81/95.00/95.18/95.37 put condors ref 95.525
• Eurodollar Options:
  • Block, 10,000 EDH3 95.00 calls vs. 95.00/96.06 put spds
  • 3,500 EDF3 95.25 calls, 1.25 ref 94.96
• Treasury Options:
  • 12,224 wk5 TY 112/113 call spds, 30 ref 112-16.5
  • Over 12,000 TYG 112.5 puts, 104-103 ref 112-10.5 to -11.5
  • +3,000 wk2 TY 110.5 puts, 13 vs. 112-07.5
  • 1,000 TYG 109/111 3x2 put spds, 31 ref 112-07
  • 1,800 TYH 107.5/108/109 broken put flys, ref 112-14

Late Equity Roundup: Broad Based Rally, Indexes Near Highs

Major indexes look to finish higher Thursday as market sentiment improved. Latest upswing tied to Covid testing: has not revealed new variants while "European health officials called screenings and restrictions on travelers from China unjustified" Bbg.

• SPX eminis currently trade +70 (1.84%) at 3877.5; DJIA +382.05 (1.16%) at 33255.9; Nasdaq +269.8 (2.6%) at 10483.49.
• SPX leading/lagging sectors: Communication Services and Information Technology both up appr +2.85%, Consumer Discretionary (+2.48%) , latter as auto makers surged w/ Tesla +6.35% after drawing heavy selling this week - while Morgan Stanley analysts call current prices a good entry level. Laggers: Consumer Staples (+0.60%) Utilities (+0.92%), Financials (+1.30%) with diversified financials outperforming larger banks (JPM +0.20%, USB +0.23%, WFC +0.29%).
• Dow Industrials Leaders/Laggers: Microsoft (MSFT) +6.58 at 241.11, Home Depot (HD) +5.57 at 321.30, Apple (AAPL) +4.03 at 130.07. Laggers: WBA -0.01 at 37.57, Boeing (BA) -0.02 at 188.36, Merck (MRK) +0.04 at 111.12.

E-MINI S&P (H3): Trend Outlook Is Bearish

• RES 4: 4250.00 High Aug 26
• RES 3: 4194.25 High Sep 13 and a key resistance
• RES 2: 4043.00/4180.00 High Dec 15 / 13 and the bull trigger
• RES 1: 3931.32 50-day EMA and a key resistance
• PRICE: 3881.00 @ 1405ET Dec 29
• SUP 1: 3778.45 61.8% retracement of the Oct 13 - Dec 13 uptrend
• SUP 2: 3735.00 Low Nov 3
• SUP 3: 3670.00 76.4% retracement of the Oct 13 - Dec 13 uptrend
• SUP 4: 3735.00 Low Oct 21

S&P E-Minis trend signals remain bearish and recent low prints reinforce this condition. The contract is trading above its recent lows - for now. Short-term gains are considered corrective with resistance at 3931.32, the 50-day EMA. A clear break of this hurdle is required to suggest potential for a stronger recovery. On the downside, a break lower would confirm a resumption of the downtrend and open 3778.45, a Fibonacci retracement.

COMMODITIES

• WTI Crude Oil (front-month) down $0.64 (-0.81%) at $78.33
• Gold is up $12.43 (0.69%) at $1816.86

Friday Data Calendar

Date	GMT/Local	Impact	Flag	Country	Event
30/12/2022	0800/0900	***		ES	HICP (p)
30/12/2022	0800/0900	*		CH	KOF Economic Barometer
30/12/2022	1330/0830	**		US	WASDE Weekly Import/Export
30/12/2022	1445/0945	**		US	MNI Chicago PMI
30/12/2022	1600/1100			CA	Finance Dept monthly Fiscal Monitor (expected)
31/12/2022	0130/0930	***		CN	CFLP Manufacturing PMI
31/12/2022	0130/0930	**		CN	CFLP Non-Manufacturing PMI