US TSYS: Early Dog-Days Of Summer Malaise

US TSY SUMMARY: Early dog-days of summer trade Wednesday, rates marginally mixed

with the long end back to near midrange after long end extended session highs in

late trade.

- Rate support evaporated into the open, albeit on modest volumes as equities

inched higher. US$ offered, Gold at 9 year highs -- through psychological

$1800.0 level.

- NY Fed Exec VP Singh comments on asset purchases (adaptive: slowing if mkts

improve, or accelerating if needed) roiled markets around midmorning. Equities

pared gains after UAL headline that some 36,000 US jobs at risk.

- Really solid US Tsy $29B 10Y note auction re-open (912828ZQ6) awarded 0.653%

rate (0.832% last month) vs. 0.664% WI; 2.62 bid/cover (2.26 previous).

Indirects drew 63.36% vs. 56.74%, directs 16.95% vs. 11.76%, and dealers with

19.69% vs. 31.50% prior. Tsy futures blipped higher, off weaker levels post

auction. 

- The 2-Yr yield is unchanged at 0.1567%, 5-Yr is up 0.5bps at 0.2912%, 10-Yr is

up 1.2bps at 0.6512%, and 30-Yr is up 1.4bps at 1.3885%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Holding Onto Recent Gains     

*RES 4: 140-00   Psychological round number

*RES 3: 139-25   Contract high, Mar 25

*RES 2: 139-22+ 0.618 projection of Jun 5 - 11 rally from Jun 16 low

*RES 1: 139-14/16  High Jun 30 / High Apr 21 and key resistance

*PRICE: 139-05 @ 16:20 BST Jul 08

*SUP 1: 138-23+ Low Jul 2 

*SUP 2: 138-07   Low Jun 16 and key near-term support

*SUP 3: 137-22   Low Jun 10

*SUP 4: 136-22   Low Jun 5 and the bear trigger 

10yr futures are firmer and maintain a bullish stance. Price has recently traded

close to key resistance of 139-16, Apr 21 high. This level marks the trigger for

a recovery towards major resistance at 139-25, Mar 25 high. A break of 139-25

would represent an important technical break and confirm a resumption of the

broader uptrend, exposing initially the 140-00 handle. Key support remains

138-07, a break would risk a deeper pullback.

AUSSIE 3-YR TECHS: (U0) Testing Key Support 

*RES 3: 99.780 - High Apr 01 and bull trigger

*RES 3: 99.750 - High May 21 and 22 

*RES 1: 99.730 - Congestion highs between Jun 15 - 22

*PRICE: 99.715 @ 16:24 BST Jul 08

*SUP 1: 99.690 - Low Jun 05 and key support

*SUP 2: 99.665 - 100-dma

*SUP 3: 99.645 - Low Mar 20

The short-end of the Aussie is trading at the lows of last week testing support

at 99.700. A break of this level would signal scope for an extension lower

towards 99.690, Jun 8 low. Clearance of these two levels would also represent a

potentially significant technical break. On the upside, the initial hurdle for

bulls is at the 99.730 congestion, highs between Jun 15 - 22. A break would

signal scope for a climb towards 99.780, Apr 1 high further out.

AUSSIE 10-YR TECHS: (U0) Bulls Find Support

*RES 3: 99.3600 - High Apr 02

*RES 2: 99.2250 - High Apr 17 

*RES 1: 99.1350 High Jun 29 

*PRICE: 99.0950 @ 16:24 BST, Jul 08

*SUP 1: 99.0200 - Low Jul 2 and 3 

*SUP 2: 98.9725 - 50.0% retracement of the Jun 8 - 29 rally

*SUP 3: 98.9342 - 61.8% retracement of the Jun 8 - 29 rally

Aussie 10yr futures recovered off last week's lows of 99.0200 and maintain a

more positive tone for now in line with the overall bullish trend. This keeps

the focus on initial key resistance at 99.1350, Jun 29 high where a break would

open 99.2250, Apr 17 high. On the downside, initial key key support has for now

been defined at 99.0200. A break of this level would expose a deeper decline

towards 98.9725, a Fibonacci retracement. 

JGB TECHS: (U0): Rebounding Well

*RES 3: 153.50 - High Mar 16 

*RES 2: 153.06 - High Mar 31 and key resistance

*RES 1: 152.29 - HIgh Jun 12

*PRICE: 151.98 @ 16:25 BST, Jul 08

*SUP 1: 151.18 - Jun 8 low

*SUP 2: 150.61 - Low Mar 19 and key support

*SUP 3: 150.50 - 1.0% 10-dma envelope

JGBs bounced last Thursday, reversing some of the losses seen earlier in the

week. Prices remain above the key 151.18 level, Jun 8 low where a break would

unsettle bulls. The recovery off 151.57 is a positive development and signals

scope for a climb towards 152.29, the Jun 12 high. A rally through the 50-dma at

152.16 would also represent a bullish development. Key supports for now has been

defined at 151.18. 

TSY FUTURES CLOSE: Mildly mixed after the bell, back to near midrange after long

end extended session highs in late trade. Yld curves little steeper. Update: 

* 3M10Y  +2.585, 51.049 (L: 46.429 / H: 52.514)

* 2Y10Y  +1.507, 49.42 (L: 47.676 / H: 50.798)

* 2Y30Y  +1.957, 123.307 (L: 120.757 / H: 124.813)

* 5Y30Y  +1.128, 109.743 (L: 107.72 / H: 110.695); Current futures levels:

* Sep 2-Yr futures up 0.5/32 at 110-12.875 (L: 110-12.25 / H: 110-13.12)

* Sep 5-Yr futures up 0.5/32 at 125-22.75 (L: 125-20.25 / H: 125-23.75)

* Sep 10-Yr futures down 2/32 at 139-4.5 (L: 139-00.5 / H: 139-09)

* Sep 30-Yr futures down 5/32 at 178-27 (L: 178-14 / H: 179-09)

* Sep Ultra futures down 4/32 at 219-5 (L: 218-08 / H: 220-00)

US TSYS/SUPPLY: US Tsy bill/note auctions for week. 

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC  AWARDED

----------------------------------------------------------

06 Jul  1130ET   $54B    13W Bill     (912796TN9)   0.150%

06 Jul  1130ET   $51B    26W Bill     (9127963T4)   0.165%

07 Jul  1130ET   $35B    42D Bill     (912796XF1)   0.125%

07 Jul  1130ET   $35B   119D Bill     (912796TP4)   0.150%

07 Jul  1300ET   $46B    3Y Note      (912828ZY9)   0.190%

08 Jul  1130ET   $25B   105D Bill     (9127964K2)   0.145%

08 Jul  1130ET   $30B   154D Bill     (9127965C9)   0.155%

08 Jul  1300ET   $29B  10Y Note R/O   (912828ZQ6)   0.653%

09 Jul  1130ET   $40B    4W Bill      (9127963N7) 

09 Jul  1130ET   $40B    8W Bill      (9127963X5)

09 Jul  1300ET   $19B  30Y Bond R/O   (912810SN9)

US EURODLR FUTURES CLOSE: Steady to marginally mixed after the bell, short end

underperforming most of the session after 3M LIBOR inched higher (+0.0045 to

0.2729%, -0.0030/wk). Current White pack levels:

* Sep 20 -0.010 at 99.735

* Dec 20 steady at 99.715

* Mar 21 steady at 99.80

* Jun 21 steady at 99.820

* Red Pack (Sep 21-Jun 22) steady to +0.005

* Green Pack (Sep 22-Jun 23) steady to +0.005

* Blue Pack (Sep 23-Jun 24) steady to +0.005

* Gold Pack (Sep 24-Jun 25) -0.005 to +0.005

US DOLLAR LIBOR: Latest settles

* O/N -0.0001 at 0.0829% (+0.0000/wk)

* 1 Month +0.0057 to 0.1882% (+0.0255/wk)

* 3 Month +0.0045 to 0.2729% (-0.0030/wk)

* 6 Month -0.0068 to 0.3534% (-0.0128/wk)

* 1 Year -0.0041 to 0.4881% (-0.0175/wk)

US SWAPS: Narrow range with wider wings outpacing intermediates.

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

Wed 1500  +0.50/+6.50    +0.06/+2.75    +0.19/-2.88    +0.31/-49.19

1330      +0.12/+6.12    +0.06/+2.75    +0.06/-3.00    +0.25/-49.25

1100      +0.00/+6.00    +0.19/+2.88    +0.06/-3.00    +0.19/-49.19

0900      +0.06/+6.06    +0.06/+2.75    +0.31/-2.75    +0.00/-49.50

Wed Open  -0.19/+5.81    +0.06/+2.75    +0.25/-2.81    +0.06/-49.44

Wed 0700  -0.12/+5.88    +0.06/+2.75    +0.12/-2.94    +0.00/-49.50

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

* Daily Effective Fed Funds Rate: 0.09% volume: $62B

* Daily Overnight Bank Funding Rate: 0.09%, volume: $161B

US TSYS: REPO REFERENCE RATES 

* Secured Overnight Financing Rate (SOFR): 0.10%, $969B

* Broad General Collateral Rate (BGCR): 0.08%, $402B

* Tri-Party General Collateral Rate (TGCR): 0.08%, $384B

FED: NY Fed operational purchase

* Tsy 20Y-30Y, $1.732B accepted of $3.829B submitted

Balance of week's schedule:

* Wed 07/08 1010-1030ET: Tsy 4.5Y-7Y, appr $6.025B

* Thu 07/09 1010-1030ET: TIPS 7.5Y-30Y, appr $1.225B

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

09-Jul 0830 04-Jul jobless claims (1.427M, 1.375M)

09-Jul 0830 04-Jul continuing claims (19.290M, 18.750M)

09-Jul 1000 May wholesale inventories (-1.2%, -1.2%)

09-Jul 1000 May wholesale sales (-16.9%, 4.5%)

09-Jul 1030 03-Jul natural gas stocks w/w

09 Jul 1130 US Tsy $40B 4W Bill auction (9127963N7) 

09 Jul 1130 US Tsy $40B 8W Bill auction (9127963X5)

09-Jul 1200 Atl Fed Pres Bostic, Tax Policy Center webinar

09 Jul 1300 US Tsy $19B 30Y Bond R/O auction (912810SN9)

09-Jul 1630 08-Jul Fed weekly securities holdings

PIPELINE: JBIC priced

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

07/08 $2.5B *Japan Bank for Int'l Coop (JBIC) 5Y +33

07/08 $450M *ABC International 3Y +140

For Thursday

07/09 $Benchmark Int Finance Corp (IFC) 5Y Global +14

07/09 $Benchmark Tokyo Metro Govt 5Y +54a

Eurodollar/Tsy options

14:30 07/08 EDT US EURODLR OPTIONS: Latest trade,

* 5,000 Oct 96 puts, 1.25

Latest trade, total +38k includes 18k 

* Additional 20,000 Green Dec 95 puts, 4.5 vs. 99.69/0.05%, includes 18k Block

at 1211:15ET* 18,000 Green Dec 95 puts, 4.5 vs. 99.69/0.05%

* Update, over 10,000 Blue Oct 96/97/98 call flys, 2.5 -- ongoing after buying

7,500 w/short Oct 97/98/100 call flys earlier, 5.5 total db

* +7,500 short Oct 97/98/100 call flys w/

* +7,500 Blue Oct 96/97/98 call flys, 5.5 total

* +7,700 short Sep 97 puts, 1.5 last

* 4,300 Green Jul 97 puts and 2,900 Green Jul 96 puts ahead Fri's expiration

* +2,000 Oct/Dec 97 put spds, 1.75

* 1,300 Blue Sep 92/95/96 put flys

Ongoing put fly buyer

* +10,000 short Sep 95/96/97 put spds, 0.5, adds to +20k Tuesday, OI up like

amount. Out the curve, Green Sep 95/96/97 put fly trading as well

Tsy options, Wednesday

* +2,500 TYU/TYQ 139 straddle spds, 37/64

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

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