US TSYS: Fed Brainard "Wave Of Insolvencies Is Possible"

US TSY SUMMARY: Well off first half highs, futures still trading firmer after

the bell amid moderate overall volumes (TYU>820k). Driver for late session chop

debatable: Trump press conf scheduled for 1700ET to address action on China; or

Fed Brainard speech where she mentions: a "wave of insolvencies is possible"

while "fiscal support will remain vital."

- Tsys surged higher post data (CPI increased by a stronger-than-expected 0.6%

(0.56536% unrounded) following a 0.1% drop in May, primarily driven by surging

energy prices (+5.1%)). Concerted risk-off ensued, sources reported carry-over

swap-tied selling in short end, prop acct buying intermediates to long end. 

- Rates were well bid but off midmorning highs into midday while equities had

clawed back to session highs (ESU0 +11.5) after first half's concreted risk-off

move. Virus headlines appear mixed on net for day (AZ still bad but FL earlier

more mixed). Yld curves mildly flatter. Sources report carry-over swap-tied

selling in short end, prop acct buying intermediates to long end.

- The 2-Yr yield is up 0.4bps at 0.155%, 5-Yr is down 0.2bps at 0.2833%, 10-Yr

is down 0.2bps at 0.6168%, and 30-Yr is down 0.3bps at 1.3045%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Bullish Theme Intact      

*RES 4: 140-02   0.764 projection of Jun 5 - 11 rally from Jun 16 low

*RES 3: 140-00   Psychological round number

*RES 2: 139-25   Contract high, Mar 25

*RES 1: 139-22+ High Jul 10 & 0.618 proj. of Jun 5 - 11 rally from Jun 16 low

*PRICE: 139-13+ @ 16:33 BST Jul 14

*SUP 1: 138-23+ Low Jul 2 and key near-term support

*SUP 2: 138-07   Low Jun 16 a reversal trigger  

*SUP 3: 137-22   Low Jun 10

*SUP 4: 136-22   Low Jun 5 and primary support 

10yr futures rallied again Jul 10 but failed to hold onto the day high. Despite

the pullback, a bullish focus remains in place. The contract recently cleared

139-16, Apr 21 high. This signals the end of the broad sideways move that has

dominated price action since April. The break paves the way for a test of major

resistance at 139-25, Mar 25 high. A break would resume the broader uptrend,

exposing 140-00 initially. Key support remains 138-23+.

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: 99.690 @ 16:57 BST Jul 14

*SUP 1: 99.680 - Low Jun 14

*SUP 2: 99.665 - 100-dma

*SUP 3: 99.645 - Low Mar 20

The short-end of the Aussie is trading close to the lowest levels of the recent

weeks, with 99.680 the new low watermark. A break of this level would signal

scope for an extension lower towards 99.690, Jun 8 low.

AUSSIE 10-YR TECHS: (U0) Fading

*RES 3: 99.3600 - High Apr 02

*RES 2: 99.2250 - High Apr 17 

*RES 1: 99.1400 High Jul 10 

*PRICE: 99.0900 @ 16:59 BST, Jul 14

*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 started the week poorly, but remain inside recent ranges and

are yet to test any key support levels. 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): Still Below Mid-June Highs

*RES 3: 153.50 - High Mar 16 

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

*RES 1: 152.29 - HIgh Jun 12 / Jul 10

*PRICE: 152.17 @ 17:04 BST, Jul 14

*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

The uptrend in JGBs has carried through the Tuesday session to secure a move

back above 152. This still remains below last week's and the mid-June highs of

152.29, however, with this level becoming the first upside target. The recovery

off 151.57 has persisted and signals scope for a rally through 152.29 to open

153.06 initially. The rally through the 50-dma at 152.16 represents a bullish

development. Key supports for now has been defined at 151.18

TSY FUTURES CLOSE: Well off first half highs, futures still trading firmer after

the bell amid moderate overall volumes (TYU>820k). Yld curves mildly flatter.

Update: 

* 3M10Y  -0.635, 47.733 (L: 45.932 / H: 48.628)

* 2Y10Y  -0.168, 45.983 (L: 44.944 / H: 47.424)

* 2Y30Y  -0.387, 114.69 (L: 112.744 / H: 116.676)

* 5Y30Y  -0.226, 101.893 (L: 100.238 / H: 103.115); Current futures levels:

* Sep 2-Yr futures up 0.25/32 at 110-12.875 (L: 110-12.625 / H: 110-13.375)

* Sep 5-Yr futures up 1.75/32 at 125-24 (L: 125-22.25 / H: 125-26.5)

* Sep 10-Yr futures up 5/32 at 139-12 (L: 139-07.5 / H: 139-16.5)

* Sep 30-Yr futures up 17/32 at 180-5 (L: 179-25 / H: 180-24)

* Sep Ultra futures up 1-11/32 at 222-24 (L: 221-25 / H: 223-28)

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

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC  AWARDED

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

13 Jul  1130ET   $54B   13W Bill      (9127962R9)   0.145%

13 Jul  1130ET   $51B   26W Bill      (9127963U1)   0.145%

14 Jul  1130ET   $35B   42D Bill R/O  (912796XG9)   0.120%

14 Jul  1130ET   $35B  119D Bill R/O  (9127962Z1)   0.145%

14 Jul  1300ET   $34B   52W Bill      (9127963S6)   0.155%

15 Jul  1130ET   $25B  105D Bill R/O  (9127964Q9)

15 Jul  1130ET   $30B  154D Bill R/O  (9127965D7)

16 Jul  1130ET   $35B    4W Bill      (9127963P2)

16 Jul  1130ET   $35B    8W Bill      (9127963Y3)

US EURODLR FUTURES CLOSE: Steady/weaker in the short end, levels firmer/near

highs out the strip. Note, Jun'21 lead volume w/115k vs. lead quarterly Sep'20

w/ 99k. Current White pack levels:

* Sep 20 steady at 99.740

* Dec 20 -0.005 at 99.695

* Mar 21 steady at 99.790

* Jun 21 steady at 99.815

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

* Green Pack (Sep 22-Jun 23) +0.010 to +0.015

* Blue Pack (Sep 23-Jun 24) +0.025 to +0.030

* Gold Pack (Sep 24-Jun 25) +0.030 to +0.040

US DOLLAR LIBOR: Latest settles: 

* O/N -0.0045 at 0.0775% (-0.0039/wk)

* 1 Month +0.0018 to 0.1766% (+0.0012/wk)

* 3 Month -0.0041 to 0.2709% (+0.0027/wk)

* 6 Month +0.0021 to 0.3414% (-0.0040/wk)

* 1 Year -0.0002 to 0.4810% (+0.0009/wk)

US SWAPS: Marginally mixed -- intermediates tighter vs. wider wings after the

bell. Spd curve steepeners late as long end reversed tighter levels for much of

the session. Modest deal-tied flow in the mix. Latest levels:

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

Tue 1500  +0.25/+6.44    -0.25/+3.25    -0.12/-1.88    +0.06/-46.44

1200      +0.56/+6.75    +0.00/+3.50    -0.62/-2.38    -0.62/-47.12

Tue Open  +0.25/+6.44    +0.00/+3.50    -0.25/-2.00    -0.25/-46.75

Tue 0700  +0.25/+6.44    +0.00/+3.50    -0.25/-2.00    -0.25/-46.75

Mon 1500  +0.00/+6.38    +0.16/+3.50    -0.56/-1.88    -0.25/-46.38

Monday recap: Spds running steady/mixed after the bell, narrow range with 10Y

narrowing late. Moderate deal-tied flow on day while spds pared widening as

rates rebounded late.

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

* Daily Effective Fed Funds Rate: 0.09% volume: $54B

* Daily Overnight Bank Funding Rate: 0.09%, volume: $144B

US TSYS: REPO REFERENCE RATES 

* Secured Overnight Financing Rate (SOFR): 0.10%, $960B

* Broad General Collateral Rate (BGCR): 0.08%, $389B

* Tri-Party General Collateral Rate (TGCR): 0.08%, $370B

FED: NY Fed operational purchase

* Tsy 0Y-2.25Y, $12.801B accepted of $31.887B submitted

Balance of week's schedule:

* Wed 07/15 1010-1030ET: Tsy 7Y-20Y, appr $3.625B

* Thu 07/16 1010-1030ET: TIPS 7.5Y-30Y, appr $1.125B

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

15-Jul 0700 10-Jul MBA Mortgage Applications (2.2%, --)

15-Jul 0830 Jun imports price index (1.0%, 1.0%)

15-Jul 0830 Jun exports price index (0.5%, 0.8%)

15-Jul 0830 Jul Empire Manufacturing Index (-0.2, 10.0%)

15-Jul 0915 Jun industrial production (1.4%, 4.4%)

15-Jul 0915 Jun capacity utilization (64.8%, 67.8%)

15-Jul 1030 10-Jul crude oil stocks ex. SPR w/w

15-Jul 1200 Philly Fed Pres Harker eco-outlook

15-Jul 1330 NY Fed Exec VP Logan on Fed purchases

15-Jul 1400 Fed Beige Book

PIPELINE: HP launched earlier

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

07/14 $1.75B #Hewlett Packard $1B +3Y +130, $750M +5Y +150

07/14 $1B *Inter-American Inv Corp (IDB Invest) 3Y +29

07/14 $500M *Japan Int Cooperation Agency (JICA) 10Y +46

07/14 $500M *CCB Leasing 5Y CT5+175

07/14 $400M *UDR 12Y +150

07/14 $300M *Doosan Infracore 3Y +87.5

On tap for Wednesday

07/15 $Benchmark Provence of Alberta 10Y +74a

Eurodollar/Tsy options; 

EURODLR OPTIONS, 

* +4,600 Green Mar 95 puts 2.5 over Green Mar 97/98 call spds followed by

* 4,000 Blue Sep 95 puts 1.0 over Blue Sep 97/98 call spd

limited upside call flys targeting fall-late 2021

* 4,500 short Dec 97/98/100 call flys

* 3,000 Red Sep 98/100/100.12 call flys

* 8,500 Dec 95/96 2x1 put spds, cab

* 1,750 Dec 93/95/96 put flys

* 4,000 Sep 96/97 call spds

Ongoing interest in 3Y midcurve options:

* 1,500 Blue Sep 95/96 2x3 call spds

TSY OPTIONS: 

vol desk say call skew gaining vs. puts

* 5,000 TYU 148 calls, 1/64

* Update, just over 14,500 TYU 133.5 puts, 1/64

* -5,000 TYU 141 calls, 10

* over 3,000 TYQ 140.5 calls, 3/64

* +2,500 TYU 137/138 2x1 put spds, 1/64 (total TYU 137 put volume just over

8,200, 6/64 last)

* +1,500 USQ 179/180 2x1 put spds, 6- 5/64 cr

* +1,000 USQ 180 puts, 51/64

* near 4,000 TYU 148.5 calls, 1/64

* update, just over 6,300 TYU 140 calls, 6/64

early O/N Block +35,000 TYU 137 puts, 6/64

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

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