US TSYS: TSYS HOLD EARLY BID THROUGH QUIET HOLIDAY TRADE

US TSY SUMMARY: Tsys gapped bid early -- and traded sideways through the rest of

the session. Terrible time for a year-end extension grab if you have an ax to

grind with markets so thin. (TYH volume under 550k by the bell). Two-way ahead

weekend and better data flow next wk includes Chicago PMI, home sales on Mon

(48.0 est), consumer conf Tue, ISM and FOMC minutes Fri.

- Swap spds 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. Yld

curves have normalized last few wks off lows, 3M10Y gels around low-mid 30s,

2s30s in high 60s/low 70s. If mkt sees more positive data in 2020 (minus

political risks) yld curves likely to push steeper.

- Mkt mirrors latest FOMC DOT plot where 13 out of 17 participants do not see

another cut in 2020. That said some option accts starting to hedge rate CUTS

again around mid 2020 (futures NOT pricing that in, but some spec option accts

are buying puts for hedge). The 2-Yr yield is down 4.6bps at 1.5852%, 5-Yr is

down 4.3bps at 1.6764%, 10-Yr is down 2.4bps at 1.87%, and 30-Yr is down 1.4bps

at 2.3081%.

TECHNICALS

US 10YR FUTURE TECHS: (H0) Gains Are Likely Corrective

*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: 128-19+ @ 16:40 GMT, Dec 27

*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 marginally firmer. 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.

JGB TECHS: (H0): Stabilized Somewhat

*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: 152.05 @ 16:43 GMT, Dec 27

*SUP 1: 151.62 - Contract lows, Dec 20

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

*SUP 3: 150.49 - 1.0% lower 10-dma envelope

The outlook for JGB futures flipped to outright bearish late last week 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 150.49.

MONTH-END EXTENSIONS: Preliminary 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.................0.06........0.08........0.06

*Agencies................0.08........0.10........0.05

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

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

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

*Aggregate...............0.07........0.08........0.05

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

*Interm Credit...........0.05........0.08........0.06

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

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

*High Yield..............0.11........0.08........0.04

TSY FUTURES CLOSE: Trading sideways/narrow range since initial jump on the open,

volume remained light into the close: TYH<470k, yld curves have mostly extended

steeper. Update:

* 3M10Y  -0.455, 30.789 (L: 29.671 / H: 32.058)

* 2Y10Y  +2.514, 28.458 (L: 25.421 / H: 28.458)

* 2Y30Y  +3.625, 72.309 (L: 68.274 / H: 72.309)

* 5Y30Y  +3.092, 63.22 (L: 60.109 / H: 63.22)

Current futures levels:

* Mar 2-Yr futures up 2.5/32  at 107-22.75 (L: 107-20.12 / H: 107-22.875)

* Mar 5-Yr futures up 7.25/32  at 118-21 (L: 118-13.75 / H: 118-21.25)

* Mar 10-Yr futures up 9.5/32  at 128-21.5 (L: 128-12.5 / H: 128-21.5)

* Mar 30-Yr futures up 13/32  at 156-28 (L: 156-15 / H: 157-01)

* Mar Ultra futures up 26/32  at 183-26 (L: 183-01 / H: 184-04)

US EURODLR FUTURES CLOSE: Holding gains through the second half, near top end of

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

* Mar 20 +0.025 at 98.250

* Jun 20 +0.030 at 98.315

* Sep 20 +0.030 at 98.370

* Dec 20 +0.035 at 98.385

* Red Pack (Mar 21-Dec 21) +0.040 to +0.045

* Green Pack (Mar 22-Dec 22) +0.035 to +0.045

* Blue Pack (Mar 23-Dec 23) +0.030 to +0.040

* Gold Pack (Mar 24-Dec 24) +0.020 to +0.030

US DOLLAR LIBOR: Latest settles

* O/N +0.0031 at 1.5362% (-0.0004/week)

* 1 Month -0.0053 to 1.7994% (+0.0203/wk)

* 3 Month -0.0159 to 1.9446% (+0.0099/wk)

* 6 Month -0.0005 to 1.9207% (+0.0001/wk)

* 1 Year -0.0078 to 2.0042% (+0.0046/wk)

US SWAPS: 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. Latest spd levels:

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

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

1045        +0.50/+8.56    +0.62/+0.62   +0.06/-4.31    +0.12/-29.38

0915        +0.56/+8.62    +0.88/+0.88   +0.50/-3.88    +0.44/-29.06

Fri Open    +0.50/+8.56    +0.62/+0.62   +0.38/-4.00    +0.25/-29.25

Thu 1500    -0.94/+8.06    -0.62/-0.12   -0.25/-4.25    -0.62/-29.62

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: $195B

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

* Secured Overnight Financing Rate (SOFR): 1.52%, $1T

* Broad General Collateral Rate (BGCR): 1.49%, $360B

* Tri-Party General Collateral Rate (TGCR): 1.49%, $343B

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

30-Dec 0830 Nov advance goods trade gap (-$66.5B, -$69.0B)

30-Dec 0830 Nov advance wholesale inventories (0.1%, 0.2%)

30-Dec 0830 Nov advance retail inventories (0.3%, 0.1%)

30-Dec 0900 Dec ISM-Milwaukee Mfg Index

30-Dec 0945 Dec MNI Chicago PMI (46.3, 48.0)

30-Dec 1000 Nov NAR pending home sales index (106.7, --)

30-Dec 1030 Dec Dallas Fed manufacturing index (-1.3, 0.0)

30-Dec 1130 TBA 13W Bill (912796TM1) auction 

30-Dec 1130 TBA 26W Bill (912796UB3) auction

30-Dec 1130 TBA 52W Bill (912796TY5) auction

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

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

12/23-12-27 No new issuance expected for shortened week

-

12/16-12/20 No new US$ issuance last Monday-Friday; $21.07B/month

Eurodollar/Tsy options 

Eurodollar options:

* -2,500 short Feb 83/85 strangles, 11.0 

* -10,000 short Feb/short Mar 87 call spds, 1.0

* +5,000 short Jan 82/83 2x1 put spds, 1.5 vs. 98.445

* +15,000 Feb 82/83 1x2 call spds, 1.25

* -2,000 Mar/Jun 82 straddle strip, 21.0

* 3,800 Feb 80/81/82 put flys, 2.75

* 3,000 Jan/Feb 83 2x1 call strip, 1.5

* +5,000 Jan 82 calls, 1.5

* +5,000 Jan 83 calls, cab

* 2,000 short Jun 85 calls, 13.0

* +2,000 short Jan 82/83 2x1 put spds, 1.5 vs. 98.44/0.20%

* short Jan 82/83 call spds 1x1 and 1x2 continues to trade in small size

* +3,000 Jan 82/83 1x2 call spds, 1.0

* -1,500 Jan 83 straddles, 18.5

* -1,000 Jun 82 straddles, 13.0

* +2,000 Green Mar/Green Jun 83 3x2 put spds, 1.0

* +4,500 Jun 82/83/85 put flys, 1.5 vs. 98.285/0.05%

Tsy options:

* +2,000 TYH 126.5/130.5 call over risk reversals on screen 3/64 vs. 128-18.5

* Update, total +4,000 TYH 130 calls, 20/64

* Update, total -8,600 TYH 129.5 calls, 28- 29/64 on screen

* -5,000 TYG 127.5 puts, 11/64 vs. 128-17.5/0.10%

* +3,250 TYF 128.5 call over risk reversals 11/64 earlier vs. 128-21.5/0.98%

Limited overnight option flow includes

* 12,200 TYF 128 puts, 1/64

* 7,200 USH 155 puts 100-103

* 3,200 FVG 119 calls, 8.5/64

* 4,600 FVG 119 calls, 9/64

Reminder, January serial options expires Friday. Final CME Group open interest

and ATM data as of Thu's close:

Calls       Puts      Total   Nearest-the-Money Strike Totals

Jan 30Y....273,077....227,689....500,766...156.5 w/ 10,460 (4,968c, 5,492P)

...........................................157 w/ 20,662 (11,629c, 9,033P)

...........................................157.5 w/ 12,808 (4,922c, 7,886P)

Jan 10Y..1,051,875....705,247..1,757,122...128 w/ 89,235 (11,460c, 77,775p)

...........................................128.5 w/ 23,222 (7,408c, 15,814p)

...........................................129 w/ 108,482 (37,745c, 70,737p)

Jan 5Y.....413,387....300,480....713,867...118.25 w/ 53,014 (6,348c, 46,666)

...........................................118.50 w/ 60,522 (32,746c, 27,776p)

...........................................118.75 w/ 62,574 (21,985c, 40,589p)

Jan 2Y......38,142.....38,117.....76,259...107.62 w/ 14,967 (3,641c, 11,326p)

...........................................107.75 w/ 12,414 (6,337c, 6,077p)

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

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