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MNI: BAKER HUGHES US RIG COUNT 619; OIL RIGS 511; GAS RIGS 106

EZ/UK Bond Supply Calendar: EU, UK Synd W/C 22 Apr, BoE APF Mon

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MNI US CLOSING FI ANALYSIS: No Love For Targeted Relief


US TSY SUMMARY: Early Risk-On Tone Loses Momentum

Mkts kicked off new wk w/ concerted risk-on tone, Tsys broadly weaker w/ equities climbing early overnight and holding gains into midmorning. Risk appetite supported by hopes of bipartisan breakthrough on relief stimulus.

  • * Grudging reversal started around midmorning. While a "48 hour" deadline for stim-deal given to WH by House Sp Pelosi over weekend, Sen maj/ldr McConnell's insistence on targeted relief soured hopes (w/"PPP loans, creates liability protection, more unemployment benefits, forgiveness of postal service loan, education assistance")
  • * Tsys pared losses but remained weaker in second half even as equities continued to extend lows, likely reacting to Bbg headline: "DEMOCRATS SAY DISAGREEMENT ON STIMULUS LANGUAGE REMAINS".
  • * Markets showed little react to multiple Fed speakers (Fed chair Powell discussed digital currencies; Bostic, Clarida, Kashkari, Harker all hummed party line), while thorny BREXIT negotiations continued. No noticeable market react, but underscores second half risk-off theme: "US IMPOSES SANCTIONS ON CHINESE FOR TIES TO IRAN," Bbg
  • * The 2-Yr yield is up 0.2bps at 0.1451%, 5-Yr is up 0.8bps at 0.3297%, 10-Yr is up 1.3bps at 0.759%, and 30-Yr is up 1.6bps at 1.5442%.

TECHNICALS, US 10YR FUTURE TECHS:

Selling Pressure Dominates

  • RES 4: 139-25 High Oct 2
  • RES 3: 139-17 76.4% retracement of the Sep 29 - Oct 7 sell-off
  • RES 2: 139-14 High Oct 15
  • RES 1: 139-01+ Intraday high
  • PRICE: 138-28 @16:42 BST Oct 19
  • SUP 1: 138-20+ Low Oct 7 and the bull trigger
  • SUP 2: 138-18+ Low Aug 28 and bear trigger
  • SUP 3: 138-16+ Low Jun 23 (cont)
  • SUP 4: 138-12 61.8% retracement of the Jun - Aug rally (cont)
Treasuries have reversed last week's positive tone. Monday's sell-off marks an extension of the pullback from the recent high of 139-14 on Oct 15. The move through support at 138-28+, Oct 13 low exposes 138-20+, Oct 7 low and 138-18+, Aug 28 low. The latter is the bear trigger where a break would signal a resumption of the reversal that occurred on Aug 4. This would open 138-04+, a Fibonacci projection. Firm resistance is at 139-14.

AUSSIE 3-YR TECHS

Looking To Clear Resistance

  • RES 3: 100.00 - Psychological round number
  • RES 2: 99.886 - 3.0% Upper Bollinger Band
  • RES 1: 99.840 - All time High Oct 6, 15 and the bull trigger
  • PRICE: 99.835 @ 16:53 BST Oct 19
  • 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 99.840, Oct 7 high and last week's high would open 99.889. Support is at 99.760.

AUSSIE 10-YR TECHS

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: 99.250 @ 17:01 BST Oct 19
  • 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.

JGB TECHS

Bullish Focus

  • 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: 152.10 @ 17:02 BST Oct 19
  • 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 remain firmer following the recent recovery that has resulted in a move above 152.00. Attention turns to 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: Weaker by the bell

But well off midmorning lows on moderate volumes (TYZ>940k just after the bell). Rates reluctantly react to stimulus headlines (DEMOCRATS SAY DISAGREEMENT ON STIMULUS LANGUAGE REMAIN" Bbg) reversal in stocks (ESZ0 -45.0). Yld curves steeper but off highs. Update:

  • 3M10Y +1.668, 66.596 (L: 64.999 / H: 68.176)
  • 2Y10Y +1.464, 61.517 (L: 60.213 / H: 62.782)
  • 2Y30Y +2.078, 140.444 (L: 138.902 / H: 141.933)
  • 5Y30Y +1.479, 122.027 (L: 121.022 / H: 123.32)Current futures levels:
  • Dec 2Y down 0.125/32 at 110-13.625 (L: 110-13.125 / H: 110-13.75)
  • Dec 5Y down 2.25/32 at 125-24 (L: 125-22.25 / H: 125-26)
  • Dec 10Y down 5.5/32 at 138-28.5 (L: 138-24 / H: 139-01.5)
  • Dec 30Y down 16/32 at 174-13 (L: 173-30 / H: 174-27)
  • Dec Ultra 30Y down 29/32 at 218-1 (L: 217-02 / H: 218-26)

US TSYS/SUPPLY

Preview of week's auctions:

  • DATE TIME AMOUNT SECURITY (CUSIP)/ANNC
  • 19-Oct 1130ET $54B 13W-Bill (9127963V9), 0.100%
  • 19-Oct 1130ET $51B 26W-Bill (9127962Q1), 0.115%
  • 20-Oct 1130ET $30B 42D-Bill CMB (912796TU3)
  • 20-Oct 1130ET $30B 119D-Bill CMB (9127964D8)
  • 21-Oct 1130ET TBA 105D Bill CMB 20-Oct
  • 21-Oct 1130ET TBA 154D Bill CMB 20-Oct
  • 21-Oct 1300ET $22B 20Y-bond/R/O (912810SQ2)
  • 22-Oct 1130ET TBA 4W-Bill 20-Oct
  • 22-Oct 1130ET TBA 8W-Bill 20-Oct
  • 22-Oct 1300ET $17B 5Y-TIPS (91282CAQ4)

US EURODLR FUTURES CLOSE: Mostly Weaker, Steady/Mixed In Short End

Lead quarterly gained since 3M LIBOR fell -0.00975 to new record low of 0.20863%** (-0.00575 last wk). Latest lvls:

  • Dec 20 +0.005 at 99.765
  • Mar 21 -0.005 at 99.790
  • Jun 21 steady at 99.805
  • Sep 21 steady at 99.805
  • Red Pack (Dec 21-Sep 22) -0.01 to steady
  • Green Pack (Dec 22-Sep 23) -0.02 to -0.01
  • Blue Pack (Dec 23-Sep 24) -0.025
  • Gold Pack (Dec 24-Sep 25) -0.03 to -0.025

US DOLLAR LIBOR

Latest settles

  • O/N -0.00025 at 0.08088% (-0.00062 last wk)
  • 1 Month -0.00800 to 0.14338% (+0.00613 last wk)
  • 3 Month -0.00975 to 0.20863%** (-0.00575 last wk)
  • 6 Month -0.00325 to 0.25425% (+0.01175 last wk)
  • 1 Year +0.00475 to 0.33975% (-0.01263 last wk)
  • ** 3M New record Low

US TSYS

STIR: FRBNY EFFR for prior session:

  • Daily Effective Fed Funds Rate: 0.09% volume: $59B
  • Daily Overnight Bank Funding Rate: 0.08%, volume: $159B

US TSYS: Repo Reference Rates

  • Secured Overnight Financing Rate (SOFR): 0.09%, $914B
  • Broad General Collateral Rate (BGCR): 0.06%, $348B
  • Tri-Party General Collateral Rate (TGCR): 0.06%, $325B
  • (rate, volume levels reflect prior session)

FED: NY Fed Operational Purchase

  • Tsy 20Y-30Y, $1.734B accepted vs. $3.847B submission
  • Next scheduled purchase:
  • Tue 10/20 1010-1030ET: Tsy 4.5Y-7Y, appr $6.025B

OUTLOOK, Look Ahead To Tuesday

OUTLOOK: US Data/Speaker Calendar (prior, estimate)

  • 20-Oct 0830 Oct Philadelphia Fed Nonmfg Index (8, --)
  • 20-Oct 0830 Sep building permits (1.476M rev, 1.506M)
  • 20-Oct 0830 Sep housing starts (1.416M, 1.455M)
  • 20-Oct 0855 17-Oct Redbook retail sales m/m
  • 20-Oct 0900 NY Fed Williams, remarks culture event
  • 20-Oct 1050 Fed VC Quarles, financial stability board
  • 20-Oct 1130 US Tsy $30B 42D-Bill CMB auction (912796TU3)
  • 20-Oct 1130 US Tsy $30B 119D-Bill CMB auction (9127964D8)
  • 20-Oct 1300 Chi Fed Pres Evans, "Pandemic's Impact and Future of U.S. Economy", Detroit Economic Club
  • 20-Oct 1330 NY Fed VP Singh on Fed's corp credit facility
  • 20-Oct 1700 Atl Fed Bostic, fair housing

PIPELINE: T-Mobile Launched

  • Date $MM Issuer (Priced *, Launch #)
  • 10/19 $4.75B #T-Mobile $1B 11Y +148, $1.25B tap 3% 20Y +160, $1.5B tap 3.3% 30Y +190, $1B 40Y +210 (adds to $4B on Jun 18: $1B +5Y+120, $1.25B +7Y+155, $1.75B +10Y +187.5)
  • 10/19 $1.5B *China Development Bank $1B 5Y +75, $500M 10Y +95
  • 10/19 $1B *American Honda $450M 1.25Y FRN L+12, $550M 2Y +27 (issued $1.75B on
  • Jan 7: $850M 3Y +40, $400M 3Y FRN +37, $500M 7Y +63)
  • 10/19 $1B *Ross Stores $500M +5Y +65, $500M +10Y +115
  • 10/19 $1B *KDB $500M 3Y +40, $500M 5.5Y +52.5
  • 10/19 $750M *Penske Trucking Leasing +90
  • 10/19 $500M #CIBC WNG 5Y Green +63
  • On tap for Tuesday
  • 10/20 $Benchmark Denmark 2Y +5a
  • 10/20 $3B United Airlines 4.1Y EETC deal (enhanced equipment trust certificates, corporate debt securities)

EURODOLLAR/TREASURY OPTIONS

Eurodollar Options:

  • 2,000 Green Mar 96 puts, 7.0
  • 1,500 Green Nov 96/97 strangles, 3.5
  • -1,000 Green Dec 92/93/95/96 put condors, 1.5
  • +2,000 Blue Dec 93/95 put spds .25 over Blue Dec 96 calls
  • -2,500 Dec 97/98 call spds, 2.75
  • Overnight trade:
  • 5,000 Nov 95 puts cab

Tsy Options:
  • -2,000 TYZ 137.5/138.5 put spds, 18/64 vs. 138-27.5/0.17%
  • 1,500 USX 174 puts, 34/64
  • -2,500 USX 173/174 put spds, 20-22
  • 2,600 wk5 TY 137/137.5/137.75 broken put trees, 0.0
  • 2,000 FVZ 126.25 calls, 4.5
  • Overnight trade
  • 10,000 TYZ 138 puts, 30/64 total volume >17.1k
  • 8,000 TYZ 137.5 puts, 20/64 last
  • +3,000 TYH 138/138.5/139.5/140 call condors, 9/64

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