US TSYS: CORONAVIRUS SPREADS, WHO CONTEMPLATES INTL EMERGENCY

US TSY SUMMARY: Choppy day for US rates, not quite as directional as Tuesday

action vs. contagion risks: Coronavirus continues spread while WHO contemplates

international emergency warning. Tsys were higher for the most part by the

close, long end outperforming, short end showing mild gains while 10Y trades

weaker most of session. Decent overall volume largely occurred in first half,

while corp supply hedging ahead midday weighed.

- Little react to positive home sales data, Fed in media blackout. Hearing

growing caution from researchers over eminis steady climb over the past year

(tapped 3337.5 today). Derivatives: while put skew > calls, risk-off insurance

call buying starting to pick. Continuing to generate decent hedging flow: just

over $12B priced on day after $10.1B in high-grade issuance on Tuesday.

- Bank of Canada held overnight rate target at 1.75% but dropped "appropriate"

for maintaining interest rate: "door open to rate cut amid slowdown risk" Greg

Quinn, MNI Canadian policy analyst reported.

- The 2-Yr yield is down 0.6bps at 1.5242%, 5-Yr is down 0.3bps at 1.5716%,

10-Yr is down 0.9bps at 1.7656%, and 30-Yr is down 2.1bps at 2.2153%.

TECHNICALS:

US 10YR FUTURE TECHS: (H0) Stalls Ahead Of 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: 129-21 100-dma

*RES 1: 129-20 Intraday high

*PRICE: 129-16+ @ 17:00 GMT, Jan 22

*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 are firmer again but thus far still finding resistance ahead of the

100-dma at 129-21, the first target. Attention remains on the sharp sell-off

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

outlook remains bearish with support at 128-29 and 128-17+ exposed. A break of

the latter, the Jan 9 low would open 127.29, Dec 13 low. On the upside, a clear

break of the 100-dma would instead target 129-25+ and 130-06, Jan 8 high.

AUSSIE 10-YR TECHS: (H0) Firm Weekly Performance

*RES 3: 98.9500 - High Dec 5

*RES 2: 98.8950 - High Dec 10 and 11 

*RES 1: 98.8850 - High Jan 22

*PRICE: 98.8800 @ 16:51 GMT, Jan 22

*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

Having topped key resistance at 98.8600 Tuesday, bulls are gaining some firmer

footing and this looks to continue up to the Dec 5 high at 98.9500. This should

concern bears targeting the 98.5700 YTD low over the medium term and a close

above the 100-dma will spell more trouble. 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: 152.21 @ 16:54 GMT, Jan 22

*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: Higher for the most part, long end outperforming, short end

showing mild gains while 10Y trades weaker most of session. Choppy day for yld

curves, running flatter but off lows after the bell. Update: 

* 3M10Y  -1.679, 21.684 (L: 19.973 / H: 23.56)

* 2Y10Y  -0.037, 23.937 (L: 23.321 / H: 24.86)

* 2Y30Y  -1.214, 68.912 (L: 68.338 / H: 70.685)

* 5Y30Y  -1.71, 64.206 (L: 63.855 / H: 65.989); Current futures levels:

* Mar 2-Yr futures up 0.375/32  at 107-26.125 (L: 107-24.75 / H: 107-26.5)

* Mar 5-Yr futures up 0.5/32  at 119-4.25 (L: 119-00.25 / H: 119-05)

* Mar 10-Yr futures down 0.5/32  at 129-18 (L: 129-12 / H: 129-20)

* Mar 30-Yr futures up 8/32  at 158-27 (L: 158-05 / H: 159-01)

* Mar Ultra futures up 21/32  at 186-21 (L: 185-08 / H: 186-29)

US EURODLR FUTURES CLOSE: Steady/mixed in the wings to mildly higher in

Reds-Blues: near top end narrow range while lead quarterly sees some decent

sporadic selling in second half. Latest levels:

* Mar 20 steady at 98.270

* Jun 20 +0.005 at 98.345

* Sep 20 +0.010 at 98.430

* Dec 20 +0.010 at 98.450

* Red Pack (Mar 21-Dec 21) +0.005 to +0.010

* Green Pack (Mar 22-Dec 22) +0.005

* Blue Pack (Mar 23-Dec 23) steady to +0.005

* Gold Pack (Mar 24-Dec 24) steady to +0.005

US DOLLAR LIBOR: Latest settles

* O/N -0.0066 at 1.5326% (+0.0015/week)

* 1 Month -0.0001 to 1.6594% (+0.0050/wk)

* 3 Month -0.0053 to 1.8009% (-0.0182/wk)

* 6 Month -0.0098 to 1.8246% (-0.0203/wk)

* 1 Year +0.0006 to 1.9190% (-0.0041/wk)

US SWAPS: Spds running mostly tighter after the bell, mostly at/near session

lows w/long end bouncing wider late in session. Limited two-way flow on day,

corporate issuance hedge unwinds helping late compression. Current levels:

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

Wed 1500    -0.31/+7.12    -0.56/+1.19   -0.56/-4.38    +0.19/-30.31

1330        -0.06/+7.38    -0.69/+1.06   -0.69/-4.50    -0.25/-30.75

1100        -0.19/+7.25    -0.38/+1.38   -0.44/-4.25    -0.12/-30.62

0930        +0.19/+7.62    -0.25/+1.50   -0.31/-4.12    +0.00/-30.50

Wed Open    +0.31/+7.75    -0.25/+1.50   -0.19/-4.00    -0.12/-30.62

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

Tuesday recap: Spds running mildly wider for the most part, 10Y steady. Light

swap-tied flow coming into the session, some rate paying in 2s, deal-tied

sellers in belly.

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

* Daily Effective Fed Funds Rate: 1.55%, volume: $64B

* Daily Overnight Bank Funding Rate: 1.54%, volume: $164B

US TSYS: REPO REFERENCE RATES: No release

* Secured Overnight Financing Rate (SOFR): 1.54%, $1.067T

* Broad General Collateral Rate (BGCR): 1.51%, $396B

* Tri-Party General Collateral Rate (TGCR): 1.51%, $375B

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

23-Jan 0830 18-Jan jobless claims (204k, 214k)

23-Jan 1030 17-Jan natural gas stocks w/w

23-Jan 1100 17-Jan crude oil stocks ex. SPR w/w

23-Jan 1100 Jan Kansas City Fed Mfg Index (-8, -6)

23-Jan 1130 US Tsy $40B 4W Bill auction 912796WU9

23-Jan 1130 US Tsy $40B 8W Bill auction 912796XC8

23-Jan 1300 US Tsy $14B 10Y TIPS auction 912828Z37

23-Jan 1630 22-Jan Fed weekly securities holdings

PIPELINE: Chile 2-parter launched; Citigroup, Adobe priced

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

01/22 $3.15B *Adobe $500M 3Y +22, $500M 5Y +37, $850M 7Y +47, $1.3B 10Y +57

01/22 $2.25B *Citigroup 11NC10, +90

01/22 $1B *EIB 3Y FRN SOFR+25

01/22 $750M *Bank Leumi Le-Israel 11NC6 +170

01/22 $1.65B #Chile $750M 12Y +80, $900M 30Y +105

01/22 $1.5B #Alimentation Couche-Tard $750M each: 10Y +120, 30Y +160

01/22 $1B #National Rural Utilities $500M @ 2NCL +27, 10Y +68

01/22 $1B #TD Bank 3Y FRN SOFR +48

Eurodollar/Tsy options 

Eurodollar options:

* Update >+13,000 Dec 80/81/82 put trees, 2.25-2.5

* +/-5,000 Dec/short Sep 85 straddle spds, 3.0 EOU over

Block, 1254ET

* 20,000 Sep 85 calls 10.0 vs. 98.435/0.40%

* 20,000 Green Sep 87 calls, 11.0 vs. 98.48/0.30%

* +4,500 short Dec 87/88 call spds 0.5 over Dec 81 puts

* -3,000 Sep/short Sep 83 put spds, 1.75 conditional flattener

* Update, +35,000 Feb 82 puts mostly on screen, 1.0

Block, 1021-1029ET

* total +20,000 Dec 77 puts, 1.0 vs. 98.40/0.05%

* +6,250 Apr 83 calls, 4.5 vs. 98.345

Block, 0954:22ET

* -10,000 Apr 83 calls, 4.0 vs.

* +10,000 Sep 83/85 call spds, 4.5

* +3,000 Sep 88/90 call strip, 6/64

* 7,500 Jun 83/86/88 call flys, 3.0

* 5,000 Dec 81 puts, 2.0 vs. 4,000 Dec 83/85 call spds, 4.0 vs. 98.44

* +25,000 Feb 82 puts on screen, 1.0

* 2,400 Sep 86/87/90/91 call condors in pit, legged

Block, 0727:58ET, paper been seller last 8 wks from 8.5-10.5

* -5,000 Jun 82/83 strangles, 9.0

Tsy options:

Latest Block, 1436:25ET

* 13,300 TYH 128 puts, 6/64

* 11,600 TYH 128.5 puts, 11/64

Block, 1108:03ET -- adds to +7.5k in pit

* +7,624 TYG 129 puts, 2/64

* 2,600 TYG 131/132 1x2 call spds on screen

* +3,000 TYJ 127/127.5 put strip, 20/64

* Update, -10,000 TYJ 130 calls, 36/64

* Update, -4,500 TYJ 127.5/131.5 strangles, 26/64

* -5,000 TYG TYG 129/129.5 call spds on screen, 24/64 (ngoing seller unloaded

45k Tue from 21-23)

* 4,700 TYH 132 calls, 4/64 vs. 129-21.5/0.05%

* 1,000 TYG 130 calls, 2/64

* 1,000 TYH 129.5 puts, 33/64

* -10,000 wk5 TY 129.25/129.75 call spds, 15/64 vs. 129-15.5/0.25%

* near 6,000 TYH 127.5/131.5 strangles, 8/64

* 2,800 USJ 155/162 call over risk reversals

Recap salient overnight flow, Blocks

* Block, -10,000 TYJ 127/128 1x2 put spds vs. 

* Block, +20,000 TYJ 131 calls, 1/64 net cr vs. 8,400 TYH 129-14.5

* Block, total -10,000 USJ 154/161 call over risk reversals, 3/64 vs.

158-14/0.05%

* >-30,000 TYH 127.5 puts, 3/64 (OI 95,309 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$]