US TSYS: GAMING THE WHO ON TIMING GLOBAL VIRUS ALERT

US TSY SUMMARY: Well bid after the bell on decent volume (TYH>1.7M), off midday

highs after World Health Org tweeted not declaring INTERNATIONAL virus

alert/alarm, adding "still too early to declare a public health emergency of

international concern given its restrictive and binary nature. 

- Futures saw modest bounce late. 3M10Y yld curve taking brunt of curve

flattening on day. Into the late risk-off unwind, sources report mid market

sellers of old bonds by a dealer, real$ buyer 2s vs. 10s. Huge 2s30s flattener

Block: -34,042 TUH, 107-27.25, sell through 107-27.75 post-time bid vs. +6,065

USH 159-30, buy through 159-27 post-time offer.

- Sources reported central bank sales in 3s, bank portfolio and real$ buying 10s

and 30s; 3M10Y flatteners. With Tsys holding near highs by late morning, sources

reported fast$ and prop acct buying 2s and 5s, central bank selling in 5s and

foreign real$ selling 10s. While 3M10Y yld curve flattens sharply, 5s and 10s

vs. 30s seeing some steepener interest on the move.

- The 2-Yr yield is down 1.9bps at 1.5096%, 5-Yr is down 3.1bps at 1.5436%,

10-Yr is down 3.8bps at 1.7308%, and 30-Yr is down 4.4bps at 2.1775%.

TECHNICALS:

US 10YR FUTURE TECHS: (H0) 100-dma Opens New Highs

*RES 4: 130-28+ High Oct 11

*RES 3: 130-22   61.8% Sep - Dec Decline 

*RES 2: 130-17+ High Nov 1

*RES 1: 130-06   High Jan 8 and a key resistance

*PRICE: 129-31 @ 16:20 GMT, Jan 23

*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 traded very well Thursday and importantly have breached resistance

around the 100-dma at 129-20. The breach of this level effectively negates the

recent bearish outlook and instead signals a stronger developing bullish theme.

Attention is on 130-06, the Jan 8 high and the next key resistance. A break

would reinforce bullish conditions and open 130-17+, the Nov 1 high initially.

Key support is at 128-29, Jan 17 low.

AUSSIE 3-YR TECHS: (H0) Trendline Resistance Holds Firm

*RES 4: 99.395 - High Nov 28

*RES 3: 99.364 - 76.4% Fib October - December Decline

*RES 2: 99.335 - High Dec 13 

*RES 1: 99.310 - High Jan 22 / 61.8% Fib October - December Decline

*PRICE: 99.280 @ 16:02 GMT Jan 23

*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 slipped Thursday, responding to the better-than-expected Australian jobs

numbers, stopping markets short of testing the down trendline drawn from the

early October highs. For bulls to really seize control this must be topped

before re-targeting the late November highs of 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) Recovers into the Close

*RES 3: 99.0150 - High Nov29

*RES 2: 98.9500 - High Dec 5

*RES 1: 98.9408 - 61.8% August - January Decline

*PRICE: 98.8950 @ 16:13 GMT, Jan 23

*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

Despite a mid-session hiccup, Aussie 10-year futures rallied into the close

after having topped key resistance at 98.8600. 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): Mini Uptrend Underway

*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: 152.51 @ 16:15 GMT, Jan 23

*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

Having topped Fib resistance earlier this week, bulls gained again Thursday and

look to secure the first close above the 50-dma since October last year. This

counters the bearish signals in present over the past fortnight or so, shifting

focus to the late November highs and the 200-dma. The first hurdle sits at the

Jan 6 high at 152.62. To the downside, bears could gain a firmer footing on a

move through the 152.00 handle.

TSY FUTURES CLOSE: Well bid after the bell on decent volume (TYH>1.7M), off

midday highs after seeing some risk-off unwind flows when the World Health Org

tweeted they were not declaring INTERNATIONAL virus alert/alarm. Futures seeing

modest bounce late. 3M10Y yld curve taking brunt of curve flattening on day.

Update: 

* 3M10Y  -4.161, 17.616 (L: 15.277 / H: 20.379)

* 2Y10Y  -1.998, 21.877 (L: 21.214 / H: 23.886)

* 2Y30Y  -2.549, 66.516 (L: 65.538 / H: 69.047)

* 5Y30Y  -1.31, 63.201 (L: 61.937 / H: 64.56); Current futures levels:

* Mar 2-Yr futures up 1/32 at 107-27.125 (L: 107-25.875 / H: 107-28.625)

* Mar 5-Yr futures up 4/32 at 119-7.75 (L: 119-03.5 / H: 119-12.25)

* Mar 10-Yr futures up 8.5/32 at 129-26 (L: 129-17.5 / H: 130-01)

* Mar 30-Yr futures up 25/32 at 159-19 (L: 158-25 / H: 159-31)

* Mar Ultra futures up 1-14/32 at 188-1 (L: 186-12 / H: 188-18)

US EURODLR FUTURES CLOSE: Bid across the strip, upper half decent session range

w/Blues-Golds outpacing. Latest levels:

* Mar 20 +0.015 at 98.280

* Jun 20 +0.020 at 98.365

* Sep 20 +0.020 at 98.450

* Dec 20 +0.020 at 98.470

* Red Pack (Mar 21-Dec 21) +0.025 to +0.035

* Green Pack (Mar 22-Dec 22) +0.035

* Blue Pack (Mar 23-Dec 23) +0.035 to +0.040

* Gold Pack (Mar 24-Dec 24) +0.035 to +0.040

US DOLLAR LIBOR: Latest settles

* O/N -0.0010 at 1.5316% (+0.0005/week)

* 1 Month +0.0015 to 1.6609% (+0.0065/wk)

* 3 Month -0.0068 to 1.7941% (-0.0250/wk)

* 6 Month -0.0029 to 1.8217% (-0.0232/wk)

* 1 Year -0.0245 to 1.8945% (-0.0286/wk)

US SWAPS: Tighter across the curve by the bell, long end extends move late,

week's incoming swappable supply leaving it's mark. Current levels:

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

Thu 1500    -0.69/+6.56    -0.38/+0.75   -0.50/-5.00    -0.81/-31.31

1315        -0.62/+6.62    -0.19/+0.94   -0.19/-4.69    -0.44/-30.94

1115        -0.69/+6.56    -0.50/+0.62   -0.31/-4.81    -0.50/-31.00

0900        -0.69/+6.56    -0.50/+0.62   -0.31/-4.81    -0.50/-31.00

Thu Open    -0.62/+6.62    -0.25/+0.88   -0.12/-4.62    +0.00/-30.50

Thu 0715    -0.12/+7.12    -0.06/+1.06   +0.12/-4.38    +0.06/-30.44

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

Wednesday recap: 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.

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

* Daily Effective Fed Funds Rate: 1.55%, volume: $69B

* Daily Overnight Bank Funding Rate: 1.54%, volume: $176B

US TSYS: REPO REFERENCE RATES: No release

* Secured Overnight Financing Rate (SOFR): 1.54%, $1.085T

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

* Tri-Party General Collateral Rate (TGCR): 1.51%, $379B

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

24-Jan 0945 Jan Markit Mfg Index (flash) (52.4, 52.4)

24-Jan 0945 Jan Markit Services Index (flash) (52.8, 53.0)

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

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

PIPELINE: Capital One launched

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

01/23 $2.5B #Dominican Republic $1B 10Y 4.6%, $1.5B 40Y 5.95%

01/23 $2B #Capital One Bank $1.25B 3NC2 +50, $750M 6NC5 +73

01/23 $1.5B #Westpac Banking 10NC5 +135

01/23 $950M #Bancolombia 5Y +160

01/23 $350M #Goldman Sachs WNG PerpNC5 4.4%

Eurodollar/Tsy options 

Eurodollar options:

Block 1326:32ET,

* 10,000 short Mar 87 calls, 3.5 vs. 98.555/0.25%

* -15,000 Mar 82/83 put strips, 11.0 vs. 98.295/1.14%

* +10,000 Feb 83/85 call spds, 0.5

* 4,000 Jun 85/86 call spds 1.25 over Jun 81 puts

* 3,700 short Jun 88/91/93 call flys on screen

* +8,000 short Feb 85/86/87 call trees, 3.0

* -2,500 short Feb 85 puts vs. Green Feb 81/82/85 put flys, 1.0 net cr

Block 1007:18ET,

* 10,000 Dec 83/85 call spds, 6.0 vs. 98.49/0.30%

* 12,500 Dec 81 puts, 2.5

Block 0958:39ET, checking direction

* -10,000 Apr 83 calls, 5.5 vs.

* +10,000 Sep 83/85 call spds, 5.0

Block, 0840:09ET,

* 10,000 Dec 78/81 put spds, 2.0 vs. 98.435/0.10%

* +10,000 Dec 87/88 call spds, 2.5 vs. 98.50/0.06

* Block 5,000 short Mar 83/88 strangle (?), 4.0

Salient overnight trade

* 30,000 Mar 85/88 call spds

* 10,000 Green Feb 82/87 strangles or combos

* 7,000 Dec 80/81/82 put flys

* 5,000 Dec 80/81/82 put flys

* 3,000 Jun 82/83 put spds vs short Jun 83 puts

* 2,500 Jun 83/86/88 call flys

Tsy options:

* +3,500 TYJ 138.5 calls, 1/64 and

* +3,500 FVJ 123.75 calls, 1/64 both on screen

* -5,000 TYJ 129/130 call spds, 33/64

Recap overnight trade, Blocks

* 52,000 TYG 130.5 calls, 1/64

* >24,000 TYH 131.5 calls, 8/64

* 7,500 TYH 129 puts, 17/64

* 3,500 TYH 127.5/128.5 put spds 2/64 over TYH 131/131.5 call spds

* 2,500 TYG 130.5/130.75/131.25 call trees

* Block 10,000 TYJ 128/131 call over risk reversals, 2/64 vs. 129-21/0.43%

* Block 2,000 TYH 129.5/130/130.5 2x3x5 call flys

* Block 10,000 TYJ 128.5/131 put over risk reversals, 4/64 vs. 129-24/0.52%

* Block, 5,000 USG 157 puts, 1/64

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

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