MNI US CLOSING FI ANALYSIS: Strong Risk-Off Week Opener

US TSY SUMMARY: 

Tsy futures broadly higher after the bell, strong tail-wind for rates all session with equities selling off, ESZ0 breaching 50-day EMA (50% retrace back to Sep low in second half). Limited data, Fed in media black-out through Nov 7.

• No single driver for the risk-off tone, though virus lock-down and/or vaccine efficacy concerns, election anxiety and stimulus talks all remain factors. On stimulus, WH advisor Kudlow said there were a "NUMBER OF AREAS IN PELOSI PLAN THAT TRUMP CAN'T ACCEPT" Bbg.
• Equities did recover off steep losses after midday when "BIDEN AIDES SAY HE'LL PUSH $2T STIMULUS PACKAGE IF ELECTED," FBN.
• Average volumes by the close (TYZ>1M), but pace slowed significantly in the second half, participants close to the sidelines soon after London session close.
• The 2-Yr yield is down 0.8bps at 0.1474%, 5-Yr is down 2.7bps at 0.3493%, 10-Yr is down 4.4bps at 0.7993%, and 30-Yr is down 4.9bps at 1.5923%.

TECHNICALS: US 10YR FUTURE TECHS:

US 10YR FUTURE TECHS: (Z0) Bouncing, but Still Weak

• RES 4: 139-14 High Oct 15
• RES 3: 139-04+ 50-day EMA
• RES 2: 138-30+ 20-day EMA
• RES 1: 138-23 High Oct 26
• PRICE: 138-20 @16:25 GMT Oct 26
• 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: 138-01 Bear channel base drawn off the Aug 4 high
• SUP 4: 137-29 76.4% retracement of the Jun - Aug rally (cont)

Despite the bounce Monday, Treasuries remain in a downtrend following the recent sell-off. A bearish theme was reinforced on Oct 21 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 an extension lower. This has opened 138-04+ next, a Fibonacci projection ahead of 138-01, a bear channel base drawn off the Aug 4 high. Initial resistance is seen at 138-20+.

AUSSIE 3-YR TECHS:

• 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: 99.835 @ 16:32 BST Oct 26
• 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 10-YR TECHS:

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: 99.190 @ 16:33 BST Oct 26
• SUP 1: 99.112 - 50-dma
• SUP 2: 99.055 - Low Sep 18 and 21
• SUP 3: 98.970 - Low Sep 8

Aussie 10y futures remain bullish despite last week's pullback. 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.

JGB TECHS:

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: 151.97 @ 16:37 BST Oct 26
• 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 continue to trade either side of the 152 handle, 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:

Broadly higher after the bell, strong tail-wind for rates all session with equities selling off, ESZ0 breaching 50-day EMA (50% retrace back to Sep low in second half). Yld curves bull flatten, update:

• 3M10Y -3.598, 71.315 (L: 69.544 / H: 73.315)
• 2Y10Y -3.551, 64.996 (L: 64.159 / H: 67.608)
• 2Y30Y -4.126, 144.223 (L: 142.931 / H: 147.446)
• 5Y30Y -2.049, 124.235 (L: 123.332 / H: 126.1)
• Current futures levels:
• Dec 2Y +0.25/32 at 110-13.3 (L: 110-13 / H: 110-13.75)
• Dec 5Y +3.25/32 at 125-21.75 (L: 125-18 / H: 125-23)
• Dec 10Y up 9/32 at 138-20.5 (L: 138-11 / H: 138-23)
• Dec 30Y up 1-1/32 at 173-20 (L: 172-22 / H: 173-30)
• Dec Ultra 30Y up 2-10/32 at 216-17 (L: 214-13 / H: 217-05)

US EURODLR FUTURES CLOSE:

Moderately higher across the strip, near session highs with Golds outperforming all session; lead quarterly EDZ0 holding steady since 3M LIBOR set' +0.00575 to 0.22225% (-0.00188 last wk).

• Dec 20 steady at 99.755
• Mar 21 +0.005 at 99.790
• Jun 21 steady at 99.795
• Sep 21 steady at 99.800
• Red Pack (Dec 21-Sep 22) +0.005 to +0.010
• Green Pack (Dec 22-Sep 23) +0.015 to +0.030
• Blue Pack (Dec 23-Sep 24) +0.035 to +0.045
• Gold Pack (Dec 24-Sep 25) +0.045 to +0.055

US DOLLAR LIBOR: Latest settles

• O/N -0.00075 at 0.08063% (+0.00025 last wk)
• 1 Month -0.00475 to 0.15150% (+0.00487 last wk)
• 3 Month +0.00575 to 0.22225% (-0.00188 last wk)
• 6 Month -0.00313 to 0.24625% (-0.00812 last wk)
• 1 Year -0.00463 to 0.33200% (+0.00163 last wk)

US TSYS: 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): 0.08%, $915B
• Broad General Collateral Rate (BGCR): 0.06%, $334B
• Tri-Party General Collateral Rate (TGCR): 0.06%, $313B
• (rate, volume levels reflect prior session)

• Tsy 7Y-20Y, $3.601B accepted vs. $11.784B submission
• Next scheduled purchase:
• Tue 10/27 1010-1030ET: Tsy 20Y-307Y, appr $1.750B
• Wed 10/28 Next forward schedule release at 1500ET

OUTLOOK: Look Ahead To Tuesday

• US Data/Speaker Calendar (prior, estimate)
• 27-Oct 0830 Sep durable goods new orders (0.5%, 0.5%)
• 27-Oct 0830 Sep durable new orders ex transport (0.6%, 0.4%)
• 27-Oct 0855 24-Oct Redbook retail sales m/m (1.0%, --)
• 27-Oct 0900 Aug FHFA Home Price Index (1.0%, 0.7%)
• 27-Oct 0900 Aug Case-Shiller Home Price Index (0.55%, 0.40%)
• 27-Oct 1000 Q3 housing vacancies rate
• 27-Oct 1000 Oct Conference Board confidence (101.8, 101.9)
• 27-Oct 1000 Oct Richmond Fed Mfg Index (21, 18)
• 27-Oct 1030 Oct Dallas Fed services index
• 27-Oct 1130 $30B US Tsy 42D Bill CMB auction (9127963J6)
• 27-Oct 1130 $30B US Tsy 119D Bill CMB auction (912796XE4)
• 27-Oct 1300 $54B US Tsy 2Y-Note auction (91282CAR2)

PIPELINE: Back To The Sidelines

Expect more issuance from financial names as they exit earnings

• Date $MM Issuer (Priced *, Launch #)
• 10/?? $Benchmark Kommuninvest short 2Y TBA
• -
• $2.5B Priced late Friday; $33.35B/wk
• 10/23 $2.5B *Citigroup 4NC3 fix/FRN +48

EURODOLLAR/TREASURY OPTIONS

Eurodollar Options:

• +9,600 Dec 100 calls, cab
• +5,000 Red Dec 100 calls, 3.0
• +1,500 Blue Dec 91/97 1px3c risk reversals, 2.0 net vs. 99.52/0.30%
• +2,000 Gold Dec 88/91 put spds, 4.25
• +1,500 Green Dec 95/96 put spds, 2.0
• Overnight trade
• Block, 5,000 90/91/93 put trees, 4.5 at 0743:25ET

• -5,000 FVZ 125.75 calls, 13.5
• +5,000 TYZ 136.5 puts, 6/64
• +2,000 TYZ 141 calls, 3/64
• >4,200 TYZ 138.5 straddles, 117-116
• +1,000 USF 169/174 3x2 put spds, 132
• BLOCK, -15,669 TYF 136.5/139.5 strangles, 40/64 at 1047:56ET, adds to heavy sales late last week
• -4,000 TYZ 138 puts 6/64 over TYF 136.5 puts
• +2,000 wk5 TY 137.75 puts, 2
• 1,000 TYF 137.5 puts, 37/64
• Overnight trade
• Block, +5,000 USZ 172/177 put over risk reversals, 52/64
• 7,200 TYZ 139.5 calls, 15/64
• 3,700 TYF 139.5 calls, 21/64
• +3,000 wk5 TY 137.7/138 put spds, 2/64
• 2,500 FVZ 126 calls, 6.5/64