US TSYS: QUIET PRE-HOLIDAY TRADE, EARLY TSY BID EVAPORATES

US TSY SUMMARY: Exceedingly quiet start to shortened Christmas holiday week, Tsy

futures weaker across the board, just off second half lows on light volumes

(TYH<540k). 

- Mkts very thin, light two-way positioning with little react to weaker than

expected new home sales data. Futures had already scaled back from early session

highs as have equities (ESH0 +1.25). Doesn't take much for someone with an ax to

grind to push markets around.

- US Tsy $40B 2Y Note auction (912828YZ7) awarded a 1.653% rate (1.601% prior)

vs. 1.650% WI, bid/cover 2.30 vs. 2.63 previous.

- Limited swap flow with payer unwinds in long end from real$.

- The 2-Yr yield is up 1.9bps at 1.6481%, 5-Yr is up 1.7bps at 1.7472%, 10-Yr is

up 1.1bps at 1.9276%, and 30-Yr is up 1.3bps at 2.3552%.

TECHNICALS

US 10YR FUTURE TECHS: (H0) Focus Is On Key Support

*RES 4: 130-04+ High Dec 3

*RES 3: 129-14   High Dec 12 and near-term bull trigger

*RES 2: 129-02   High Dec 13

*RES 1: 128-23+ High Dec 17

*PRICE: 128-09+ @ 15:24 GMT, Dec 23

*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

10yr futures are consolidating for now. The outlook though remains bearish with

attention on the 127-29 key support. A breach would confirm a resumption of the

broader downtrend and maintain the bearish price sequence of lower lows and

lower highs. This would open 127-18+, a Fibonacci projection and, the 127-00

level. On the upside, initial resistance is seen at 128-23+ however, a break

above 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: 99.125 @ 15:25 GMT Dec 23

*SUP 1: 99.120 - Low Dec 23

*SUP 3: 99.083 - 200-dma 

*SUP 4: 99.070 - Low Nov 8

*SUP 4: 99.000 - Handle Support

After a poor week, Monday's session also did little to instill confidence in

bulls, ekeing to a new low of 99.120. The slip through 99.200 last week is

significant and prefaced a show below 99.162. This opens the 99.083 200-dma and

the Nov 8 low beyond. On the upside, resistance is at 99.335, Dec 13 high.

AUSSIE 10-YR TECHS: (H0) Remains Weak

*RES 3: 98.9500 - High Dec 5

*RES 2: 98.8950 - High Dec 10 and 11

*RES 1: 98.8850 - High Dec 5

*PRICE: 98.6750 @ 15:29 GMT, Dec 23

*SUP 1: 98.6550 - Low Dec 20 

*SUP 2: 98.6500 - Low Nov 8/11

*SUP 3: 98.5785 - 3.0% Lower Bollinger Band

Aussie 10yr futures weakened further for a particularly negative close Friday,

edging below the 200-dma for the first time in over a year. This switches the

picture to outright bearish and opens further losses down to levels not seen

since mid-July. The RSI is also yet to indicate oversold conditions, meaning the

run lower could still have legs. For bulls to slow any decline they first need

to recoup the 200-dma before eyeing the Dec 5 at 98.8850.

JGB TECHS: (H0): Outright Bearish

*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: 151.74 @ 15:35 GMT, Dec 23

*SUP 1: 151.62 - Contract lows, Dec 20

*SUP 2: 151.11 - 76.4% August 2018 - September 2019 Rally

*SUP 3: 150.61 - 1.0% lower 10-dma envelope

The outlook for JGB futures flipped to outright bearish Friday as losses

persisted into the close. This opens renewed pressure south of the 151.00 handle

to levels not seen since December last year. 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 151.11 Fib retracement. A break here

would open the 1.0% lower 10-dma envelope at 150.61.

TSY FUTURES CLOSE: Weaker across the board, just off second half lows.

Exceedingly quiet pre-holiday session on light volumes (TYH<540k). Yld curves

mostly flatter/off lows. Update:

* 3M10Y  +1.241, 35.283 (L: 31.086 / H: 36.419)

* 2Y10Y  -1.053, 27.508 (L: 26.236 / H: 28.324)

* 2Y30Y  -0.904, 70.307 (L: 68.369 / H: 70.964)

* 5Y30Y  -0.299, 60.688 (L: 59.485 / H: 61.351)

Current futures levels:

* Mar 2-Yr futures down 1.25/32  at 107-19.25 (L: 107-18.87 / H: 107-20.625)

* Mar 5-Yr futures down 3.25/32  at 118-8.75 (L: 118-07.25 / H: 118-13.75)

* Mar 10-Yr futures down 3.5/32  at 128-4.5 (L: 128-01.5 / H: 128-12.5)

* Mar 30-Yr futures down 10/32  at 155-30 (L: 155-23 / H: 156-24)

* Mar Ultra futures down 10/32  at 182-12 (L: 181-31 / H: 183-23)

US EURODLR FUTURES CLOSE: Mildly weaker by the close -- just off lows/narrow

range. Current White pack (Mar 20-Dec 20):

* Mar 20 -0.010 at 98.225

* Jun 20 -0.015 at 98.280

* Sep 20 -0.020 at 98.330

* Dec 20 -0.020 at 98.340

* Red Pack (Mar 21-Dec 21) -0.035 to -0.03

* Green Pack (Mar 22-Dec 22) -0.035 to -0.025

* Blue Pack (Mar 23-Dec 23) -0.025

* Gold Pack (Mar 24-Dec 24) -0.025 to -0.02

US DOLLAR LIBOR: Latest settles

* O/N -0.0021 at 1.5345% (+0.0068 last week)

* 1 Month +0.0129 to 1.7920% (+0.0424 last wk)

* 3 Month +0.0119 to 1.9466% (+0.0351 last wk)

* 6 Month +0.0038 to 1.9244% (+0.0377 last wk)

* 1 Year +0.0019 to 2.0015% (+0.0358 last wk)

US SWAPS: Quiet week opener for swaps, limited flow with payer unwinds in long

end from real$. Latest spd levels:

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

Mon 1500    -0.50/+7.19    +0.00/+0.06   -0.25/-4.38    -0.38/-29.12

Mon Open    -0.25/+7.44    +0.00/+0.06   +0.25/-3.88    +0.38/-28.38

Mon 0730    +0.25/+7.94    +0.00/+0.06   +0.25/-3.88    +0.38/-28.38

Fri 1500    +0.50/+7.19    +0.81/-0.06   +0.81/-4.19    +1.00/-29.00

Fri Open    +0.62/+7.31    +0.38/-0.50   +0.50/-4.50    +0.50/-29.50

Friday recap: Spds running wider by the bell, spd curve steeper vs. mildly

flatter Tsy curves, some light spec acct paying in 10s and 30s after midday.

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

* Daily Effective Fed Funds Rate: 1.55%, volume: $73B

* Daily Overnight Bank Funding Rate: 1.54%, volume: $178B

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

* Secured Overnight Financing Rate (SOFR): 1.53%, $967B

* Broad General Collateral Rate (BGCR): 1.49%, $366B

* Tri-Party General Collateral Rate (TGCR): 1.49%, $346B

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

24-Dec 0855 21-Dec Redbook retail sales m/m

24-Dec 1000 Dec Richmond Fed Mfg Index (-1, 1)

24-Dec 1000 US Tsys $41B 5Y Note (912828YY0) auction

PIPELINE: High grade issuance limited for month at $21.07B

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

12/23 No new issuance expected for shortened week

-

12/16 No new US$ issuance Monday-Friday; $21.07B/month

Eurodollar/Tsy options 

Eurodollar options:

* +8,000 Mar 80 calls, 25.0 vs.

* -28,000 Mar 82/86 call spds, 3.0 vs. 98.24, 29.0 net package

* +6,000 Mar 83/85 call spds, 0.75

* +4,000 short Jan 85 calls, 2.0

* +3,000 short Jan 83 straddles, 10.0

* over 3,000 Sep 85/87/88/91 call condors, 2.0

* -3,000 Blue Feb 80/85 call over risk reversals, 1.0

* +5,000 short Jun 82 puts, 8.0

* +4,000 short Feb 85/Green Feb 83 2x1 put spds, 3.25/legs

* >+5,250 Green Mar 82/Blue Mar 81 put spds, 0.0

* +/- Green Jun 83 straddles, 36.0

* Update, -20,000 short Jun 86/90 call spds, 5.5-5.75 vs. 98.40/0.20%

* -5,000 short Jun 86/90 call spds, 5.5 vs. 98.40/0.20%

* Sep 82 straddles trading 20.5

Recap overnight trade

* >+50,000 Mar 83/85 call spds, 0.75

* >34,000 Mar 83 puts, 15.5 (30k Blocked now)

Blocks, 0759-0802ET,

Tsy options:

* -2,500 TYG 127/129.5 strangles, 21/64

* Update, >8,500 FVF 118.75 combos, 16/64 puts over earlier

Overnight trade/blocks

* Block, +10,000 TYG 129 calls, 20/64 vs -5,250 FVH 118-12

* +12,000 TYF 129 calls, 2/64

* +3,000 TYH 126.5 puts, 15/64

* >1,500 TYF 128.25 straddles, 23/64

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

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