US TSYS: THE END IS NIGH, FOR 2019

     US TSY SUMMARY: Late full session of 2019, Tsys opened weaker on light

overnight volume more than reverse Fri's rally as rates followed weaker Bunds.

Futures extended lows/yld curves move steeper on South China Morning Post item:

China trade delegate Liu is expected to sign phase 1 trade deal in DC this Sat. 

- No react to slightly better than exp Chicago PMI 48.9 vs 46.3 in Nov, US rates

held near lows w/equities near lows amid carry-over global macro fund portfolio

rebalance flow (-equities, +Tsys).

- Well off early overnight "highs", Tsy futures inched off lows from midmorning

lows into the close w/equities weaker but off lows (emini ESH0 futures -13.0).

Rates mkt absorbed $42B 13W, $36B 26W and $26B 52W bills.

- Large round trip for GC collateral tapping 2.5% and back down to 2.0% for

Tue's settle after today's Fed operation.

- Better buying lead Eurodollar quarterly futures (EDH0 +0.015 to 98.265) after

3M LIBOR set -0.0352 to 1.9094% (+0.0099 last wk).

- The 2-Yr yield is down 1.4bps at 1.5672%, 5-Yr is unchanged at 1.678%, 10-Yr

is up 1.8bps at 1.8928%, and 30-Yr is up 2.8bps at 2.3443%.

TECHNICALS: US 10YR FUTURE TECHS: (H0) Likely To Remain Under Pressure 

*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: 128-22   Intraday high

*PRICE: 128-15+ @ 18:38 GMT, Dec 30

*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 traded lower today but did find support off the day low. The

outlook remains bearish with attention on the 127-29 key support. A breach would

confirm a resumption of the broader down move 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. Initial resistance is at 128-23+ however a

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

     AUSSIE 10-YR TECHS: (H0) Under Pressure 

*RES 3: 98.8950 - High Dec 10 and 11

*RES 2: 98.8500 - High Dec 18

*RES 1: 98.7050 - High Dec 24 and 27 and key near-term resistance 

*PRICE: 98.6600 @ 19:30 GMT, Dec 30

*SUP 1: 98.6550 - Intraday low 

*SUP 2: 98.5348 - 1.236 projection of Dec 5 - Dec 13 decline from Dec 18 high

*SUP 3: 98.4976 - 1.382 projection of Dec 5 - Dec 13 decline from Dec 18 high

Aussie 10yr futures remain weak and have been under pressure once again today.

Former support at 98.6500, Dec 24 and 30 low has been cleared confirming a

resumption of the current bearish cycle that has been in place since Nov 28. The

focus is on a move towards 98.5348 and 98.4976 next, both Fibonacci projection

levels. Firm short-term resistance has been defined at 98.7050, Dec 24 and 27

high. 

     JGB TECHS: (H0): Has Stabilised

*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: 152.13 @ 19:48 GMT, Dec 30

*SUP 1: 151.62 - Contract lows, Dec 20

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

*SUP 3: 150.51 - 1.0% lower 10-dma envelope

JGB futures are consolidating following the recent recovery off the Dec 23 low

of 151.62. The underlying trend remains bearish and the focus is on an eventual

break of 151.62 to open 151.48 and 151.18, 0.764 and 1.00 Fibonacci projection

levels of the decline between Dec 4 - Dec 10 from the Dec 11 high, ahead of the

151.11 Fibonacci retracement level. A break below the latter would open the 1.0%

lower 10-dma envelope at 150.51. Resistance is at 152.50. 

MONTH-END EXTENSIONS: UPDATED 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 -0.02Y; Govt inflation-linked, -0.03.

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

*US Tsys.................0.07........0.08........0.06

*Agencies................0.09........0.10........0.05

*Credit..................0.07........0.09........0.06

*Govt/Credit.............0.07........0.08........0.06

*MBS.....................0.09........0.07........0.05

*Aggregate...............0.06........0.08........0.05

*Long Govt/Credit........0.06........0.09........0.07

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

*Interm Govt.............0.07........0.08........0.06

*Interm Govt/Cred........0.06........0.08........0.06

*High Yield..............0.09........0.08........0.04

TSY FUTURES CLOSE: Weaker by the bell -- but well off early lows to near top end

of session range on light volume (TYH<790k). Yld curves steeper but off highs.

Update:

* 3M10Y  +4.067, 35.463 (L: 29.078 / H: 38.323)

* 2Y10Y  +2.951, 31.958 (L: 28.657 / H: 34.057)

* 2Y30Y  +4.091, 77.032 (L: 72.851 / H: 79.387)

* 5Y30Y  +2.897, 66.387 (L: 63.417 / H: 67.393)

Current futures levels:

* Mar 2-Yr futures up 0.375/32  at 107-23.125 (L: 107-21.12 / H: 107-23.37)

* Mar 5-Yr futures down 0.75/32  at 118-20.25 (L: 118-13 / H: 118-21.5)

* Mar 10-Yr futures down 4/32  at 128-17 (L: 128-05 / H: 128-22)

* Mar 30-Yr futures down 21/32  at 156-8 (L: 155-10 / H: 156-27)

* Mar Ultra futures down 35/32  at 182-24 (L: 181-02 / H: 183-23)

US EURODLR FUTURES CLOSE: Steady to mixed in Whites-Reds, near lows out the

strip by the bell. Current White pack (Mar'20-Dec'20):

* Mar 20 +0.015 at 98.265

* Jun 20 +0.005 at 98.315

* Sep 20 steady at 98.370

* Dec 20 steady at 98.385

* Red Pack (Mar 21-Dec 21) -0.01 to -0.005

* Green Pack (Mar 22-Dec 22) -0.02 to -0.01

* Blue Pack (Mar 23-Dec 23) -0.03 to -0.02

* Gold Pack (Mar 24-Dec 24) -0.035 to -0.03

US DOLLAR LIBOR: Latest settles

* O/N -0.0018 at 1.5344% (-0.0004 last week)

* 1 Month -0.0185 to 1.7809% (+0.0203 last wk)

* 3 Month -0.0352 to 1.9094% (+0.0099 last wk)

* 6 Month -0.0120 to 1.9087% (+0.0001 last wk)

* 1 Year -0.0032 to 2.0010% (+0.0046 last wk)

US SWAPS: Spds running mostly wider: shorts to intermediates w/ long end

resisting move. Light flow on net, some rate paying in 2s-5s late. Latest spd

levels:

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

Mon 1500    +0.94/+10.94   +1.00/+2.50   +0.56/-3.19    -0.50/-29.50

1330        +0.44/+10.44   +0.94/+2.44   +0.44/-3.31    -0.62/-29.62

1145        +0.44/+10.44   +0.94/+2.44   +0.38/-3.38    -0.75/-29.75

0930        +0.12/+10.12   -0.06/+1.44   -0.25/-4.00    -1.00/-30.00

Mon Open    -0.25/+9.75    -0.18/+1.31   -0.25/-4.00    -1.00/-30.00

Fri 1400    +1.25/+9.31    +0.94/+0.94   +0.38/-4.00    +0.12/-29.38

Friday recap: Spds running wider, short end extending move amid better rate and

spd paying in 2s-5s in midday, receivers in 10s and 30s keeping longer spds

anchored.

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: $188B

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

* Secured Overnight Financing Rate (SOFR): 1.53%, $1.038T

* Broad General Collateral Rate (BGCR): 1.50%, $363B

* Tri-Party General Collateral Rate (TGCR): 1.50%, $341B

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

31-Dec 0855 28-Dec Redbook retail sales m/m (-3.4%, --)

31-Dec 0900 Oct FHFA Home Price Index (0.6%, 0.4%)

31-Dec 0900 Oct Case-Shiller Home Price Index (0.36%, 0.30%)

31-Dec 1000 Dec Conference Board confidence (125.5, 128)

31-Dec 1030 Dec Dallas Fed services index

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

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

12/30-01/03 No new issuance expected for shortened week

-

12/23-12/27 No new US$ issuance last week

Eurodollar/Tsy options 

Eurodollar options:

* +5,000 May 81/82/83/85 call condors, 8.0 w/

* +5,000 Sep 80/81/85/86 call condors, 9.5, 17.5 total/package

* 10,000 Jun 87/90 call spds, 0.75

* 3,000 Mar 82 puts, 3.25 vs. 98.265

* 3,000 Mar 82 puts, 3.25 vs. 98.265

* 5,000 Mar 85/86/87 call flys, cab

* 2,000 Mar 82 straddles, 7.5

* 2,000 Jan 80/81/82 call flys, 1.0 vs. another

* 2,000 Mar 85/86/87 call flys, cab

* 4,900 Apr 82/83/86 broken call flys on screen (+7,250 May 82/83/86 broken call

flys, 1.0 earlier)

* Update, total +15,000 Mar 82/83/85 call flys, 1.75 pit/screen -- more on

latter

Screen trade update ahead the opening bell

* total +13,000 Mar 82/83/85 call flys, 1.75

* 4,1000 Mar 80 puts, cab

Overnight trade limited to the following

* 6,500 Jan 82 puts, 1.75-1.50

* 7,700 Mar 82/83/85 call flys

* +7,250 May 82/83/86 broken call flys, 1.0

* +2,000 Jun 87/90 call spds, 0.75

Tsy options

* >7,000 FVH 121.5 calls, 1/64

* -2,000 FVG 117.75/119.25 strangles, 8.5/64

* -750 USG 152/159.5 strangles, 25/64 earlier

* 3,000 TYG 129.25 calls, 12/64 on screen recently

* 2,000 FVG 119.25 calls, 3.5/64

* Update, just over 10,000 TYG 129 calls on screen, 16/64 last

implieds getting a modest boost from extended

sell-off in underlying into the open

* +1,000 USH 155 puts, 1-26/64 vs. 155-24/0.44%

* 1,000 TYG 128/128.5 strangles, 54/64

* -42,000 TYG 129.5 calls, 9/64

Limited overnight trade includes

* 6,500 TYG 127.5/128/128.5 put trees, 1/64

* 6,200 TYG 129 calls

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

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