MNI ASIA OPEN: Bonds, Equities Finish Strong

US TSYS 2024 Projected Rate Cuts Moderate Slightly

• Tsys hold firm, inside relatively narrow session range by Tuesday's close. March'24 10Y futures (TYH4) currently +2 at 112-21 vs. 112-24 intraday high on very light volume (TYH4 350k) with European exchanges closed for Boxing Day holiday. Initial technical resistance above at 113-04.5 (Dec 21 high), followed by 113-12+, a Fibonacci projection point. Key short-term support is at 109-31+, the Dec 11 low. Initial firm support is at 111-09+, the Dec 7 high.
• Limited reaction, if any after FHFA House Price Index comes in weaker than expected at +0.3% (+0.5% est), S&P CoreLogic CS mildly stronger than expected for MoM (0.64% vs. 0.60% est; YoY 4.87% vs. 4.85% est.).
• Tsy futures bounce (TYH4 +2 at 112-21, FVH4 steady) after the $57B 2Y note auction (91282CJS1) trades through: 4.314% high yield vs. 4.320% WI; 2.68x bid-to-cover vs. 2.54x prior.
• Indirect take-up climbed back to 61.85% vs. 57.38% prior (5-auction average of 65.2%), directs took 19.51% vs. 23.86% last month (20.05% 5-auction average), primary dealer take-up 18.63%
• Projected rate cuts for early 2024 holding steady to mildly softer vs. Friday with short end futures weaker: January 2024 cumulative -3.8bp at 5.290%, March 2024 chance of rate cut -81.4% vs. -90.1% late Friday w/ cumulative of -24.1bp at 5.087%, May 2024 pricing in a full 25bp cut with cumulative -49.8bp at 4.829%, June'24 cumulative -75.8bp at 4.570%. Fed terminal at 5.325% in Jan'24.
• Wednesday Data Calendar: Richmond, Dallas Fed Data; 2Y FRN and 5Y Note Sales

NEWS

US (MNI): US Extends China Tariff Exclusion Deadline
Scheduled to expire on December 31, 2023, the US Office of the United States Trade Representative just announced a "further extension through May 31, 2024, of the reinstated and COVID-related exclusions in the China Section 301 Investigation."

NY Fed (MNI): November Multivariate Core Trend (MCT) Inflation Decrease
NY Fed's Multivariate Core Trend (MCT) inflation: was 2.3 percent in November, a 0.1 percentage point decrease from October (revised down from 2.6). The 68 percent probability band is (1.9, 2.8).

OVERNIGHT DATA

• US DEC PHILADELPHIA FED NON-MFG INDEX 6.3

• Chicago Fed: Nov National Activity Index +0.3 Vs Oct -0.66

• US DEC. DALLAS FED MANUFACTURING INDEX -9.3; EST. -17.0
• US DEC. DALLAS FED GENERAL BUSINESS ACTIVITY AT -9.3

• US Oct. FHFA Home Price Index Up 0.3% M/m, Est. 0.5%
• S&P Case-Shiller Oct U.S. National Home Price Index 0.2% MoM, 4.8% YoY
• S&P Case-Shiller Oct 20-City Home Price Index 0.1% MoM, 4.9% YoY
• S&P Case-Shiller Oct 10-City Home Price Index 0.2% MoM, 5.7% YoY

MARKETS SNAPSHOT

• Key market levels of markets in late NY trade:
• DJIA up 175.46 points (0.47%) at 37565
• S&P E-Mini Future up 21 points (0.44%) at 4826
• Nasdaq up 87.6 points (0.6%) at 15071.66
• US 10-Yr yield is down 0.6 bps at 3.8892%
• US Mar 10-Yr futures are up 2.5/32 at 112-21.5
• EURUSD up 0.0035 (0.32%) at 1.1044
• USDJPY up 0.09 (0.06%) at 142.46
• WTI Crude Oil (front-month) up $1.9 (2.58%) at $75.47
• Gold is up $10.74 (0.52%) at $2061.95

US TREASURY FUTURES CLOSE

• 3M10Y +1.59, -148.138 (L: -152.122 / H: -147.466)
• 2Y10Y -2.19, -45.214 (L: -47.755 / H: -43.523)
• 2Y30Y -1.954, -29.544 (L: -33.327 / H: -28.314)
• 5Y30Y -1.005, 16.542 (L: 14.536 / H: 17.188)
• Current futures levels:
• Mar 2-Yr futures down 0.5/32 at 102-28 (L: 102-26.125 / H: 102-29.25)
• Mar 5-Yr futures up 1.25/32 at 108-18.5 (L: 108-15.25 / H: 108-20.25)
• Mar 10-Yr futures up 2.5/32 at 112-21.5 (L: 112-17.5 / H: 112-24)
• Mar 30-Yr futures up 12/32 at 124-5 (L: 123-26 / H: 124-10)
• Mar Ultra futures up 11/32 at 132-28 (L: 132-17 / H: 133-09)

US‌‌ ‌‌10YR‌‌ ‌‌FUTURE‌‌ ‌‌TECHS:‌‌ (H4) Trend Needle Points North 

• RES 4: 114-06 2.00 proj of the Oct 19 - Nov 3 - Nov 13 price swing
• RES 3: 114-00 Round number resistance
• RES 2: 113-12+ 1.764 proj of the Oct 19 - Nov 3 - Nov 13 price swing
• RES 1: 113-04+ High Dec 21
• PRICE: 112-20.5 @ 1520 ET Dec 26
• SUP 1: 111-31+/111-09+ Low Dec 14 / High Dec 7
• SUP 2: 110-05+ 20-day EMA
• SUP 3: 109-31+ Low Dec 11 and key short-term support
• SUP 4: 109-30 50-day EMA

Treasuries maintain a firmer tone and the contract traded higher Thursday. Recently, resistance at 111-09+, Dec 7 high, was cleared. This confirmed a resumption of the uptrend and an extension of the price sequence of higher highs and higher lows. Sights are on 113-12+, a Fibonacci projection point. Key short-term support is at 109-31+, the Dec 11 low. Initial firm support is at 111-09+, the Dec 7 high.

SOFR FUTURES CLOSE

• Current White pack (Mar 24-Dec 24):
• Mar 24 -0.015 at 950
• Jun 24 -0.035 at 95.470
• Sep 24 -0.035 at 95.870
• Dec 24 -0.020 at 96.225
• Red Pack (Mar 25-Dec 25) -0.005 to +0.015
• Green Pack (Mar 26-Dec 26) +0.020 to +0.020
• Blue Pack (Mar 27-Dec 27) +0.015 to +0.020
• Gold Pack (Mar 28-Dec 28) +0.005 to +0.010

FIXES AND PRIOR SESSION REFERENCE RATES

SOFR Benchmark Settlements:

• 1M +0.00158 to 5.35694 (-0.00039 total last wk)
• 3M -0.00320 to 5.34791 (-0.01288 total last wk)
• 6M -0.01052 to 5.17674 (-0.03260 total last wk)
• 12M -0.02256 to 4.77613 (-0.05926 total last wk)

• Secured Overnight Financing Rate (SOFR): 5.32% (+0.01), volume: $1.667T
• Broad General Collateral Rate (BGCR): 5.30% (+0.00), volume: $631B
• Tri-Party General Collateral Rate (TGCR): 5.30% (+0.00), volume: $620B
• (rate, volume levels reflect prior session)

• Daily Effective Fed Funds Rate: 5.33% (+0.00), volume: $90B
• Daily Overnight Bank Funding Rate: 5.32% (+0.00), volume: $234B

RRP USAGE

• RRP usage rebounds to $793.937B from $772.285B in the prior session, compares December 15 when usage fell to the lowest level since mid-June 2021: $683.254B.
• The number of counterparties inched up to 86 from 85 in the prior session.

EGBS

European markets closed for Boxing Day holiday.

WEDNESDAY DATA CALENDAR

• US Data/Speaker Calendar (prior, estimate)
• Dec-27 1000 Richmond Fed Mfg Index (-5, --)
• Dec-27 1000 Richmond Fed Business Conditions (-9, --)
• Dec-27 1030 Dallas Fed Services Activity (-11.6, --)
• Dec-27 1130 US Tsy 17W Bill and $70B 42D CMB Bill auctions
• Dec-27 1300 US Tsy $26B 2Y FRN Note and $58B 5Y Note auctions