US TSYS: SOLEMN OR SOMNAMBULANT DAY FOR TRUMP IMPEACHMENT VOTE

US TSY SUMMARY: Solemnity or somnambulant impeachment day for Pres Trump? No

effect/none really expected from day's impeachment vote in house expected to

pass on along party lines. Mild risk-on as mkts shrugged off impeachment

deliberations, vote later this evening. 

- Midmorning trade headlines: "Mexican president sees prompt U.S. ratification

of USMCA trade deal, Rtrs",  helped rates extend lows, yld curves bear

steepened. 

- Thin holiday markets with small gaps in standing orders blamed for gap lower,

whippy trade followed. No deal-tied hedging, light carry-over swap-tied selling

in 2s-5s. Steepeners in 2s and 5s vs. 10s.

- Heavy Eurodollar and Tsy option volume, main theme: steady Fed through March

2020, two-way low delta wing flow w/better buying upside, chunky vol sales via

Feb 10Y strangles.

- The 2-Yr yield is up 1bps at 1.6328%, 5-Yr is up 3bps at 1.7365%, 10-Yr is up

4.2bps at 1.9222%, and 30-Yr is up 4.8bps at 2.3538%.

TECHNICALS

US 10YR FUTURE TECHS: (H0) Bearish Focus

*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: 128-03+ @ 16:15 GMT, Dec 18

*SUP 1: 127-29   Low Dec 13

*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 remain quiet having rallied off the day's low on Friday followed by

a retracement this week. The recovery Friday is being viewed as a correction

with underlying trend conditions still bearish. On Friday, futures traded below

the key support at 127-30, Nov 7 low. This indicates a resumption of the

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

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

AUSSIE 10-YR TECHS: (H0) Seen Pressuring Support Near-Term

*RES 3: 98.9500 - High Dec 5

*RES 2: 98.8950 - High Dec 10 and 11

*RES 1: 98.8850 - High Dec 5

*PRICE: 98.7500 @ 16:20 GMT, Dec 18

*SUP 1: 98.7125 - Low Dec 16

*SUP 2: 98.6950 - Low Dec 13 

*SUP 3: 98.6667 - 1.382 projection of Nov 28 - Dec 3 low from Dec 5 high

The mini-recovery at the beginning of the week faded well Wednesday, keeping

support in Aussie 10-yr futures under pressure. Recent gains were viewed as a

correction following the sharp sell-off on Dec 13. This move lower resulted in a

break of 98.8100, Dec 3 low and reinforced the near-term bearish risk. The

trigger for a fresh round of weakness is at 98.6950 where a breach would open

98.6667 and 98.6452, both Fibonacci projection levels. On the upside, resistance

is at 98.8850, Dec 13 high.

JGB TECHS: (H0): Consolidating

*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: 152.07 @ 16:25 GMT, Dec 18

*SUP 1: 151.83 - Contract lows, Dec 10

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

high.

*SUP 3: 150.72 - 1.0% 10-dma envelope

JGB price action is consolidative for now. 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 is 151.83, Dec 10 contract low. A break here would

confirm a resumption of the downtrend and open 151.69 and 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: Weaker by the bell but off late morning lows on moderate

volume (TYH just over 1M), yld curves steeper/near highs. Update:

* 3M10Y  +5.318, 36.143 (L: 29.345 / H: 37.196)

* 2Y10Y  +3.194, 28.555 (L: 23.981 / H: 29.375)

* 2Y30Y  +3.651, 71.600 (L: 66.343 / H: 72.211)

* 5Y30Y  +1.647, 61.431 (L: 59.024 / H: 61.723)

Current futures levels:

* Mar 2-Yr futures down 0.625/32 at 107-20.125 (L: 107-19.625 / H: 107-21.75)

* Mar 5-Yr futures down 3.5/32 at 118-11 (L: 118-08.5 / H: 118-17.75)

* Mar 10-Yr futures down 9/32 at 128-5.5 (L: 128-02 / H: 128-20.5)

* Mar 30-Yr futures down 25/32 at 156-1 (L: 155-26 / H: 157-09)

* Mar Ultra futures down 1-8/32 at 182-12 (L: 182-01 / H: 184-18)

US EURODLR FUTURES CLOSE: Mostly weaker after the bell, lower half session lows,

long end of strip underperforming. Lead quarterly back to steady after absorbing

heavier sales down to 98.235 earlier. Current White pack (Mar 20-Dec 20):

* Mar 20 steady at 98.250

* Jun 20 -0.010 at 98.305

* Sep 20 -0.015 at 98.355

* Dec 20 -0.020 at 98.360

* Red Pack (Mar 21-Dec 21) -0.02 to -0.015

* Green Pack (Mar 22-Dec 22) -0.025 to -0.02

* Blue Pack (Mar 23-Dec 23) -0.03 to -0.025

* Gold Pack (Mar 24-Dec 24) -0.04 to -0.03

US DOLLAR LIBOR: Latest settles

* O/N -0.0021 at 1.5335% (+0.0037/week)

* 1 Month +0.0008 to 1.7646% (+0.0272/wk)

* 3 Month +0.0055 to 1.9080% (+0.0084/wk)

* 6 Month +0.0002 to 1.9049% (+0.0220/wk)

* 1 Year +0.0012 to 1.9696% (+0.0058/wk)

US SWAPS: 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. Latest spd levels:

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

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

1245        +0.56/+6.62    +0.06/-0.69   -0.38/-5.00    -0.31/-29.56

1100        +0.00/+6.06    -0.19/-0.94   -0.44/-5.06    -0.12/-29.38

0930        +0.31/+6.38    +0.00/-0.75   -0.38/-5.00    -0.25/-29.50

Wed Open    +0.25/+6.31    +0.00/-0.75   -0.06/-4.69    -0.25/-29.50

Wed 0715    +0.19/+6.25    +0.00/-0.75   -0.19/-4.81    -0.25/-29.50

Tue 1500    +0.75/+5.69    +0.44/-0.81   +0.56/-4.94    -0.38/-29.75

Tuesday recap: Spds running mostly wider by the bell, spd curve flatter w/short

end little off wides but well off near inverted levels just a week ago.

Light/sporadic swap-tied selling in short to intermediates, dearth of deal-tied

hedging.

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

* Daily Effective Fed Funds Rate: 1.55%, volume: $68B

* Daily Overnight Bank Funding Rate: 1.54%, volume: $166B

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

* Secured Overnight Financing Rate (SOFR): 1.54%, $1.014T

* Broad General Collateral Rate (BGCR): 1.50%, $397B

* Tri-Party General Collateral Rate (TGCR): 1.50%, $376B

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

19-Dec 0830 Dec Philadelphia Fed Mfg Index (10.4, 8.0)

19-Dec 0830 14-Dec jobless claims (252k, 225k)

19-Dec 0830 Q3 current account balance (-$128.2B, -122.0B)

19-Dec 1000 Nov existing home sales (5.46m, 5.44m)

19-Dec 1000 Nov leading indicators (-0.1, 0.1%)

19-Dec 1030 13-Dec natural gas stocks w/w

19-Dec 1130 US Tsy $35B 4W bill (912796WP0) auction 

19-Dec 1130 US Tsy $35B 8W bill (912796WT2) auction

19-Dec 1300 US Tsy $15B 5Y TIPS (912828YL8) re-open auction 

19-Dec 1630 18-Dec Fed weekly securities holdings

PIPELINE: Dearth high grade issuance for week ($0.0 priced/wk; $21.07B/month)

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

12/18 Nothing in Wednesday's pipeline as yet

-

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:

* -9,800 Green Jun 78/81 put spds, 5.5 vs.

* +9,800 Blue Jun 77/80 put spds, 5.5

Midday flow

* -2,500 Blue Mar 81/85 put over risk reversals, 3.5

* -8,000 Mar 83/87 call spds, 1.0

* +15,000 Jun 77/80 2x1 put spds, 0.0 pit/screen

* 10,000 Jun 77 puts, cab on screen

Block, 0956:25ET,

* +10,000 Sep 87/90 call spds even vs. Sep 81 puts, another +8k in pit

* +5,000 Mar 83/85 call spds, 0.75

* >6,500 short Feb 83/85 strangles, 11.5-11.0

* Update, ongoing seller up to -35,000 Jan 81 puts, cab

* over 30,000 Mar 82/83/85 call flys 1.25 (25k screen/5k pit)

* +12,500 Sep 87 calls, 4.5

* +7,500 short Mar 85/88 1x2 call spds, 4.0

* 2,800 short Feb 83/85 strangles, 11.5

* 2,000 Dec 95/97 call spds 0.5 vs. Dec 80/81 put spds, 2.0

* -6,000 short Jan 83/87 strangles, 6.0

* 2,000 Apr 82/83/85 call flys, 1.5

Screen trade update

* +25,000 Jan 82 puts, 2.5-3.0

* +20,000 Mar 85/88 call spds, 0.5

* +10,000 Mar 85/87 call spds .25 over Mar 81 puts

Highlight overnight trade includes

* -35,000 Jan 81 puts, cab

* +25,000 Jan 82 puts, 2.5-3.0

* +15,000 Mar 85/88 call spds, 0.5

* +25k on 1x2 basis for cab

* +10,000 Mar 82/83/85 call flys, 1.25 and 2,000 Mar 83/85/86 call flys

Tsy options, pit/screen:

* >-50,000 FVF/FVG 119.5 call spds on screen at 2/64, looking for more bids

* >+40,000 TYG 128.5/129.5 call spds, 20/64

* Update, >+55,000 TYG 129/130 call spds 13/64 on screen

* -15,000 TYF/TYG 130 call spds on screen, 7/64 after legs traded separately

recently

* -10,000 TYG 130 calls, 8/64

* +4,000 TYH 126.5/130.5 call over risk reversals, 2/64 vs. 128-16

Large screen volume w/addition of TYF 130 calls

* +40,000 TYF 130 calls, 1/64

* -50,000 TYG 130 calls, 9/64

* +27,300 TYF/TYG 129 call spds, 18/64

* +4,500 TYH 126.5/130.5 call over risk reversals, 2/64

* -3,000 FVF FVF 118/118.25/118.5/118.75 put condors, 7.5/64

* +1,500 USG 145 puts, 2/64

Highlight overnight trade includes

* +20,000 TYF 127.75 puts, 4/64

* >10,000 TYF 128/129 strangles, 14/64

* >10,000 TYG 127.5/129.5 strangles, 31- 32/64

* +5,000 TYG 128/129.25 put over risk reversals, 1

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

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