US TSYS: DAY AFTER IMPEACHMENT, SAME AS IT EVER WAS

US TSY SUMMARY: Muted trade on day after impeachment exhaustion? No, just simple

holiday malaise w/markets turning a blind eye to the impeachment of Pres Trump

Wed night.

- Delayed react to early data, Tsys rallied back to early London trade levels.

Desk response to weak Philly Dec at 0.3: "since Q4 2016 there has only been one

weaker post, in Feb of this year, and one equal reading." Another posited the

jump in weekly claims and the weak Philly "should offer support against

multi-week lows."

- Tsys as well as equities climbed to new session highs by midday (all-time

highs for stocks: ESH0 3210.5), as US$ gains vs. GBP but off vs. JPY. Sources

reported two-way positioning flow gives way to fast$/prop buying in shorts to

intermediates, real$ buying long end.

- Note: Tsy 2s10s yld curve climbed to high of year 31.001 -- back to Nov 2018

levels.

- The 2-Yr yield is down 1bps at 1.6186%, 5-Yr is down 1.2bps at 1.7217%, 10-Yr

is down 0.7bps at 1.9099%, and 30-Yr is down 0.1bps at 2.3458%.

TECHNICALS

US 10YR FUTURE TECHS: (H0) Bounces Off Key Support

*RES 4: 130-17+ High Nov 1

*RES 3: 130-04+ High Dec 3

*RES 2: 129-14 High Dec 12 and near-term bull trigger

*RES 1: 129-02 High Dec 13

*PRICE: 128-07 @ 16:17 GMT, Dec 19

*SUP 1: 127-29   Low Dec 13 and bear trigger

*SUP 2: 127-18+ 1.618 projection of the Oct 3 to Nov 7 low from Dec 3 high

*SUP 3: 127-00   Round number support

*SUP 4: 126-31+ 1.764 projection of the Oct 3 to Nov 7 low from Dec 3 high

Having continued to retrace back into the Dec 13 range for much of the Thursday

session, bulls will have taken confidence from the bounce of key support at

127-29, avoiding a fall through the bear trigger. For the time being then, the

outlook remains somewhat neutral. A fall through 127-29 indicates a resumption

of the downtrend and opens 127-18+, a Fibonacci projection and the 127-00 level.

Clearance of 129-14, Dec 12 high is needed to reverse the outlook.

AUSSIE 3-YR TECHS: (H0) Vulnerability Resumes

*RES 4: 99.400 - Low Nov 29

*RES 3: 99.360 - High Dec 12

*RES 2: 99.335 - High Dec 13 

*RES 1: 99.300 - High Dec 17

*PRICE: 99.170 @ 15:56 GMT Dec 19

*SUP 1: 99.160 - Low Dec 19

*SUP 2: 99.139 - 1.382 projection of Nov 29 - Dec 3 decline from Dec 10 high

*SUP 3: 99.120 - 1.500 projection of Nov 29 - Dec 3 decline from Oct 25 high

*SUP 4: 99.077 - 200-dma 

Selling pressure resumed Thursday, pressuring prices to new weekly lows of

99.160 as the outlook returns to bearish. The slip through 99.200 Thursday is

significant and prefaced a show below 99.162. This opens the 99.139 Fibonacci

projection level and the 200-dma below at 99.077. On the upside, resistance is

at 99.335, Dec 13 high.

AUSSIE 10-YR TECHS: (H0) Support Gives Way

*RES 3: 98.9500 - High Dec 5

*RES 2: 98.8950 - High Dec 10 and 11

*RES 1: 98.8850 - High Dec 5

*PRICE: 98.6900 @ 16:02 GMT, Dec 19

*SUP 1: 98.6769 - 200-dma

*SUP 2: 98.6650 - Low Dec 19 

*SUP 3: 98.6500 - Low Nov 8/11

Aussie 10yr futures went from weak to weaker Thursday with better-than-expected

jobs numbers largely responsible. The mini-recovery at the beginning of the week

has now been fully erased, reverting the outlook back to bearish. This opens the

98.6452 Fibonacci projection level On the upside, resistance is at 98.8850, Dec

13 high.

JGB TECHS: (H0): Another Day, Another Low

*RES 3: 153.55 - High Nov 28 and key resistance

*RES 2: 153.11 - High Dec 4

*RES 1: 152.50 - High Dec 9

*PRICE: 151.87 @ 16:08 GMT, Dec 19

*SUP 1: 151.82 - Contract lows, Dec 19

*SUP 2: 151.69/52 - Fibonacci projections of Nov 28 - Dec 3 decline from Dec 4

high.

*SUP 3: 150.67 - 1.0% 10-dma envelope

JGBs weakened further Thursday, reinforcing the bearish tone as fresh contract

lows were printed down at 151.82. A clear downtrend remains in  place though

with a price sequence of lower lows and lower highs evident. The trigger for a

fresh round of weakness turns to the 151.69 Fib projection. A break here would

confirm a resumption of the downtrend and open 151.52, the 1.236 and 1.382

projections of the decline between Nov 28 - Dec 3 from the Dec 4 high. Initial

resistance is at 152.50.

TSY FUTURES CLOSE: Modestly higher by the bell, little off second half highs

after a weaker start. 2s/10s yld curve extended highs for the year earlier

before retracing slightly late. Update:

* 3M10Y  -1.891, 33.133 (L: 32.783 / H: 38.789)

* 2Y10Y  +0.546, 28.955 (L: 27.212 / H: 31.001)

* 2Y30Y  +1.126, 72.567 (L: 70.194 / H: 74.944)

* 5Y30Y  +1.195, 62.429 (L: 60.716 / H: 63.816)

Current futures levels:

* Mar 2-Yr futures up 1/32  at 107-21.25 (L: 107-19 / H: 107-22.25)

* Mar 5-Yr futures up 2.5/32  at 118-13.25 (L: 118-06.25 / H: 118-15.75)

* Mar 10-Yr futures up 3.5/32  at 128-9 (L: 127-29.5 / H: 128-13)

* Mar 30-Yr futures up 6/32  at 156-7 (L: 155-14 / H: 156-15)

* Mar Ultra futures up 7/32  at 182-21 (L: 181-13 / H: 183-03)

US EURODLR FUTURES CLOSE: Steady/mixed in the short end to mildly higher out the

strip -- Reds through Greens recovering Wed's move. Lead quarterly EDH0 under

pressure all session after 3M LIBOR set +0.0197 to 1.9277% (+0.0281/wk). Current

White pack (Mar 20-Dec 20):

* Mar 20 -0.010 at 98.240

* Jun 20 +0.000 at 98.310

* Sep 20 +0.010 at 98.365

* Dec 20 +0.015 at 98.375

* Red Pack (Mar 21-Dec 21) +0.020 to +0.025

* Green Pack (Mar 22-Dec 22) +0.020 to +0.025

* Blue Pack (Mar 23-Dec 23) +0.015 to +0.015

* Gold Pack (Mar 24-Dec 24) +0.010 to +0.015

US DOLLAR LIBOR: Latest settles

* O/N +0.0005 at 1.5340% (+0.0042/week)

* 1 Month +0.0205 to 1.7851% (+0.0477/wk)

* 3 Month +0.0197 to 1.9277% (+0.0281/wk)

* 6 Month +0.0114 to 1.9163% (+0.0334/wk)

* 1 Year +0.0284 to 1.99980% (+0.0342/wk)

US SWAPS: Not much to write home about for swaps Thu, spds inch wider for most

part, long end lagging and is back to steady by the bell. Tentative

normalization as LIBOR inches higher w/short end adjusting lower as chances of

rate cuts in 2020 recede. Latest spd levels:

Time (ET)   2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

Thu 1500    +0.56/+7.19    +0.38/-0.62   +0.19/-4.94    +0.00/-30.00

1300        +0.19/+6.81    +0.38/-0.62   +0.19/-4.94    +0.12/-29.88

1100        +0.75/+7.38    +0.50/-0.50   +0.19/-4.94    +0.25/-29.75

0930        +0.62/+7.25    +0.50/-0.50   +0.12/-5.00    +0.50/-29.50

Thu Open    +0.75/+7.38    +0.38/-0.62   +0.06/-5.06    +0.25/-29.75

Thu 0715    +0.81/+7.44    +0.25/-0.75   +0.00/-5.12    +0.12/-29.88

Wed 1500    +0.69/+6.75    +0.06/-0.69   -0.38/-5.00    -0.19/-29.44

Wednesday recap: Spds running mixed by Wed's closing bell, spd curve flatter vs.

steepening in Tsy yld curve, wider 2s outpacing 5s on light flow: fast$ payers

in 2s-3s.

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

* Daily Effective Fed Funds Rate: 1.55%, volume: $74

* Daily Overnight Bank Funding Rate: 1.54%, volume: $185

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

* Secured Overnight Financing Rate (SOFR): 1.53%, $1.057T

* Broad General Collateral Rate (BGCR): 1.50%, $398B

* Tri-Party General Collateral Rate (TGCR): 1.50%, $374B

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

20-Dec 0830 Q3 GDP (3rd) (2.1%, 2.1%)

20-Dec 0830 Q3 GDP Price Index (1.8%, 1.8%)

20-Dec 1000 Dec Michigan sentiment index (f) (99.2, 99.2)

20-Dec 1000 Nov personal income (0.0%, 0.3%)

20-Dec 1000 Nov current dollar PCE (0.3%, 0.4%)

20-Dec 1000 Nov total PCE price index (0.2%, 0.2%)

20-Dec 1000 Nov core PCE price index (0.1%, 0.1%)

20-Dec 1000 Nov BLS state payrolls 

20-Dec 1100 Dec Kansas City Fed Mfg Index (-3, -3)

20-Dec 1100 Q4 St. Louis Fed Real GDP Nowcast

20-Dec 1115 Q4 NY Fed GDP Nowcast

PIPELINE: High grade issuance for week: $0.0 priced/wk; $21.07B/month

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

12/19 Nothing in pipeline for Thursday

-

12/18 No new US$ issuance Wednesday

-

12/17 No new US$ issuance Tuesday

-

12/16 No new US$ issuance Monday

Canadian issuance on Monday

12/16 C$1.5B *Royal Bank of Canada 10NC5 +125

12/16 C$750M *National Bank of Canada +5Y +94

Eurodollar/Tsy options 

Eurodollar options:

* -4,000 long Green Jun 85 calls, 31.0

* -2,500 Blue Feb 82 straddles, 22.0

* +2,500 Jun 81/82 put spds, 2.75

* >+25,000 short Jan 83/85 put spds on screen, 7.0

* -8,000 Jan 80/short Jan 82 put spds, 0.5 (steepener)

* 4,000 Mar 83/85 call spds w/Jun 85/86 call spds, 1.75 adds to +10k at 1.5

earlier

* -10,000 Dec 82 puts 2.0-1.5 over Dec 85/90 call spds so far

* +3,000 Jun 83/85 call spds, 2.5

* 2,000 short Feb/short Jun 88 call spds 7.5

* >+7,000 Dec 87/90 call spds, 3.5 screen/pit

* +5,000 Mar 83/85 call spd w/Jun 86/87 call spd, 1.5 total

* 2,500 Dec 81/82/83 call flys on screen

* Update, +10,000 Mar 85/90 1x2 call spds, 0.5

* ongoing buyer Mar 82/83/85 call flys on screen

Muted overnight volume, trade recap

* Block +15,000 Mar 88 calls, cab with more on screen (ongoing buyer last couple

weeks)

* +2,500 Mar 82/83/85 call flys

* >7,500 Mar 82 puts

* >6,000 Mar 83 calls

* 2,000 Jun 83/85 call spds

* 1,900 Green Feb 82/86 strangles

* 1,500 MAr 82/83/85 call flys

Block, 0642-0654ET, seeing a lot of activity over last couple weeks outright and

on spd

Tsy options:

* appr 5,000 TYH 128 puts, 49/64 on screen

* +3,000 TYH 126.5/129.5 call over risk reversals, 0.0

* 1,000 TYG 128/129.5 1x2 call spds, 3/64

Highlight overnight trade

* >+37,000 TYG 127 puts from 12- to 17/64

* >12,500 TYF 127.25 puts, 4- to 5/64

* appr 10,000 TYG 127/129.5 strangles

* >6,400 TYF 124.5 puts

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

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