US TSYS: CARRY-OVER RISK-ON RATE BID, EQ'S SUPPORTED TOO

US TSY SUMMARY: Tsys well bid across the curve, off mid-morning highs, yld

curves mixed all session. Big leap forward in roll efforts, volume HEAVY:

FVZ/FVH appr 1,362,600 from -10.75 to -10.25, -10.75 last; 80% complete; TYZ/TYH

appr 1,469,500 from -2.25 to -1.5, -2.25 last; 88% complete.

- Fed Gov Brainard: Partial To Yield Caps, Flexible PCE Goal. Brainard prefers

"a more flexible approach that would anchor inflation expectations at 2 percent

by achieving inflation outcomes that average 2 percent over time or over the

cycle."

- China issued $6B USD denominated debt: $1.5B 3Y +35, $2B 5Y +40, $2B 10Y +50,

$500M 20Y +70

- US Tsy $41B 5Y Note (912828YV6) right on the screws: awarded 1.587% rate vs.

1.587% WI (previous $41B 5Y awarded 1.570%); 2.50 bid/cover vs. 2.41 prior.

- The 2-Yr yield is down 2.8bps at 1.5859%, 5-Yr is down 1.7bps at 1.5943%,

10-Yr is down 1.9bps at 1.7363%, and 30-Yr is down 2.8bps at 2.1734%.

TECHNICALS:

US 10YR FUTURE TECHS: (Z9) Inching Higher

*RES 4: 131-02+ 76.4% retracement of Oct 4 - Nov 7 decline

*RES 3: 130-26   High Oct 11

*RES 2: 130-15+ High Nov 1 and key bull trigger

*RES 1: 130-02   High Nov 21

*PRICE: 129-23+ @ 16:16 GMT, Nov 26

*SUP 1: 129-03+ Former channel top drawn off the Oct 7 high

*SUP 2: 128-31   Low Nov 18

*SUP 3: 128-10+ Low Nov 13

*SUP 4: 127-31+ Low Nov 7 and bear trigger

10yr futures remain off last weeks high of 130-02 but have recovered some ground

so far this week. A bullish outlook remains intact following the breach last

week of the bear channel resistance drawn off the Oct 8 high. The focus is on

resistance at 130-15+, Nov 1 high and the next key hurdle for bulls. On the

downside, key support remains 128-31, Nov 18 low where a break is required to

instead highlight a bearish threat once again. Bullish for now!

JGB TECHS: (Z9): Inching Higher

*RES 3: 154.80 - 1.0% 10-dma moving average

*RES 2: 153.93 - High Nov 6

*RES 1: 153.64 - High Nov 21

*PRICE: 153.41 @ 17:00 GMT, Nov 26

*SUP 1: 152.79 - Low Nov 14

*SUP 2: 152.44 - Low Nov 13 and key support

*SUP 3: 152.39 - 1.618 projection of Sep 4 - Sep 17 decline from Sep 25 high 

After finishing the week broadly flat, with all mini-rallies proving short-lived

after the print up at 153.64. This saw prices correct back lower, but nearby

support lines remained untroubled. The Nov 6 high at 153.93 becomes the next

target. A failure here could see the return of bearish behaviour. This would

signal scope for a retest of last weeks low at 152.44. A break here would

confirm a resumption of the recent downtrend.

US TSY FUTURES CLOSE: Well bid across the curve, off mid-morning highs, yld

curves mixed all session. Update:

* 3M10Y  -2.515, 14.06 (L: 13.035 / H: 17.783)

* 2Y10Y  +1.28, 15.039 (L: 13.724 / H: 16.212)

* 2Y30Y  +0.381, 58.755 (L: 58.027 / H: 60.42)

* 5Y30Y  -0.964, 57.914 (L: 57.087 / H: 59.106)

Current futures levels:

* Dec 2-Yr futures up 0.75/32 at 107-20.125 (L: 107-18.5 / H: 107-20.75)

* Dec 5-Yr futures up 3.25/32 at 118-26.25 (L: 118-20 / H: 118-27.5)

* Dec 10-Yr futures up 5.5/32 at 129-22 (L: 129-11.5 / H: 129-24.5)

* Dec 30-Yr futures up 19/32 at 160-21 (L: 159-26 / H: 160-25)

* Dec Ultra futures up 1-4/32 at 189-17 (L: 187-30 / H: 189-23)

US TSY FUTURES: *** Big leap forward in roll efforts, volume HEAVY. Reminder,

mkt closed for Thanksgiving holiday next Thursday, Nov 28, Friday Nov 29 first

notice (March futures take lead quarterly position) a shortened session. Dec

futures don't expire until mid-late Dec (10s, 30s and Ultras on 12/19, 2s & 5s

12/31). Update:

* TUZ/TUH appr 905,200 from -6.88 to -6.50, -6.75 last; 82% complete

* FVZ/FVH appr 1,362,600 from -10.75 to -10.25, -10.75 last; 80% complete

* TYZ/TYH appr 1,469,500 from -2.25 to -1.5, -2.25 last; 88% complete

* UXYZ/UXYH 219,800 from -1-12.5 to -1-11.25, -1-11.75 last; 68% complete

* USZ/USH appr 212,800 from 25.0 to 25.5, 25.0 last; 88% complete

* WNZ/WNH appr 322,100 from 22.2 to 23.5, 22.2 last; 86% complete

MONTH-END EXTENSIONS: Prelim Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2018; TIPS 0.01Y; Govt inflation-linked, 0.01

*.....................Projected...1Y Avg Incr..Last Year

*US Tsys.................0.12........0.08........0.11

*Agencies................0.08........0.09........0.10

*Credit..................0.09........0.09........0.05

*Govt/Credit.............0.11........0.09........0.08

*MBS.....................0.06........0.07........0.06

*Aggregate...............0.10........0.08........0.07

*Long Govt/Credit........0.10........0.09........0.15

*Interm Credit...........0.07........0.08........0.06

*Interm Govt.............0.10........0.08........0.10

*Interm Govt/Cred........0.09........0.08........0.08

*High Yield..............0.07........0.08........0.05

US EURODLR FUTURES CLOSE: Mildly higher after the bell, Blues-Golds

underperforming. Current White pack (Dec 19-Sep 20):

* Dec 19 +0.015 at 98.092

* Mar 20 +0.010 at 98.290

* Jun 20 +0.010 at 98.395

* Sep 20 +0.010 at 98.480

* Red Pack (Dec 20-Sep 21) +0.005 to +0.020

* Green Pack (Dec 21-Sep 22) +0.010 to +0.020

* Blue Pack (Dec 22-Sep 23) +0.005 to +0.010

* Gold Pack (Dec 23-Sep 24) +0.005 to +0.010

US DOLLAR LIBOR: Latest settles

* O/N +0.0019 at 1.5380% (+0.0042/wk)

* 1 Month +0.0021 to 1.7016% (-0.0011/wk)

* 3 Month -0.0100 to 1.9086% (-0.0086/wk)

* 6 Month -0.0049 to 1.9143% (+0.0068/wk)

* 1 Year -0.0002 to 1.9416% (+0.0267/wk) 

STIR: Federal Reserve Bank of New York EFFR for prior session:

* Daily Effective Fed Funds Rate: 1.55%, volume: $69B

* Daily Overnight Bank Funding Rate: 1.55%, volume: $179B

US TSYS: REPO REFERENCE RATES: (rate, volume),

* Secured Overnight Financing Rate (SOFR): 1.56%, $994B

* Broad General Collateral Rate (BGCR): 1.54%, $411B

* Tri-Party General Collateral Rate (TGCR): 1.54%, $390B

OUTLOOK: *** US Data/speaker calendar (prior, estimate):

27-Nov 0700 22-Nov MBA Mortgage Applications (-2.2%, --)

27-Nov 0830 23-Nov jobless claims (227k, 221k)

27-Nov 0830 Oct dur goods new orders (-1.2%, -0.9%); ex trans(-0.4%, 0.1%)

27-Nov 0830 Q3 GDP (2nd) (1.9%, 1.9%)

27-Nov 0830 Q3 GDP Price Index (1.7%, 1.7%)

27-Nov 0900 Nov ISM-Milwaukee Mfg Index

27 Nov 0930 *EARLY $45B US TSY 4W Bill auction (912796WL9)

27-Nov 0945 Nov MNI Chicago PMI (43.2, 47.0)

27 Nov 1000 *EARLY $35B US TSY 8W Bill auction (912796WQ8)

27-Nov 1000 Oct personal income (0.3%, 0.3%)

27-Nov 1000 Oct current dollar PCE (0.2%, 0.3%)

27-Nov 1000 Oct total PCE price index (0.0%, 0.3%); core (0.0%, 0.1%)

27-Nov 1000 Oct NAR pending home sales index (108.7, --)

27-Nov 1030 22-Nov crude oil stocks ex. SPR w/w

27 Nov 1130 *EARLY US TSYS $32B 7Y Note (912828YU8) auction

27-Nov 1200 22-Nov natural gas stocks w/w

27-Nov 1400 Fed Beige Book release for upcoming FOMC

27-Nov 1500 Oct farm prices

27-Nov 1630 20-Nov Fed weekly securities holdings

--

28-Nov US markets closed for Thanksgiving holiday

--

29-Nov 1100 Q4 St. Louis Fed Real GDP Nowcast

29-Nov 1115 Q4 NY Fed GDP Nowcast

29-Nov 1200 Early close for Thanksgiving holiday 

PIPELINE: China's $6B 4-tranche debt priced recently

Date $MM Issuer/Rating/Desc/Maturity/Yld; Priced *; Launch #:

11/26 $6B *China: $1.5B 3Y +35, $2B 5Y +40, $2B 10Y +50, $500M 20Y +70

11/26 $650M #PTT Exploration 40Y +172.5

Canadian Issuance

11/26 C$400M #Air Lease 5Y +135

Eurodollar/Tsy options: 

Eurodollar Options

* -9,000 Apr 83 straddles, 21.5

* +10,000 Mar 83/85/86 call flys, 1.25

Block, 1310:00:53ET,

* 12,000 short Dec 83 puts, 1.5 vs. 98.505/0.18%

* +10,000 Dec 81/82 1x2 call spds, 0.75

* -4,000 Dec 80/81 call spds, 8.25

* +4,000 Blue Jan 82/86 put over risk reversals, 0.0

* -5,000 short Dec 82/83/85/86 call condors, 7.5

* -4,000 Dec 81 straddles, 5.75

* -2,500 Jan 81 calls, 2.0

* -4,000 short Dec 83/86 strangles, 3.5

* +4,000 Red Sep'21 65 puts, 1.0

* +5,000 Jan 81/82 2x1 put spds, 1.5

* +16,000 Jun 85/87/90 call flys, 3.5 vs. -4,000 Jun 82 puts, 6.5, 7.5 net 

* +10,000 Blue Dec 87 calls, 1.0 vs. 98.49/0.10%

* +10,000 Blue Dec 86 calls, 2.5 vs. 98.49/0.20%

* -4,000 Green Dec 85/86 strangles 7.5 over Green Dec 88 calls

* 1,000 short Feb 87/88 1x2 call spds, 1.5

* -1,000 short Feb 86 straddles, 26.0

* 1,000 long Green Mar'22 78 puts, 15.0 vs. 98.545

Overnight trade/Block recap

* Block, 2,500 short Dec 83/85 2x1 put spds, 3.0 net

* 4,000 Sep 80/86 put spds, 24.5 vs. 98.58/0.28%

Tsy options:

* +14,500 TYH 124 puts, 2/64, large offer remains

* +10,000 TYF 131 calls, 13/64 on screen recently

* +4,000 TYF 131.5/132.5/133.5 call flys, 3/64

* +6,600 TYF 128/131.25 call over risk reversals earlier, 164

* >6,500 TYF 133 calls, 2/64 on screen

Overnight trade/Block recap

* Block -10,000 USF 156 puts, 19/64 vs. +USG 154/156 put spds, 24/64

* 1,700 USG 153/155 put spds 4/64 over USF 154/156 put spds

* 10,500 USF 152 puts, 2/64

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]