US TSYS: TSYS HEAVY ON QUIET PRE-HOLIDAY TRADE; NEW HIGHS EQS

US TSY SUMMARY: Rates held weaker levels all day, Tsy futures off lows by the

close after extending lows following flurry of positive data (Oct Durables

+0.6%, Highest Since Jul; weekly claims -15k to 213k; 3Q GDP Revised Up To

+2.1%). Rates gradually see-sawed off lows to near middle session range from

late morning through the close.

- Tsys did trade heavy again late as S&P E-Mini Futures continued to extend

all-time highs (3153.25).

- Pre-holiday market illiquidity rules in effect. Don't be fooled by the heavy

volume at the moment: TYZ>1.1m. Take away roll-related flow and trade in lead

quarterly is an anemic of 635k in late trade. Mar futures take lead quarterly

position Friday.

- Ultra-bond sell-through contributed to long end weakness: -3,000 WNH 188-06,

sell through 188-13 post-time bid.

- The 2-Yr yield is up 4.2bps at 1.6239%, 5-Yr is up 2.7bps at 1.6226%, 10-Yr is

up 2.2bps at 1.7637%, and 30-Yr is up 1.2bps at 2.1908%.

TECHNICALS

US 10YR FUTURE TECHS: (Z9) Falters Ahead of Week's Highs

*RES 4: 131-02+ 76.4% retracement of Oct 4 - Nov 7 decline

*RES 3: 130-26   High Oct 11

*RES 2: 130-15+ High Nov 1 and key bull trigger

*RES 1: 130-02   High Nov 21

*PRICE: 129-12 @ 16:26 GMT, Nov 27

*SUP 1: 129-00+ Former channel top drawn off the Oct 7 high

*SUP 2: 128-31   Low Nov 18

*SUP 3: 128-10+ Low Nov 13

*SUP 4: 127-31+ Low Nov 7 and bear trigger

After holding their ground for much of the Wednesday session, Treasuries

faltered on better-than-expected data, returning back toward the lower-end of

the week's range. A bullish outlook remains intact, however, following the

breach last week of the bear channel resistance drawn off the Oct 8 high. The

focus is on resistance at 130-15+, Nov 1 high and the next key hurdle for bulls.

On the downside, key support remains 128-31, Nov 18 low where a break is

required to instead highlight a bearish threat once again.

AUSSIE 10-YR TECHS: (Z9) Well Supported, But No Break Yet

*RES 3: 99.0358 - 76.4% retracement of the Oct 8 - Nov 11 decline

*RES 2: 99.0128 - 2.0% Upper Bollinger Band

*RES 1: 98.9800 - High Nov 27

*PRICE: 98.9650 @ 16:16 GMT, Nov 27

*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 held the Lowe-inspired gains Wednesday, helping markets up

to a new November high of 98.9800. The move took out Fib resistance at 98.9621,

tilting upside targets slightly higher. Momentum will be needed before the

outlook turns convincingly positive, however. Support is at 98.7679, the former

channel resistance.

JGB TECHS: (Z9): Inching Higher

*RES 3: 154.85 - 1.0% 10-dma moving average

*RES 2: 153.93 - High Nov 6

*RES 1: 153.64 - High Nov 21

*PRICE: 153.45 @ 16:24 GMT, Nov 27

*SUP 1: 152.79 - Low Nov 14

*SUP 2: 152.44 - Low Nov 13 and key support

*SUP 3: 152.39 - 1.618 projection of Sep 4 - Sep 17 decline from Sep 25 high 

After finishing the week broadly flat, with all mini-rallies proving short-lived

after the print up at 153.64. This saw prices correct back lower, but nearby

support lines remained untroubled. The Nov 6 high at 153.93 becomes the next

target. A failure here could see the return of bearish behaviour. This would

signal scope for a retest of last weeks low at 152.44. A break here would

confirm a resumption of the recent downtrend.

US TSY FUTURES CLOSE: Trading weaker after the bell, off early session lows to

near middle session range; decent futures volume inflated by Dec/Mar futures

rolling ahead Fri's first notice (Mar takes lead quarterly). Update:

* 3M10Y  +1.65, 16.224 (L: 12.288 / H: 16.74)

* 2Y10Y  -1.226, 14.327 (L: 13.524 / H: 16.187)

* 2Y30Y  -2.621, 56.689 (L: 56.271 / H: 59.786)

* 5Y30Y  -1.648, 56.489 (L: 56.394 / H: 59.093)

Current futures levels:

* Dec 2-Yr futures down 2.75/32  at 107-17.5 (L: 107-17 / H: 107-20.125)

* Dec 5-Yr futures down 6.25/32  at 118-19.75 (L: 118-19 / H: 118-26.25)

* Dec 10-Yr futures down 10.5/32  at 129-11.5 (L: 129-11 / H: 129-22)

* Dec 30-Yr futures down 16/32  at 160-3 (L: 159-26 / H: 160-20)

* Dec Ultra futures down 19/32  at 188-26 (L: 188-03 / H: 189-15)

US TSY FUTURES: *** Roll efforts tapering off. Reminder, mkt closed for

Thanksgiving holiday next Thursday, Nov 28, Friday Nov 29 first notice (March

futures take lead quarterly position) a shortened session. Dec futures don't

expire until mid-late Dec (10s, 30s and Ultras on 12/19, 2s & 5s 12/31). Update:

* TUZ/TUH appr 366,200 from -7.0 to -6.62, -6.88 last; 93% complete

* FVZ/FVH appr 460,700 from -11.0 to -10.5, -11.0 last; 93% complete

* TYZ/TYH appr 448,300 from -3.0 to -1.75, -3.0 last; 97% complete 

* UXYZ/UXYH 96,400 from -1-12.5 to -1-11.5, -1-12.5 last; 95% complete

* USZ/USH appr 56,500 from 25.0 to 25.2, 25.2 last; 91% complete

* WNZ/WNH appr 45,800 from 21.7 to 22.75, 21.7 last; 98% complete

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 0.01Y; Govt inflation-linked, 0.01

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

*US Tsys.................0.12........0.08........0.11

*Agencies................0.15........0.09........0.10

*Credit..................0.10........0.09........0.05

*Govt/Credit.............0.11........0.09........0.08

*MBS.....................0.09........0.07........0.06

*Aggregate...............0.11........0.08........0.07

*Long Govt/Credit........0.12........0.09........0.15

*Interm Credit...........0.09........0.08........0.06

*Interm Govt.............0.10........0.08........0.10

*Interm Govt/Cred........0.09........0.08........0.08

*High Yield..............0.11........0.08........0.05

US EURODLR FUTURES CLOSE: Moderately weaker, at/near session lows w/Reds

(EDZ0-EDU1) underperforming. Current White pack (Dec 19-Sep 20):

* Dec 19 -0.003 at 98.093

* Mar 20 -0.025 at 98.270

* Jun 20 -0.035 at 98.365

* Sep 20 -0.040 at 98.440

* Red Pack (Dec 20-Sep 21) -0.05 to -0.045

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

* Blue Pack (Dec 22-Sep 23) -0.04

* Gold Pack (Dec 23-Sep 24) -0.04 to -0.035

US SWAPS: Spds running mostly wider by the bell, short end resisting move, just

above inversion. Current spd levels:

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

Wed 1500    -0.75/+0.25    +0.94/-4.69   +0.44/-8.19    +1.19/-33.81

1315        -0.88/+0.12    +0.62/-5.00   +0.19/-8.44    +0.88/-34.12

1015        -0.94/+0.06    +0.19/-5.44   -0.50/-9.12    -0.31/-35.31

Wed Open    +0.00/+1.00    +0.69/-4.94   +0.19/-8.44    +0.31/-34.69

Tue 1500    +1.38/+0.69    +0.25/-5.62   +0.44/-8.56    +0.81/-34.75

US DOLLAR LIBOR: Latest settles

* O/N +0.0016 at 1.5396% (+0.0058/wk)

* 1 Month -0.0105 to 1.6911% (-0.0116/wk)

* 3 Month +0.0051 to 1.9137% (-0.0035/wk)

* 6 Month -0.0074 to 1.9069% (-0.0006/wk)

* 1 Year -0.0019 to 1.9398% (+0.0248/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): 1.54%, $1.056T

* Broad General Collateral Rate (BGCR): 1.51%, $411B

* Tri-Party General Collateral Rate (TGCR): 1.51%, $388B

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

28-Nov US markets closed for Thanksgiving holiday

-

29-Nov 1100 Q4 St. Louis Fed Real GDP Nowcast

29-Nov 1115 Q4 NY Fed GDP Nowcast

29-Nov 1200 Early close for Thanksgiving holiday 

PIPELINE: Bank of China Group Investment 5Y priced

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

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

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

-

$6.65B Priced Tuesday, $9.68B/wk

11/26 $6B *China: $1.5B 3Y +35, $2B 5Y +40, $2B 10Y +50, $500M 20Y +70

11/26 $650M *PTT Exploration 40Y +172.5

Canadian Issuance

11/26 C$400M *Air Lease 5Y +135 

-

$3.03B Priced Monday

11/25 $2B *DNB Bank $1.4B 3Y +58, $600M 3Y FRN L+62

11/25 $750M *Mastercard +5Y +43

11/25 $300M *UZPROMSTROYBANK (Uzbekistan) 5Y 6.00%

Eurodollar/Tsy options: 

Eurodollar Options

* +4,000 short Sep 78/81 put spds 0.5 over Sep 81 puts

* +2,500 Mar 80/82/83 put flys, 0.5 vs. 98.28/0.40%

* +15,000 Green Dec 82 puts, 0.5 on screen

* 2,000 short Dec 85/86/87 call flys, 2.0 vs. 98.47/0.10%

* -4,000 short Feb 77/78/81/82 put condors, 1.0

* +3,000 Red Mar'21 87/90 call spds, 7.0

* Screen volume Jan 85 calls near +20,000, 1.0 last

Recap light overnight trade

* 10,000 Mar 88 calls, 0.75

* 5,000 Dec 81/83 2x1 call spds 2.25 vs. 98.095/0.60%

* 5,000 Blue Dec 87 calls, 1.0

Tsy options:

* +6,500 TYG 138.5 calls, 1/64

* +2,100 USG 141 puts, 2/64

* 1,500 TYF 127.5 puts, 4/64

* +1,000 TYF 129/130.5 strangles, 37/64 looking for more offers

Recap light overnight trade

* over 9,500 TYG 130.5 calls, 33/64

* -3,900 TYH 123.5/136 strangles, 6-6.5

* 2,000 USF 163 calls, 23/64 last

* over 1,700 FVG 119.75 calls, 16.5/64

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

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