US TSYS: BUY THE RUMOR, SELL THE FACT

US TSY SUMMARY: Heavy volume (TYH>2.4M) on choppy session for rates, Tsys bid

after the bell -- but well off session highs to near session lows as risk-off

support waned on the heels of the World Health Org conference declaring

international health emergency. In other words: buy the rumor, sell the fact.

Risk-off unwind theme in late trade.

- Large short end sellers pre-data, appr -15,000 TUH from 108-01.25 to -01.75,

decent two-way flow in post data trade. Bit of risk-off unwinding noted

midmorning as equities climbed off lows -- in-line w/ JPY/USD. Rates held near

highs to await delayed WHO conf, flow included fast and real$ buying

intermediates, real$ and bank portfolio buying long end.

- While corona virus spd headlines will likely continue to drive vol here,

suspect month end flow to help keep futures in range. 

- The 2-Yr yield is up 0.4bps at 1.4167%, 5-Yr is up 0.5bps at 1.4107%, 10-Yr is

up 0.7bps at 1.5907%, and 30-Yr is up 1.8bps at 2.0567%.

TECHNICALS:

US 10YR FUTURE TECHS: (H0) Fresh Trend Highs  

*RES 4: 132-04   1.764 projection of Jan 2 - Jan 8 rally from Jan 9 low

*RES 3: 132-02+ High Oct 3 and Oct 7 and key resistance 

*RES 2: 131-27+ High Oct 10

*RES 1: 131-15   Intraday high

*PRICE: 131-11 @ 16:30 GMT, Jan 30

*SUP 1: 130-13+ Low Jan 29 and key near-term support 

*SUP 2: 129-17+ Low Jan 23

*SUP 3: 129-12   Low Jan 22

*SUP 4: 128-29   Low Jan 17 

10yr futures maintain a firmer tone and have rallied to fresh 2020 highs today.

Further gains are seen likely with the technical condition still bullish and

momentum and MA studies pointing north. Furthermore, the recent break of 130-06,

Jan 8 high confirmed a resumption of the uptrend and also establishes a broader

price sequence of higher highs and higher lows. The focus is on 131-19 next, a

Fibonacci projection. Initial support lies at 130-13+.

AUSSIE 3-YR TECHS: (H0) Cementing Strength

*RES 4: 99.475 - 123.6% Fib projection of January rally

*RES 3: 99.460 - High Oct 7

*RES 2: 99.450 - Upper 3% Bollinger Band

*RES 1: 99.395 - High Jan 28 / Nov 28

*PRICE: 99.390 @ 16:13 GMT Jan 30

*SUP 1: 99.200 - Low Jan 16

*SUP 2: 99.180 - Low Jan 10, 14 and 14 and near-term key support

*SUP 3: 99.085 - Low Jan 3

*SUP 4: 99.055 - Low Dec 31 and primary support

Bulls managed to crack markets through key Fib resistance at 99.364 to hit a new

2020 high this week. The bullish January brings alltime highs up at 99.460 back

onto the cards, particularly if markets secure a close above the late November

high at 99.395. A failure to hold onto recent gains would instead resume

attention on the key support at 99.18, the Jan 10, 14 and 15 low.

AUSSIE 10-YR TECHS: (H0) Bullish Breakout

*RES 3: 99.1700 - High Aug 16

*RES 2: 99.1550 - High Oct 9

*RES 1: 99.0650 - High Jan 28

*PRICE: 99.0400 @ 16:20 GMT, Jan 30

*SUP 1: 98.7150 - Low Jan 14 and key near-term support 

*SUP 2: 98.5900 - Low Jan 3 

*SUP 3: 98.5700 - Low Jan 2 and primary support

Aussie 10-year futures jerked sharply higher this week, hitting the best levels

since October as markets gear up for this week's inflation numbers and the RBA

rate decision next week. With resistance at 99.0200/99.0284 now taken out,

markets have secured a close above the 100-dma, spelling more trouble for bears.

October highs are now the longer-term target for bulls To the downside, the

initial focus though is on 98.715, Jan 14 low where a break is required to

signal a fresh round of stronger bearish pressure. 98.8600 is a key downside

risk parameter.

JGB TECHS: (H0): Regional Risk Off Drives Prices Higher

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

*RES 2: 153.11 - High Dec 4

*RES 1: 152.94 - High Jan 29

*PRICE: 152.89 @ 16:21 GMT, Jan 30

*SUP 1: 152.45 - 50-dma

*SUP 2: 151.62 - Contract lows, Dec 20

*SUP 3: 151.11 - 76.4% retracement of August 2018 - September 2019 Rally

With regional equities dropping sharply, JGB futures inched back to the top end

of the recent range, bringing 153.11 resistance back into view. For bears to

recapture any momentum going forward, a move back through the 50-dma would be

needed, opening 151.62 and the 151.11 mark beyond.

TSY FUTURES CLOSE: Bid after the bell -- but well off session highs to near

session lows as risk-off support waned on the heels of the World Health Org

conference declaring international health emergency. In other words: buy the

rumor, sell the fact. Heavy volume (TYH>2.4M) on choppy session, yld curves off

lows. Update: 

* 3M10Y  -1.454, 0.528 (L: -3.917 / H: 2.496)

* 2Y10Y  +0.387, 16.905 (L: 15.193 / H: 17.22)

* 2Y30Y  +1.858, 63.768 (L: 61.623 / H: 64.469)

* 5Y30Y  +1.594, 64.765 (L: 62.98 / H: 65.559); Current futures levels:

* Mar 2-Yr futures up 0.75/32  at 108-1.375 (L: 108-00.5 / H: 108-03.75)

* Mar 5-Yr futures up 3/32  at 119-31.75 (L: 119-28.75 / H: 120-06.5)

* Mar 10-Yr futures up 5.5/32  at 131-6 (L: 131-00.5 / H: 131-17)

* Mar 30-Yr futures up 12/32  at 162-20 (L: 162-11 / H: 163-12) 

* Mar Ultra futures up 14/32  at 192-24 (L: 192-08 / H: 194-04)

MONTH-END EXTENSIONS: Desks post Fri's month end may matter more than largely

anticipated FOMC today. UPDATED Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2019; TIPS 0.21Y; Govt inflation-linked, 0.23.

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

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

*Agencies...............-0.03........0.09........0.07

*Credit..................0.09........0.09........0.12

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

*MBS.....................0.07........0.07........0.04

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

*Long Govt/Credit........0.05........0.09........0.07

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

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

*Interm Govt/Cred........0.08........0.08........0.07

*High Yield..............0.05........0.07........0.02

US EURODLR FUTURES CLOSE: Moderately bid after the bell, near low end session

range as bid evaporated following WHO presser. Current White pack

(Mar'20-Dec'20):

* Mar 20 +0.010 at 98.305

* Jun 20 +0.015 at 98.420

* Sep 20 +0.015 at 98.540

* Dec 20 +0.015 at 98.585

* Red Pack (Mar 21-Dec 21) +0.020 to +0.025

* Green Pack (Mar 22-Dec 22) +0.020 to +0.025

* Blue Pack (Mar 23-Dec 23) +0.020 to +0.025

* Gold Pack (Mar 24-Dec 24) +0.020 to +0.025

US DOLLAR LIBOR: Latest settles

* O/N +0.0143 at 1.5439% (+0.0120/week)

* 1 Month +0.0098 to 1.6550% (-0.0045/wk)

* 3 Month -0.0139 to 1.7632% (-0.0322/wk)

* 6 Month -0.0158 to 1.7634% (-0.0409/wk)

* 1 Year -0.0255 to 1.8216% (-0.0584/wk)

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

* Daily Effective Fed Funds Rate: 1.55%, volume: $61B

* Daily Overnight Bank Funding Rate: 1.54%, volume: $184B

US TSYS: REPO REFERENCE RATES:

* Secured Overnight Financing Rate (SOFR): 1.53%, $1.082T

* Broad General Collateral Rate (BGCR): 1.51%, $393B

* Tri-Party General Collateral Rate (TGCR): 1.51%, $377B

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

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

31-Jan 0830 Dec personal income (0.5%, 0.3%)

31-Jan 0830 Dec current dollar PCE (0.4%, 0.3%)

31-Jan 0830 Dec total PCE price index (0.2%, 0.2%)

31-Jan 0830 Dec core PCE price index (0.1%, 0.1%)

31-Jan 0830 Q4 ECI (0.7%, 0.7%)

31-Jan 0945 Jan MNI Chicago PMI (48.2 revised, 49.0)

31-Jan 1000 Jan Michigan sentiment index (f) (99.1, 99.1)

31-Jan 1100 Q1 St. Louis Fed Real GDP Nowcast

31-Jan 1115 Q1 NY Fed GDP Nowcast (1.32%, --)

PIPELINE: $2.8B priced Thursday. Only one more day for record January issuance

of just over $165B to crest 2019's record issuance in September of $171.45B.

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

01/31 $2B *Credit Suisse 2Y FRN SOFR +45

01/30 $500M *Kimberly-Clark WNG 30Y +87.5

01/30 $300M *PACCAR WNG 5Y +45

Eurodollar/Tsy options 

Eurodollar options:

+20,000 Apr 85 calls, 4.5

+7,000 Jun 87/90 call spds, 1.75

-8,000 Green Feb 86/88 call over risk reversals, 4.5

* +10,000 Jun/Sep 82/83 put spd spd, 1.25

* 4,000 short Jun/Green Jun 82/85 put spd spd

* Update +10,000 Jun 82/83 put spds traded vs. -10,000 Sep 82/83 put spds

* BLOCK, 10,000 Sep 81 puts, 1.0 vs. 98.495/0.05%

* 10,000 Jun 82/83 put spds 5.5 vs. 5,000 Sep 82/83 put spds, 4.5

* 5,000 short Sep 82 puts, 5.5 vs. 98.77/0.10%

* 4,500 Green Mar 80/81/87/88 call condors, 8.0 vs. 98.745

* +20,000 Jun 86/88/91 call flys, 1.5 adding to earlier Block

Recap overnight trade, Block

* +30,000 Sep 83/85 put spds, 6.0 vs. 98.545/0.10%

* Block +5,000 Jun 86/88/91 call flys, 1.5 vs. 98.435/0.10%

* additional 30,000 or so Jun 86 calls, 4.0-4.25 includes 2,300 Jun 85/86/87

call flys

* some 19,500 Jun 82 puts, outright and spd vs May and Sep 82 puts

Tsy options:

* +6,000 wk1 TY 130/130.25 put spds, 2.5/64 vs 131-05

* +10,000 TYH 132 calls, 21/64

* 3,000 TYH 129.5/130.5 2x1 put spds, 9/64 vs. 131-04

* 1,000 USH 161/165 strangles, 1-26/64

* -1,000 USH 161/165 strangles, 1-24/64

Salient overnight trade

* over 23,000 TYH 130 puts, 9/64 (open interest 57,399 coming into session)

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

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