US TSYS: GLOBAL PMI REBOUND TRIGGERS EARLY STOPS ON TSY ROUT

US TSY SUMMARY: Rebound in global PMIs (whether a flash in the pan or not)

triggered heavy risk-on flows early overnight, Tsy futures under pressure

through the NY session. Rates rebounded after very low ISM Mfg (48.1), prices

paid (46.7)

- Incoherent (or off cue) trade related headlines (China wants a deal Pres Trump

said, but may face renewed tariffs if said deal doesn't favor the US it appears)

reversed early bid in equities with shares selling off by midmorning. Yld curves

bear steepened.

- Despite the moves, trade was relatively muted on first day back from extended

Thanksgiving holiday for many. Fed in media blackout through December 12.

- Massive Jun Eurodollar 81/82/83 put flys >+125k at 3.5 adds to appr +55-60k in

early Nov. Huge position build now zeroing in on mid 2020 for potential rate

hike (or OIS adjustment) when most everyone else is positioning for "lower for

longer"

- The 2-Yr yield is down 0.4bps at 1.608%, 5-Yr is up 2.5bps at 1.6506%, 10-Yr

is up 5.2bps at 1.8276%, and 30-Yr is up 6.9bps at 2.2746%.

TECHNICALS

US 10YR FUTURE TECHS: (H0) Extends Recent Weakness 

*RES 4: 130-11+ High Nov 1

*RES 3: 130-04   High Nov 21 and bull trigger

*RES 2: 129-26   High Nov 26

*RES 1: 129-09   Intraday high 

*PRICE: 129-00 @ 16:06 GMT, Dec 2

*SUP 1: 128-23+ Intraday low  

*SUP 2: 128-11+ Low Nov 13

*SUP 3: 128-02   Low Nov 8

*SUP 4: 127-30   Low Nov 7 and bear trigger

10yr futures were under pressure from the off Monday. The focus is on potential

support at the former bear channel resistance at 128-27+. The channel is drawn

off the Oct 8 high and was breached recently, on Nov 20. Prices have today

traded below this support and below 128-31, Nov 18 low to signal a potentially

stronger bearish threat. Further downside would open 128-11+, Nov 13 low. A

rebound above 129.09 is needed to ease the downside pressure.

AUSSIE 3-YR TECHS: (Z9) Weaker Still

*RES 4: 99.472 - 123.6% Projection

*RES 3: 99.464 - 3.0% Upper Bollinger Band

*RES 2: 99.460 - Alltime High Oct 7 

*RES 1: 99.395 - High Nov 27

*PRICE: 98.275 @ 16:10 GMT Dec 2

*SUP 1: 99.165 - Low Nov 13

*SUP 2: 99.130 - Low Nov 12

*SUP 3: 99.070 - Low Nov 8 and key support

*SUP 4: 99.055 - 1.00 projection of Oct 8 - Oct 22 decline from Oct 25 high

Global bond markets sold off Monday, returning focus to the recent lows for

Aussie 3-year futures as the recent run-up to 99.395 looks to now be over.

Prices have now slipped back below the 99.30 level, denting the outlook

materially. 99.165 seen as the next key support. 

AUSSIE 10-YR TECHS: (Z9) Fading Further

*RES 3: 99.0377 - 2.0% Upper Bollinger Band

*RES 2: 99.0358 - 76.4% retracement of the Oct 8 - Nov 11 decline

*RES 1: 99.0150 - High Nov 28

*PRICE: 98.8600 @ 16:15 GMT, Dec 2

*SUP 1: 98.7679 - Former channel resistance 

*SUP 2: 98.6850 - Low Nov 13

*SUP 3: 98.6500 - Low Nov 8 and primary support

Aussie 10yr futures faded further Friday, rejecting any major test on the

mid-October highs in the first half of last week. Nonetheless, prices show

little sign of retreating much further with former channel

resistance-turned-support at 98.7679 holding for now. Momentum will be needed

before the outlook turns convincingly positive, with bulls needing to reclaim

99.0150.

JGB TECHS: (Z9): Key Support in Range

*RES 3: 154.73 - 1.0% 10-dma moving average

*RES 2: 153.93 - High Nov 6

*RES 1: 153.64 - High Nov 21

*PRICE: 152.66 @ 16:18 GMT, Dec 2

*SUP 1: 152.44 - Low Nov 13 and key support

*SUP 2: 152.39 - 1.618 projection of Sep 4 - Sep 17 decline from Sep 25 high 

*SUP 3: 152.34 - 3.0% Lower Bollinger Band

A fourth session of lower lows for JGB futures puts markets on the backfoot

headed into the new week. This brings key support at the Nov13 lows into

contention and break through here would shift the outlook outright bearish. For

bulls to regain any composure, markets must top the Nov 6 high at 153.93.

US TSY FUTURES CLOSE: Broadly weaker all session but off lows. Rates recover

some ground after ISM Mfg 48.1 -- very low; prices 46.7. Yld curves bear

steepened. Note, Mar is lead quarterly. Update:

* 3M10Y  +5.443, 24.764 (L: 19.429 / H: 26.343)

* 2Y10Y  +5.767, 21.755 (L: 17.284 / H: 22.221)

* 2Y30Y  +7.647, 66.599 (L: 59.964 / H: 67.126)

* 5Y30Y  +4.591, 62.378 (L: 57.711 / H: 62.906)

Current futures levels:

* Mar 2-Yr futures down 1.25/32 at 107-24.125 (L: 107-22.375 / H: 107-25.12)

* Mar 5-Yr futures down 5.5/32 at 118-25.5 (L: 118-20.25 / H: 118-29)

* Mar 10-Yr futures down 12.5/32 at 128-31 (L: 128-23.5 / H: 129-09)

* Mar 30-Yr futures down 1-12/32 at 157-19 (L: 157-06 / H: 158-28)

* Mar Ultra futures down 2-21/32 at 185-2 (L: 184-15 / H: 187-16)

US EURODLR FUTURES CLOSE: Mostly weaker, lower half of range, short end

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

* Dec 19 +0.007 at 98.10

* Mar 20 -0.005 at 98.275

* Jun 20 -0.010 at 98.370

* Sep 20 -0.020 at 98.440

* Red Pack (Dec 20-Sep 21) -0.04 to -0.025

* Green Pack (Dec 21-Sep 22) -0.045 to -0.04

* Blue Pack (Dec 22-Sep 23) -0.05 to -0.045

* Gold Pack (Dec 23-Sep 24) -0.06 to -0.05

US SWAPS: Mostly flatter, spd curve flatter by the bell with short end clawing

off inversion. Latest levels:

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

Mon 1500    +1.75/+2.00    -0.12/-3.50   -0.88/-7.88    -1.31/-34.31

1200        +0.81/+1.06    -0.06/-3.44   -0.75/-7.75    -1.19/-34.19

0900        +0.88/+1.12    -0.44/-3.81   -1.00/-8.00    -1.31/-34.31

Mon Open    +1.06/+1.31    -0.50/-3.88   -0.75/-7.75    -1.00/-34.00

US DOLLAR LIBOR: Latest settles

* O/N -0.0019 at 1.5406% (+0.0087 last wk)

* 1 Month -0.0034 to 1.6938% (-0.0056 last wk)

* 3 Month -0.0054 to 1.9001% (-0.0117 last wk)

* 6 Month +0.0093 to 1.9061% (-0.0106 last wk)

* 1 Year +0.0104 to 1.9625% (+0.0371 last wk) 

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

* Daily Effective Fed Funds Rate: 1.55%, volume: $71B

* Daily Overnight Bank Funding Rate: 1.54%, volume: $171B

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

* Secured Overnight Financing Rate (SOFR): 1.65%, $1.004T

* Broad General Collateral Rate (BGCR): 1.62%, $406B

* Tri-Party General Collateral Rate (TGCR): 1.62%, $382B

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

03-Dec  -   Nov NA-made light vehicle sales SAAR (16.55M, 16.85M)

03-Dec 0855 30-Nov Redbook retail sales m/m (-0.4%, --)

03-Dec 0945 Nov ISM-NY current conditions (47.7, --)

03-Dec 1300 US TSYS $26B 52W Bill auction (912796TU3)

PIPELINE: Slow start for December high-grade issuance

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

12/02 Nothing in the pipeline yet. Chatter of China Resources 5Y

-

$2.6B priced Wednesday, $12.28B/wk, just over $114B/month

11/27 $2B *EDF (ELECTRICITE DE FRANCE) 50Y Reg S, 4.5%

11/27 $600M *Bank of China Group Investment 5Y +95

Eurodollar/Tsy options: 

Eurodollar Options

* +10,000 Dec 81 calls, 1.0

Block, 1001:57ET,

* +10,000 Jun 82/83 put spds 7.0 vs. 98.375/0.19% adds to +20k in pit

* +15,000 Mar 83/85/86/87 call condors, 1.75

* >+30,000 Mar 80 puts, 0.5 on screen

* +3,000 Feb 85/86/87 call trees, 0.0

Makes appr 100,000 Jun put flys bough/blocked this morning

* another 25,000 Jun 81/82/83 put flys, 3.5

Block, 1001:57ET,

* 10,000 Mar 80/81 put strip, 1.5

* >+25,000 Mar 80 puts, 0.5 on screen

* >+20,000 Sep 87/92 call spds6.0 on screen

* -30,000 short Jan 87/90 call spds w/short Mar 90/92 call spds, 2.75

total/package

* 4,500 Sep 87/92 call spds, 6.0

Re: large Jun put fly buyer:

* +50,000 Jun 81/82/83 put flys, 3.5 adds to prior 25k screen and block buys

Limited downside put fly adds to prior position build in early November when

fund bought some 55-60k Mar/Jun/Sep put fly strips from 7.5 to 10.0. Big

position build now zeroing in on mid 2020 for potential rate hike (or OIS

adjustment) when most everyone else is positioning for "lower for longer".

* +50,000 Jun 81/82/83 put flys, 3.5 adds to prior 25k screen and block buys

* +17,500 (pit/screen) Jun 90/91 call spds, 0.5 vs. 98.38

Block, 0819:12ET, adds to prior 15k on

screen/Block at 3.5

* 10,000 Jun 81/82/83 put flys, 3.0

Block, 0725:52ET, adds to another 5k on screen

* 10,000 Jun 81/82/83 put flys, 3.5

Block, 0655:18ET, adds to 5k earlier

* another 5,000 Jun 83/85 call spds, 3.5 vs. 98.35/0.13%

Tsy options:

* +5,000 TYF 127/131 put over risk reversals, 1/64 net vs. 128-28.5

* -3,000 TYG 127/130.5 strangles, 37/64

* +3,000 TYF 128 puts, 14/64

* +10,000 wk2 TY 128 puts 3/64 over wk2 TY 130/130.75 call spds

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

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