MNI US CLOSING FI ANALYSIS: Risk Appetite Cools

US TSY SUMMARY

Tsy futures were modestly higher across the curve, near session highs after trading weaker in the first half. A modest early risk-on unwound later in the session as Trump admin officials telegraphed chances of stimulus deal before election is evaporating. Really decent volumes by midmorning (TYZ>625k by 1030ET) dried up in the second half w/ TYZ just over 1.06M after the bell.

• Chances of a reaching a stimulus deal before the election evaporated precipitously in the second half. Though House Speaker Nancy Pelosi held hopes of reaching a deal "if Trump backs it", headlines quoting Tsy Sec Mnuchin that Pelosi has "dug in" with "significant differences" while Trump not wanting to "bail out Democratic states" weighed on risk appetite ahead the weekend.
• Otherwise trade action was relatively subdued the day after the final Presidential debate (no fireworks) with little data to trade off of (IHS MARKIT PMI's), while Fed-speak disappeared ahead of the blackout that kicks off at midnight tonight through Nov 7.
• The 2-Yr yield is up 0bps at 0.1534%, 5-Yr is down 0.6bps at 0.3685%, 10-Yr is down 1.8bps at 0.8379%, and 30-Yr is down 3.5bps at 1.641%.

TECHNICALS

US 10YR FUTURE TECHS: (Z0) Heading South

• RES 4: 139-14 High Oct 15
• RES 3: 139-05+ 50-day EMA
• RES 2: 139-00 20-day EMA
• RES 1: 138-20+ Low Oct 7 and this week's breakout level
• PRICE: 138-10 @ 16:11 BST Oct 23
• SUP 1: 138-05 Low Oct 23
• SUP 2: 138-04+ 1.00 proj of Aug 4 - 28 decline from Sep 3 high
• SUP 3: 137-29 76.4% retracement of the Jun - Aug rally (cont)
• SUP 4: 137-16 200-dma

Treasuries throughout the week, extending the sell-off down to 138-05. A bearish theme was reinforced Wednesday following the break of 138-20+, Oct 7 low. The move lower confirmed a resumption of the broader reversal that occurred on Aug 4 and clears the way for a continued move lower. This has opened 138-04+ next, a Fibonacci projection ahead of 138-00. Initial resistance is seen at 138-20+.

AUSSIE 3Y

AUSSIE 3-YR TECHS: (Z0) Looking To Clear Resistance

• RES 3: 100.00 - Psychological round number
• RES 2: 99.886 - 3.0% Upper Bollinger Band
• RES 1: 99.845 - All time High Oct 20, 15 and the bull trigger
• PRICE: 99.825 @ 15:35 BST Oct 23
• SUP 1: 99.760 - Low Oct 1 and 2
• SUP 2: 99.705 - Low Sep 18, 21 and 22
• SUP 3: 99.675 - Low Sep 7 and key support

Aussie 3yr futures are largely unchanged and remain bullish. The price surge at the tail-end of September and early October confirmed bullish trend conditions. Recent activity is viewed as a pause in the uptrend and in pattern terms has taken on the appearance of a bull flag. This is a continuation pattern and reinforces current trend conditions. A break of 99.845, Oct 20 high and last week's high would open 99.889. Support is at 99.760.

AUSSIE 10Y

AUSSIE 10-YR TECHS: (Z0) Uptrend Remains Intact

• RES 3: 99.480 - High Mar 10 and the all-time high
• RES 2: 99.360 - High Apr 2 (cont)
• RES 1: 99.290 - High Oct 16
• PRICE: 99.155 @ 15:36 BST Oct 23
• SUP 1: 99.075 - Low Oct and the key support
• SUP 2: 99.055 - Low Sep 18 and 21
• SUP 3: 98.970 - Low Sep 8

Aussie 10y futures remain bullish following last week's strong impulsive rally. The break above 99.180, an area of congestion reflecting highs in Sep and early October confirmed a resumption of the uptrend that started on Aug 28. Attention turns to 99.300 and 99.360. The latter is the Apr 2 high (cont). The near-term bull trigger is 99.290, Oct 16 high. On the downside, firm trend support is at 99.075, Oct 5 low.

YEN 10Y

JGB TECHS: (Z0) Either Side of 152

• RES 3: 152.55 - High Aug 5 (cont)
• RES 2: 152.36- 3.0% Upper Bollinger Band
• RES 1: 152.29 - High Sep 24 and the bull trigger
• PRICE: 151.81 @ 15:38 BST Oct 23
• SUP 1: 151.75 - Low Oct 08 and trend support
• SUP 2: 151.54 - Low Sep 7
• SUP 3: 151.43 - Low Sep 1

JGBs edged back below the 152 handle Thursday, countering the recent positive outlook. Attention remains on 152.29, Sep 4 high, a key resistance and the bull trigger. A break of this level would confirm a resumption of the uptrend and open 152.36, a Bollinger band objective and 152.55, Aug 5 high (cont). On the downside, key trend support has been defined at 151.75, Oct 8 low.

TSY FUTURES CLOSE: Near Late Day Highs

Modestly higher across the curve, near session highs after trading weaker in the first half. Really decent volumes by midmorning (TYZ>625k by 1030ET) dried up in the second half w/ TYZ just over 1.06M after the bell. Yld curves flatter, update:

• 3M10Y -1.75, 74.745 (L: 73.569 / H: 77.609)
• 2Y10Y -1.509, 68.582 (L: 68.014 / H: 71.243)
• 2Y30Y -2.784, 149.243 (L: 148.747 / H: 153.144)
• 5Y30Y -2.379, 127.549 (L: 127.295 / H: 130.493)
• Current futures levels:
• Dec 2Y up 0.12/32 at 110-13.12 (L: 110-12.8/H: 110-13.6)
• Dec 5Y up 0.25/32 at 125-18.5 (L: 125-16.5 / H: 125-20.5)
• Dec 10Y up 1/32 at 138-11.5 (L: 138-05.5 / H: 138-15)
• Dec 30Y up 8/32 at 172-19 (L: 171-22 / H: 172-25)
• Dec Ultra 30Y up 14/32 at 214-5 (L: 212-12 / H: 214-20)

US EURODLR FUTURES CLOSE: Reds-Golds Mildly Higher

Steady/mixed in the short end to mildly higher out the strip; lead quarterly EDZ0 slips late after holding steady since 3M LIBOR set' +0.00175 to 0.21650% (-0.00188/wk).

• Dec 20 -0.005 at 99.755
• Mar 21 -0.005 at 99.785
• Jun 21 steady at 99.80
• Sep 21 +0.005 at 99.805
• Red Pack (Dec 21-Sep 22) +0.005 to +0.010
• Green Pack (Dec 22-Sep 23) +0.010
• Blue Pack (Dec 23-Sep 24) +0.010
• Gold Pack (Dec 24-Sep 25) +0.010

US DOLLAR LIBOR: Latest settles

• O/N -0.00275 at 0.08138% (+0.00025/wk)
• 1 Month +0.00700 to 0.15625% (+0.00487/wk)
• 3 Month +0.00175 to 0.21650% (-0.00188/wk)
• 6 Month +0.00338 to 0.24938% (-0.00812/wk)
• 1 Year +0.00150 to 0.33663% (+0.00163/wk)

US TSY: Short Term Rates

STIR: FRBNY EFFR for prior session:

• Daily Effective Fed Funds Rate: 0.09% volume: $61B
• Daily Overnight Bank Funding Rate: 0.08%, volume: $183B

• Secured Overnight Financing Rate (SOFR): 0.07%, $943B
• Broad General Collateral Rate (BGCR): 0.05%, $347B
• Tri-Party General Collateral Rate (TGCR): 0.05%, $321B
• (rate, volume levels reflect prior session)

• Tsy 2.25Y-4.5Y, $8.801B accepted vs. $24.161B submission
• Next week's scheduled purchases:
• Tue 10/27 1010-1030ET: Tsy 7Y-20Y, appr $3.625B
• Wed 10/28 1010-1030ET: Tsy 20Y-307Y, appr $1.750B

OUTLOOK: Look Ahead To Monday

• Fri midnight - Fed enters media Blackout (through Nov 6)
• 26-Oct 1000 Sep new home sales (1.011m, 1.025M)
• 26-Oct 1030 Oct Dallas Fed manufacturing index (13.6, 13.5)
• 26-Oct 1130 US Tsy 13W-Bill auction (912796UC1)
• 26-Oct 1130 US Tsy 26W-Bill auction (9127964Z9)

PIPELINE: Citigroup Priced Late

Expect more issuance from financial names as they exit earnings

• Date $MM Issuer (Priced *, Launch #)
• 10/23 $2.5B #Citigroup 4NC3 fix/FRN +70a
• -
• No New Issuance Thursday
• 10/22 $Benchmark Galaxy Pipeline multi-tranche investor call

EURODOLLAR/TREASURY OPTIONS

Eurodollar Options:

• +5,000 Green Jan 92/93 put spds, 0.5
• +2,000 Dec 90/95 put spds, 2.25
• +1,250 Red Mar/Jun/Sep 96/97 2x1 put spd strip, 3.0 total to buy 1-leg on all 3 spds
• +2,000 Green Mar 92/95 put spds, 3.0 vs. 99.63/0.20%
• -2,000 Green Mar 96 straddles, 16.25
• +2,500 Blue Dec 93/95 put spds 4.0 over Green Dec 96 puts
• +2,000 short Mar 98/100/100.12/100.5 call condors, 0.5
• Overnight trade
• 6,000 Blue Nov 97/98 call spds
• 4,250 Mar 97/98 1x2 call spds (1.1k in Red Mar'22 as well)

• -2,100 TYZ 138/138.5 strangles, 106
• -6,000 TYZ 139 puts, 102-101
• -2,500 TYZ 136.5/137.5/138.5/139.5 put condors, 26
• -1,000 TYZ 139 calls, 22/64
• 6,500 TYZ 141 calls, 2/64 earlier
• 3,100 FVZ 125.5 straddles 0.5 over 6,200 FVZ 125/126 strangles
• -2,000 USZ 168/176 strangles, 120-118
• -7,000 TYX 138.5 calls, 1/64
• +5,000 TYF 134.5/136 put spds, 13/64
• 1,000 USZ 173/175 1x2 call spds, 3/64
• -5,000 TYZ 138/138.5/139/139.5 put condors, 8/64 and still offered
• 2,000 TYF 136.5 puts, 26/64
• Overnight trade (reminder Nov options expire Friday)
• Block 10,000 TYZ 138.5 puts 2/64 over TYF 137.5 puts
• Block -20,000 TYZ 137.5/138.5 2x1 put spds, 1 net, 2 legs over
• Block 20,000 TYF 137/138 put spds, 23/64
• 8,000 TYX 138 puts, 2/64
• 6,500 TYZ 140 calls, 7/64