US TSYS: 20Y BOND ANNC SPURS BROAD-BASED CURVE STEEPENING

US TSY SUMMARY: After a mixed open, heavy pressure in the long end dragged

balance of rates lower after the US Tsy 20Y annc bond late Thu. Immediate result

was steeper curves w/better long end selling, dealer research expressing

interest in 10s20s30s flys, 10s20s steepeners and/or 20s30s flattener. 

- Anticipated by dealers as a better/more liquid alternative than 50- or 100Y

bond, will likely be annc'd at the Feb refunding for auction in May. 

- Quiet end to the week -- despite the broad bear steepener move w/the long end

off session, heavy volumes before midday w/ TYH>925k but only 1.2M by the close.

Mkt depth thin, flow largely position squaring (and flattener unwinds) ahead the

long weekend, option hedging along with steepeners. Position squaring/clean-up

ahead the long weekend amid a bit of risk-on unwinding.

- Note, Fed media blackout kicks off early Saturday and runs through January 30.

- The 2-Yr yield is up 0.2bps at 1.5674%, 5-Yr is up 0.5bps at 1.6294%, 10-Yr is

up 2.5bps at 1.832%, and 30-Yr is up 3.7bps at 2.2943%.

TECHNICALS:

US 10YR FUTURE TECHS: (H0) Off Recent Highs 

*RES 4: 130-06   High Jan 8 and a key resistance

*RES 3: 129-25+ 76.4% retracement of the Jan 8 - Jan 9 decline 

*RES 2: 129-18   61.8% retracement of the Jan 8 - Jan 9 decline

*RES 1: 129-14   High Jan 15 and 16

*PRICE: 129-06 @ 11:24 GMT, Jan 17

*SUP 1: 129-02   Intraday low

*SUP 2: 128-25   Low Jan 14

*SUP 3: 128-17+ Low Jan 97

*SUP 4: 128-05   Low Dec 30 and Low Jan 2 

10yr futures gave up early strength to return lower into the close yesterday but

has found some support today. This signals a potential end to the past 5-day

recovery and any hopes of a S/T stronger bull run. The pullback maintains the

focus on the sharp sell-off from Jan 8, which still hangs over sentiment. 128-25

is the next support, a break would open 128-17+. To the upside, a break of

129-18 would instead signal a stronger bullish outlook and open 130-06, Jan 8

high and key resistance.

AUSSIE 10-YR TECHS: (H0) Top is in?

*RES 3: 98.8950 - High Dec 10 and 11

*RES 2: 98.8854 - 100-DMA

*RES 1: 98.8600 - High Jan 8

*PRICE: 98.8100 @ 16:25 GMT, Jan 16

*SUP 1: 98.5700 - Low Jan 2 

*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

The near-term top of 98.8600 printed last week remains in place as of Thursday,

with the modest grind higher doing little to trouble bears just yet. This

continues to suggest last week's high could mark a near-term top, prompting

bears to re-target the 98.5700 YTD low in the medium term should the 200-dma at

98.7274 give way. This bearish cycle has been in place since Nov 28. The focus

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

JGB TECHS: (H0): Going Nowhere

*RES 3: 153.55 - High Nov 28 and key resistance

*RES 2: 153.11 - High Dec 4

*RES 1: 152.62 - High Jan 6

*PRICE: 151.90 @ 16:28 GMT, Jan 16

*SUP 1: 151.62 - Contract lows, Dec 20

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

*SUP 3: 150.52 - 1.0% lower 10-dma envelope

JGBs pressured the lower end of the 2020 range last week after an opening gap

higher was quickly reversed into the close. This leaves the outlook rather weak,

highlighting support at 151.62. A break of which could open 151.48 and 151.18,

the 0.764 and 1.00 Fibonacci projection levels of the decline between Dec 4 -

Dec 10 from the Dec 11 high. This all comes ahead of the 151.11 Fibonacci

retracement.

TSY FUTURES CLOSE: Weaker but off session lows, moderate volume (TYH>1.1M), yld

curves broadly steeper. Update: 

* 3M10Y  +1.715, 27.333 (L: 24.975 / H: 29.681)

* 2Y10Y  +2.288, 26.25 (L: 24.369 / H: 27.449)

* 2Y30Y  +3.475, 72.481 (L: 71.52 / H: 73.728)

* 5Y30Y  +3.25, 66.401 (L: 65.413 / H: 67.461); Current futures levels:

* Mar 2-Yr futures down 0.25/32 at 107-23.375 (L: 107-22.875 / H: 107-24.625)

* Mar 5-Yr futures down 0.75/32 at 118-27 (L: 118-23.75 / H: 118-29.75)

* Mar 10-Yr futures down 3/32 at 129-2 (L: 128-29 / H: 129-07)

* Mar 30-Yr futures down 26/32 at 157-9 (L: 156-28 / H: 157-30)

* Mar Ultra futures down 1-24/32 at 183-26 (L: 183-02 / H: 185-10)

US EURODLR FUTURES CLOSE: Mostly, mildly weaker, near middle narrow session

range, short end outperforming. Latest levels:

* Mar 20 +0.005 at 98.260

* Jun 20 -0.010 at 98.315

* Sep 20 -0.010 at 98.390

* Dec 20 -0.015 at 98.395

* Red Pack (Mar 21-Dec 21) -0.015 to -0.01

* Green Pack (Mar 22-Dec 22) -0.015 to -0.01

* Blue Pack (Mar 23-Dec 23) -0.02 to -0.015

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

US DOLLAR LIBOR: Latest settles

* O/N -0.0045 at 1.5311% (-0.0020/week)

* 1 Month -0.0034 to 1.6544% (-0.0223/wk)

* 3 Month -0.0075 to 1.8191% (-0.0186/wk)

* 6 Month -0.0039 to 1.8449% (-0.0273/wk)

* 1 Year -0.0071 to 1.9230% (-0.0436/wk)

US SWAPS: Spds steady/mixed, short end surging directionally wider with Tsy

ylds, decent payer/receiver unwinds in 2s-5s, long end moving off tighter levels

amid deal-tied selling ahead next week supply. Current levels:

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

Fri 1500    +0.69/+7.81    +1.06/+1.69   +0.12/-4.12    -0.50/-31.25

1330        +1.00/+8.12    +1.19/+1.81   +0.00/-4.25    -0.75/-31.50

1200        +1.25/+8.38    +1.06/+1.69   +0.00/-4.25    -0.31/-31.06

1015        +1.25/+8.38    +1.00/+1.62   -0.06/-4.31    -0.81/-31.56

0900        +1.50/+8.62    +0.88/+1.50   +0.00/-4.25    -0.62/-31.38

Fri Open    +1.00/+8.12    +0.50/+1.12   -0.25/-4.50    -0.88/-31.62

Fri 0715    +0.75/+7.88    +0.38/+1.00   -0.50/-4.75    -1.00/-31.75

Thu 1500    -0.31/+7.12    -0.44/+0.69   -0.44/-4.25    -0.62/-30.88

Thursday recap: Spds holding modestly tighter across the board, off lows/narrow

range amid better receiving in 2s-3s last few hours, 2-way in 5s, payer in 7s

and 10s, 3s4s5s receiver fly, deal-tied hedging lighter but also in the mix.

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

* Daily Effective Fed Funds Rate: 1.54%, volume: $78B

* Daily Overnight Bank Funding Rate: 1.54%, volume: $177B

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

* Secured Overnight Financing Rate (SOFR): 1.55%, $1.069T

* Broad General Collateral Rate (BGCR): 1.52%, $397B

* Tri-Party General Collateral Rate (TGCR): 1.52%, $377B

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

18-Jan ---- Fed enters media blackout through Jan 30

20-Jan ---- US Markets closed: Dr. Martin Luther King, Jr. holiday

21-Jan 0830 Jan Philadelphia Fed Nonmfg Index (13.4, --)

PIPELINE: $126.115B high-grade issuance in last two weeks!

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

01/17 Nothing in Friday's pipeline after another heavy week

01/?? $Benchmark JFM (Japan Finance Org) roadshow

01/?? $Benchmark Bank Leumi Le-Israel 11NC6 roadshow

01/?? $Benchmark Credit Bank of Moscow 5Y roadshow

-

$20.9B priced Thursday; $52.04/wk after last wk's huge $74.075B

01/16 $6B *Morgan Stanley $2.5B 3NC2 SOFR+70, $3.5B 11NC10 +90

01/16 $3.25B *USB $900M 2Y +25, $1.35B 2Y FRN L+18, $1B 5Y +47

01/16 $3B *Societe Generale $1.75B 5Y +105, $1.25B 10Y +125

01/16 $3B *Province of Ontario 3Y +15

01/16 $2B *PNC Financial 10Y +78

01/16 $1.25B *EAA (Erste Abwicklungsanstalt) 3Y +10

01/16 $1B *Credit Suisse WNG PerpNC10 5.75%

01/16 $1B *Blackrock 10Y +60

01/16 $400M *SQM (Sociedad Quimica y Minera de Chile) 30Y +200

Eurodollar/Tsy options 

Eurodollar options:

* +20,000 Jun 82/83/85 put flys, 2.25-2.5

* 10,000 Green Mar 82/83/85 put flys on screen

* -5,000 Sep 86/87/90 broken call flys, 0.5

* -3,000 May 81 puts, 0.5 vs. 98.33/0.05%

* +4,000 Mar/May 82 put spds, cab, May over steepener

* +4,000 short Mar 82/83 put spds, 2.75

* +11,000 Dec 95/97 call spds vs. -5,500 Dec 80/81 put spds, 0.0 net package vs.

98.41/0.13%

* +4,000 Jun 85/86/87 call flys, 0.75 vs. 98.34/0.05%

* Update, >+50,000 Jun 81/82 put spds, 2.2

* +18,000 Sep 88/90 call strips, 5.0

* total volume in the Jun 81 put near 50,000, Jun 82 put over 46,000 largely

tied to appr +40,000 put spds at 2.25 earlier, continues to trade on 1:1, 2:1

and even 3:1 ratios. Other recent trade includes:

* 2,000 May 82/83 put spds, 7.5

Tsy options:

* 2,700 FVG 118.75 puts, 6.5/64 vs. 118.25

* Update, near 12,000 TYG 130.25 calls, 1/64 vs. 128-31

* >21,000 TYG 128.5/129.5 call spds, 41 on screen

* +10,000 TYG 129 puts 2/64 over TYH 128 puts vs. 129-00/0.30%

* -5,000 TYH 130 calls, 12/64 vs. 128-28/0.20%

* TYH/TYM 129 straddle spds trading 1-12/64

* >+12,000 TYH 127.5 puts on screen, 8/64

* Update, >40,000 TYG 129/129.5 call spds, 12- to 10/64 (Thu: -30k TYG 129/130

call spds, 19/64)

* >17,500 TYG 129/129.5 call spds, 13/64 screen

* 6,800 TYH 127.5/130.5 call over risk reversals, 2- to 3/64

* +10,000 TYJ 125.5/127 put spds, 9/64 vs. 129-04

Block, 0838:02ET,

* 30,000 TYJ 126.5/127 put spds, 5/64

* >5,000 TYH 128/130.5 call over risk reversals, 2/64

* 3,000 TYG 128.25/128.75 put spds on screen

* 2,000 TYG 129.75/130 call spds, 2/64 vs. 129-08.5/0.08%

* 1,000 TYG 129.25/129.5/129.75 call flys, 3/64 vs. 129-08/0.0

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

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