MNI US CLOSING FI ANALYSIS: Risk Pared Ahead Election Results

US TSY SUMMARY: Risk Pared Ahead Election Results

Tsy futures still trading weaker but are well off late morning lows by the bell, yield curves mostly steeper but off highs. First half risk-on tone scaled back in second half (equities off highs (ESZ0 +56.0) as uncertainty over who will win election (not to mention how long results will take).

• Moderate volumes, TYZ0 just over 1.1M, markets have FOMC policy annc on Thu and October employment data to contend with Friday.
• Strong risk-on tone carried over from overnight through much of the first half, knock-on bid in US equities after German DAX staged another strong rally. Contributing factor for US shares is Biden/Harris win will bring fiscal stimulus to those in need quicker than a Trump/Pence re-election will.
• Dec-Ultra-Bond Block buy just after 1300ET added impetus to rally w/ futures bought at 214-12, well through the 214-07 post-time offer.
• Earliest results will start will start filtering out soon after polls close around 1900ET, while some states are prevented in counting mail-in ballots until after the close as well. It's going to be a long night.
• The 2-Yr yield is up 1.2bps at 0.1663%, 5-Yr is up 1.6bps at 0.3909%, 10-Yr is up 3.6bps at 0.8789%, and 30-Yr is up 3.4bps at 1.6501%.

TECHNICALS

US 10YR FUTURE TECHS: (Z0) Resumes Downtrend

• RES 4: 139-07+ High Oct 16
• RES 3: 139-03 High Oct 28 and bull trigger
• RES 2: 138-22 20-day EMA
• RES 1: 138-19+ High Oct 30
• PRICE: 137-31 @16:24 GMT Nov 3
• SUP 1: 137-30+ Bear channel base drawn off Aug 4 high
• SUP 2: 137-23 1.236 proj of Aug 4-28 decline from Sep 3 high
• SUP 3: 137-15 1.382 proj of Aug 4-28 decline from Sep 3 high
• SUP 4: 137-02 1.0% 10-dma Envelope

Treasuries maintain a bearish stance following last week's sell-off that followed a failure on Oct 28 at trendline resistance drawn off the Oct 2 high. The trendline intersects at 138-30. Futures continued lower Tuesday and also breached former support at 138-03+, Oct 30 low. This confirms a resumption of the downtrend and opens 137-30+, the base of a bear channel drawn off the Aug 4 high. Initial resistance is seen at 138-19+, Oct 30 high.

AUSSIE 3Y

AUSSIE 3-YR TECHS: (Z0) Another Lurch Higher on RBA

• RES 3: 100.00 - Psychological round number
• RES 2: 99.886 - 3.0% Upper Bollinger Band
• RES 1: 99.860 - All time High Nov 3 and the bull trigger
• PRICE: 99.845 @ 16:48 BST Nov 3
• 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 got further support Tuesday as the RBA cut their 3-yr yield target, boosting prices to new alltime highs up at 99.860. This further confirms bullish trend conditions. A break of 99.860, the Nov 3 high opens 99.889. Support is at 99.760.

AUSSIE 10Y

• 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: 99.165 @ 16:28 BST Nov 3
• SUP 1: 99.116 - 50-dma
• SUP 2: 99.055 - Low Sep 18 and 21
• SUP 3: 98.970 - Low Sep 8

Aussie 10y futures remain bullish despite the intraday pullback Tuesday. 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) On Track for Lowest Close Since Sept

• 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: 151.77 @ 16:36 BST Nov 3
• SUP 1: 151.75 - Low Oct 08 and trend support
• SUP 2: 151.54 - Low Sep 7
• SUP 3: 151.43 - Low Sep 1

Having topped 152.00 last week, reestablishing the recent positive outlook, JGBs faded further Tuesday to trade well below 152 and on track for the lowest close since mid-September. 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: Risk-On Scaled Back Ahead US Election

Tsy futures still trading weaker but are well off late morning lows by the bell, moderate volumes, TYZ0 just over 1.1M.

• 3M10Y +3.071, 78.26 (L: 75.471 / H: 79.785)
• 2Y10Y +2.761, 71.065 (L: 68.951 / H: 72.392)
• 2Y30Y +2.587, 148.183 (L: 145.593 / H: 150.697)
• 5Y30Y +1.943, 125.926 (L: 123.501 / H: 127.703)
• Current futures levels:
• Dec 2Y -0.75/32 at 110-12.25 (L: 110-12 / H: 110-13.12)
• Dec 5Y -2/32 at 125-17.25 (L: 125-14.5 / H: 125-19.75)
• Dec 10Y down 6.5/32 at 138-3 (L: 137-30.5 / H: 138-11)
• Dec 30Y down 21/32 at 172-3 (L: 171-18 / H: 172-28)
• Dec Ultra 30Y down 1-9/32 at 214-16 (L: 213-13 / H: 216-02)

US EURODLR FUTURES CLOSE: Steady/Weaker By The Bell

Futures trading steady in the short end to modestly weaker out the strip, little off session lows. Lead quarterly holding steady since 3M LIBOR set +0.00462 to 0.22475% (+0.00900/wk). Currently:

• Dec 20 steady at 99.755
• Mar 21 -0.005 at 99.785
• Jun 21 -0.005 at 99.790
• Sep 21 -0.010 at 99.785
• Red Pack (Dec 21-Sep 22) -0.01 to -0.005
• Green Pack (Dec 22-Sep 23) -0.015 to -0.005
• Blue Pack (Dec 23-Sep 24) -0.025 to -0.015
• Gold Pack (Dec 24-Sep 25) -0.03 to -0.02

US DOLLAR LIBOR

Latest settles

• O/N +0.00087 at 0.08200% (+0.00062/wk)
• 1 Month -0.00287 to 0.13763% (-0.00262/wk)
• 3 Month +0.00462 to 0.22475% (+0.00900/wk)
• 6 Month -0.00212 to 0.24388% (+0.00175/wk)
• 1 Year +0.00162 to 0.33400% (+0.00387/wk)

US TSYS: Short Term Rates

STIR: FRBNY EFFR for prior session:

• Daily Effective Fed Funds Rate: 0.09% volume: $58B
• Daily Overnight Bank Funding Rate: 0.08%, volume: $146B

• Secured Overnight Financing Rate (SOFR): 0.11%, $956B
• Broad General Collateral Rate (BGCR): 0.07%, $352B
• Tri-Party General Collateral Rate (TGCR): 0.07%, $314B
• (rate, volume levels reflect prior session)

• Tsy 4.5Y-7Y, $6.001B accepted vs. $15.429B submission
• Next scheduled purchase:
• Fri 11/06 1100-1120ET: Tsy 0Y-2.25Y, appr $12.825B

OUTLOOK: Wednesday Look Ahead

• US Data/Speaker Calendar (prior, estimate)
• 04-Nov ---- Day 1 of 2 FOMC policy meeting
• 04-Nov 0700 30-Oct MBA Mortgage Applications (1.7%, --)
• 04-Nov 0815 Oct ADP private payrolls (749k, 650k)
• 04-Nov 0830 Sep trade balance (-$67.1B, -$63.9B)
• 04-Nov 0945 Oct IHS Markit Services Index (final) (56.0, 56.0)
• 04-Nov 0945 Oct IHS Markit Composite Index (final) (55.5, --)
• 04-Nov 1000 Oct ISM Non-manufacturing Index (57.8, 57.5)
• 04-Nov 1030 30-Oct Distillate stocks w/w change
• 04-Nov 1030 30-Oct Gasoline stocks w/w change
• 04-Nov 1030 30-Oct crude oil stocks ex. SPR w/w
• 04-Nov 1130 US Tsy 105D Bill CMB auction 03-Nov
• 04-Nov 1130 US Tsy 154D Bill CMB auction 03-Nov

PIPELINE: Issuers remain sidelined into the US Presidential Election

EURODOLLAR/TREASURY OPTIONS

Eurodollar Options:

• +5,000 Sep 98/100/100.12 call flys, 0.5
• Overnight trade
• 3,600 Sep 97 puts, 3.0
• 2,200 Mar 100 calls, 0.75
• -2,400 Jun 100 calls, 1.00
• 1,500 Dec 100.12 calls, 0.25
• +4,000 Blue Mar 92/93 put spds, 4.5
• -3,000 Blue Mar 90/91 put spds 0.5 over 97/98 call spds

• 7,400 TYZ 139.75 calls, 10/64
• +8,000 TYF 140 calls, 13/64
• +3,000 TYG 140 calls, 19/64
• TYZ 140 call volume just over 37,100
• +16,000 TYF 139/140.5 call spds 1/64 over TYF 139 puts
• Block, -50,000 TYZ 137/138 put spds, 21/64 vs. 138-02/0.30% at 0857:20ET
• Block, -11,000 w1 TY 138 puts, 28/64 vs. 138-03/0.48% at 0856:25ET
• 2,000 TYZ 136 puts trade 8/64
• Overnight trade
• +15,000 TYZ 140 calls, 7-8/64
• -3,000 TYF 139.5 calls, 18
• 2,000 USZ 176 calls, 61/64
• 2,000 USZ 177 calls, 39/64