US TSYS: CHINA CORONAVIRUS MAKES LANDFALL IN WASHINGTON STATE

US TSY SUMMARY: Spread of Coronavirus in China cited for early risk-off move,

Tsy rally gained momentum late amid first report of case in US, reportedly

Washington State. News can't keep an inflated, over-valued stock market down for

long, eminis managed to recover from earlier loses, back near steady in late

trade, while even Gold traded weaker, holding lower levels in late trade (-3.33

at 1557.44).

- No data, Fed in media blackout, nevertheless - rather heavy overall volume on

day (TYH>1.5M) with lion's share occurring early w/stops triggered early

overnight and again around the open. Thankfully, while Pres Trump shared pearls

of economic wisdom at the World Economic Forum in Davos -- even as his

impeachment trial kicked off in Senate.

- Just over $10B in high-grade issuance ($5B Saudi Arabia launched late) spurred

decent hedging flow. 

- The 2-Yr yield is down 3.1bps at 1.5284%, 5-Yr is down 4.8bps at 1.5717%,

10-Yr is down 5.2bps at 1.7691%, and 30-Yr is down 4.9bps at 2.2316%.

TECHNICALS: 

US 10YR FUTURE TECHS: (H0) Capped by 100-dma 

*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: 129-19+ 100-dma

*RES 1: 129-19 Intraday high

*PRICE: 129-17 @ 16:28 GMT, Jan 21

*SUP 1: 128-29   Low Jan 17

*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 have been firmer today but found resistance ahead of the 100-dma at

129-19+ which becomes the first target. Attention remains on the sharp sell-off

from Jan 8, which still hangs over sentiment. This suggests the near-term

outlook is bearish leaving support at 128-29 and 128-17+ exposed. A break of the

latter which is the Jan 9 low would refocus attention on the key support at

127.29, Dec 13 low. To the upside, clearance of 129-19+ would instead open

130-06, Jan 8 high.

AUSSIE 3-YR TECHS: (H0) Tops Key Resistance

*RES 4: 99.335 - High Dec 13 

*RES 3: 99.300 - High Dec 17 and 18

*RES 2: 99.285 - High Jan 8 and key resistance

*RES 1: 99.295 - High Jan 21

*PRICE: 99.285 @ 16:08 GMT Jan 21

*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

Markets clambered through key resistance at 99.285 Tuesday, clearing the ground

for a further improvement in prices back toward the levels last seen in

mid-December. We're yet to see many signs of momentum returning in a material

way, but another up-day would signal an extension of the recovery that started

off the Dec 31 low. This opens 99.30, the Dec 17 and 18 high. 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) Decent Uptick into the Close

*RES 3: 98.9500 - High Dec 5

*RES 2: 98.8950 - High Dec 10 and 11 

*RES 1: 98.8700 - High Jan 21

*PRICE: 98.8650 @ 16:13 GMT, Jan 21

*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

Markets crept above the key resistance at 98.8600 Tuesday, opening the door to

further gains. A close above here could signal further improvement this week and

will concern bears targeting the 98.5700 YTD low over the medium term. The

100-dma is next up, which is trending lower at 98.8770 Tuesday. 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. For bears, 98.8600 is a key

risk parameter.

JGB TECHS: (H0): Tops Retracement Target

*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: 152.20 @ 16:22 GMT, Jan 21

*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 rose through Fib resistance at the 152.17 mark Tuesday, setting up bulls

well headed into the second half of the week. This counters the bearish signals

in the market present over the past fortnight or so, but this momentum could

easily resume. Downside focus rests on support at 151.62, the Dec 23 low and key

support. A break would open 151.43 and 151.15, the 0.618 and 0.764 Fibonacci

projection levels of the decline between Nov 28 - Dec 23 from the Jan 6 high.

This all comes ahead of the 151.11 Fibonacci retracement. A stronger recovery

would open a test of key resistance at 152.62, Jan 6 high.

TSY FUTURES CLOSE: Tsys trade sideways, near top end of session range for the

last few hours. Decent volume (TYH>1.5M) as spread of Coronavirus in China cited

for early risk-off move. Update: 

* 3M10Y  -3.268, 23.014 (L: 20.699 / H: 25.77)

* 2Y10Y  -2.187, 23.83 (L: 23.102 / H: 26.252)

* 2Y30Y  -2.031, 69.906 (L: 68.989 / H: 72.418)

* 5Y30Y  -0.463, 65.491 (L: 64.584 / H: 66.519); Current futures levels:

* Mar 2-Yr futures up 2.5/32 at 107-25.75 (L: 107-23.5 / H: 107-26)

* Mar 5-Yr futures up 9/32 at 119-3.5 (L: 118-27.75 / H: 119-04.25)

* Mar 10-Yr futures up 16.5/32 at 129-18 (L: 129-03.5 / H: 129-19.5)

* Mar 30-Yr futures up 1-10/32 at 158-19 (L: 157-09 / H: 158-23)

* Mar Ultra futures up 2-4/32 at 185-30 (L: 183-28 / H: 186-08)

US EURODLR FUTURES CLOSE: Well bid, at/near session highs after the bell,

moderate volume w/lead quarterly leading. Latest levels:

* Mar 20 +0.015 at 98.270

* Jun 20 +0.025 at 98.340

* Sep 20 +0.035 at 98.420

* Dec 20 +0.045 at 98.440

* Red Pack (Mar 21-Dec 21) +0.055 to +0.065

* Green Pack (Mar 22-Dec 22) +0.065 to +0.070

* Blue Pack (Mar 23-Dec 23) +0.065 to +0.070

* Gold Pack (Mar 24-Dec 24) +0.065

US DOLLAR LIBOR: Latest settles

* O/N +0.0081 at 1.5392% (+0.0081/week)

* 1 Month +0.0061 to 1.6595% (+0.0051/wk)

* 3 Month +0.0041 to 1.8062% (-0.0129/wk)

* 6 Month +0.0049 to 1.8344% (-0.0105/wk)

* 1 Year -0.0063 to 1.9184% (-0.0047/wk)

US SWAPS: Spds running mostly wider on quiet week opener, coming off earlier

wides as corporate issuance hedges unwound. Light swap-tied flow coming into the

session, some rate paying in 2s, deal-tied sellers in belly. Current levels:

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

Tue 1500    +0.00/+7.50    +0.38/+1.62   +0.50/-3.75    +0.88/-30.38

1245        +0.12/+7.62    +0.50/+1.75   +0.81/-3.44    +0.88/-30.38

1130        +0.25/+7.75    +0.50/+1.75   +0.50/-3.75    +0.88/-30.38

0900        +0.62/+8.12    +0.50/+1.75   +0.50/-3.75    +0.50/-30.75

Tue Open    +0.56/+8.06    +0.38/+1.62   +0.00/-4.25    +0.38/-30.88

Tue 0730    +0.50/+8.00    +0.38/+1.62   -0.06/-4.31    +0.25/-31.00

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

Friday recap: 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.

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: No release

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

22-Jan 0700 17-Jan MBA Mortgage Applications (30.2%, --)

22-Jan 0855 18-Jan Redbook retail sales m/m

22-Jan 0900 Nov FHFA Home Price Index (+0.2%, +0.3%)

22-Jan 1000 Dec existing home sales (5.35m, 5.43m)

PIPELINE: Saudi Arabia launched; $0.1B total issuance on day

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

01/21 $5B #Kingdom of Saudi Arabia 7Y +85, 12Y +110, 35Y +180

01/21 $1B #Bank of NY Mellon $750M 3Y +35, $250M 5Y +43

01/21 $1B #CIBC 5Y +68

01/21 $1B #Nationwide 3Y +52

01/21 $750M #Target Corp 10Y +60

01/21 $750M #State Street 10Y +68

01/21 $600M *Waste Connections 10Y +83

Eurodollar/Tsy options 

Eurodollar options:

* +10,000 short Feb 87/90 call spds, 1.0 vs. 98.51/0.10%

* +15,000 Apr 85/86 call spds, 1.0

* +5,000 Green Feb 87 calls, 1.5

* +6,000 Dec 86/87/90/91 call condors, 1.5

* +4,000 Jun 83/85/86 call trees, 0.75

* +10,000 Jun 83/85/88 call flys, 2.75

* 3,000 short Feb 86/87/88 call trees, 0.5

* 3,850 short Mar 83/85/86 call flys

* +6,500 short Feb 83/85 1x2 call spds w/ short Mar 86 calls, 7.0 total on

screen

* 4,000 Jun 83/85/86 call trees, 0.5

* +2,000 Jun 83 straddles, 16.5

* 7,000 Sep 78/80 call spds, cab

* +5,000 Jun 81/82/83 put flys, 5.5 vs. 98.31/0.10%

* 1,000 Dec 80/81/82 put trees, 2.0

Screen trade ahead of the bell included

* 8,000 Jun 86/88 call spds, 1.5

* another 5,000 Jun 86/88 call spds w/ 2,500 Sep 87/90 call spds, 5.0 total

* 2,000 Sep 86/87/90/91 call condors, 1.5

Tsy options:

* 5,000 TYH 129/130 call spds, 31/64

* +9,000 TYG 129 puts, 3/64 on screen, remains well offered

* -28,000 TYG 129/129.5 call spds, 21/64 on screen last couple minutes

* -6,000 USH 161 calls on screen, 24- to 23/64

* 3,000 TYH 127.5 puts, 4/64 vs. 129-12.5

* 1,800 TYH 128.5/129.5 strangles, 43/64

* +5,000 TYH 132 calls, 3/64 (ongoing, 7k on screen ahead open)

* 1,000 TYH 129.5 calls, 27/64

* -3,000 FVH 119 straddles, 38.5-39.5/64

* 1,000 FVJ 119/119.5 strangles, 45/64

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

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