US TSYS: Moderate De-Risking Tone Ahead Weekend

     US TSY SUMMARY: Relative quiet end to the week, moderate risk-off tone with

equities paring gains (Sep eminis near steady for the week) rates firmer but

well off overnight highs on light volumes (TYU<650k).

- Bonds inched off lows on choppy two-way trade post IHS PMI data (missed exp

but improved from prior month: Jul Flash Manuf PMI 51.3 (52.0 exp, 49.8 prior),

Services PMI 49.6 (51.0 exp, 47.9 prior), Composite PMI 50.0 (47.9 prior).

- No deal-tied flow, high-grade issuance should remain muted next week as

earning's cycle kicks into high gear w/ some 200 companies issuing. Monday and

Tuesday see flood of Tsy bill and note issuance ahead Wednesday's FOMC policy

annc at 1400ET (no rate change exp), Fed Chairman Powell with press conf half

hour later.

- August Treasury options expire today, generating some two-way hedging in 10s

and 30s as they neared strike (139-16 and 181-00 respectively).

- The 2-Yr yield is down 0.4bps at 0.1473%, 5-Yr is up 0bps at 0.2708%, 10-Yr is

up 0.7bps at 0.5839%, and 30-Yr is down 0.1bps at 1.2305%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Tests The Key 139-25 Resistance          

RES 4: 140-22+ High Mar 9 and key resistance (cont)

RES 3: 140-02   0.764 projection of Jun 5 - 11 rally from Jun 16 low

RES 2: 140.00   High Mar 17 (cont) and psychological barrier 

RES 1: 139-25   High Mar 25 and Intraday high  

PRICE: 139-19 @ 16:05 BST Jul 24

SUP 1: 139-00+ Low Jul 13

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

SUP 3: 138-07   Low Jun 16 a reversal trigger

SUP 4: 137-22   Low Jun 10 

10yr futures edged higher today to register a fresh high print of 139-25 before

pulling back. The outlook remains bullish. Note that 139-25 also marks the high

on Mar 25 and represents a major resistance. A break would confirm a resumption

of the uptrend and expose 140-00, Mar 17 high (cont) and a key psychological

barrier. On the downside, key support lies at 138-23+ where a break is required

to signal a reversal. Initial support is seen at 139-00+.

AUSSIE 10-YR TECHS: (U0) Focus Remains On Key Resistance 

RES 3: 99.3600 - High Apr 02

RES 2: 99.2250 - High Apr 17 

RES 1: 99.1400 - High Jul 13 and the bull trigger

PRICE: 99.1050 @ 16:10 BST, Jul 24

SUP 1: 99.0200 - Low Jul 2 and 3 

SUP 2: 98.9750 - 50.0% retracement of the Jun 8 - Jul 13 rally

SUP 3: 98.9361 - 61.8% retracement of the Jun 8 - Jul 13 rally

Aussie 10yr stuck within the recent range into the end of the week. Despite this

price attention, a bullish focus remains intact.  Attention is on the initial

key resistance at 99.1400, Jul 13 high where a break would confirm the end of

the current consolidation phase and open 99.2250, Apr 17 high. On the downside,

initial key key support has for now been defined at 99.0200, Jul 2 / 3 low. A

break would expose a deeper decline towards 98.9750 instead. a Fibonacci

retracement.

JGB TECHS: (U0): Uptrend Remains Intact

RES 3: 153.06 - High Mar 31 and key resistance 

RES 2: 152.77 - 200-dma

RES 1: 152.50 - High Jul 17 and the bull trigger 

PRICE: 152.37 @ 16:12 BST, Jul 24

SUP 1: 151.57 - Low Jul 2 and key support

SUP 2: 151.26 - Jun 8 low

SUP 3: 150.61 - Low Mar 19 and key support 

JGBs are holding onto recent gains that have recently further cemented the

uptrend since the early July low. The recent break of 152.29, Jun 12 and Jul 13

high confirmed a bullish price sequence of higher highs and higher lows

reinforcing the current positive theme. Continued gains would pave the way for a

climb towards the 200-dma at 152.77 as well as the longer-term target of 153.06.

Key support has been defined at 151.57, Jul 2 low.

TSY FUTURES CLOSE: Mixed after the bell, marginally weaker 5s and 10s lagging

the wings, yld curves steeper for the most part. Update:

* 3M10Y  +1.919, 47.49 (L: 42.769 / H: 48.385)

* 2Y10Y  +1.248, 43.455 (L: 40.713 / H: 44.807)

* 2Y30Y  +0.533, 108.114 (L: 105.387 / H: 111.589)

* 5Y30Y  -0.067, 95.815 (L: 94.385 / H: 99.086); Current futures levels:

* Sep 2-Yr futures steady at  at 110-13.25 (L: 110-13 / H: 110-13.75)

* Sep 5-Yr futures down 0.5/32  at 125-25.75 (L: 125-24.75 / H: 125-27.75)

* Sep 10-Yr futures down 1/32  at 139-19 (L: 139-17 / H: 139-25)

* Sep 30-Yr futures up 3/32  at 181-6 (L: 180-23 / H: 181-30)

* Sep Ultra futures up 20/32  at 226-0 (L: 224-20 / H: 227-13)

US TSYS/SUPPLY: Next week's schedule gets crowded ahead the FOMC policy annc on

Wednesday. US Tsy bill/note auction schedule:

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC  AWARDED

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

27 Jul  1130ET   $51B   26W Bill      (912796UC1)

27 Jul  1130ET   $48B    2Y Note      (91782CAC5)

27 Jul  1300ET   $54B   13W Bill      (9127962T5)

27 Jul  1300ET   $49B    5Y Note      (91282CAB7)

28 Jul  1130ET   $30B   42D Bill CMB  (912796TJ8)

28 Jul  1130ET   $30B  120D Bill CMB  (9127963B3)

28 Jul  1300ET   $24B   2Y Note FRN   (91282CAA9)

28 Jul  1300ET   $44B    7Y Note      (91282CAD3)

30 Jul  1130ET   TBA     4W Bill      28 Jul Annc

30 Jul  1130ET   TBA     8W Bill      28 Jul Annc

US EURODLR FUTURES CLOSE: Steady to marginally weaker across the strip after the

bell, lead quarterly (EDU0) steady after latest 3M LIBOR set' +0.0022 to 0.2467%

(-0.0246/wk) this morning. Current White pack (Sep'20-Jun'21): 

* Sep 20 steady at 99.760

* Dec 20 -0.005 at 99.710

* Mar 21 -0.005 at 99.80

* Jun 21 -0.005 at 99.820

* Red Pack (Sep 21-Jun 22) -0.005

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

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

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

US DOLLAR LIBOR: Latest settles: 

* O/N -0.0007 at 0.0849% (-0.0006/wk)

* 1 Month +0.0010 to 0.1726% (-0.0073/wk)

* 3 Month +0.0022 to 0.2467% (-0.0246/wk)

* 6 Month -0.0066 to 0.3185% (-0.0151/wk)

* 1 Year -0.0026 to 0.4595% (-0.0104/wk)

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

* Daily Effective Fed Funds Rate: 0.09% volume: $50B

* Daily Overnight Bank Funding Rate: 0.09%, volume: $152B

US TSYS: REPO REFERENCE RATES: 

* Secured Overnight Financing Rate (SOFR): 0.10%, $942B

* Broad General Collateral Rate (BGCR): 0.08%, $392B

* Tri-Party General Collateral Rate (TGCR): 0.08%, $378B

(rate, volume levels reflect prior session)

FED: NY Fed operational purchase

* Tsy 2.25Y-4.5Y, $8.801B accepted of $23.862B submitted

Next week:

* Mon 07/27 1010-1030ET: Tsy 20Y-30Y, appr $1.175B

* Mon 07/27 1500ET: updated purchase schedule release

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

27-Jul 0830 Jun durable goods new orders (15.7%, 7.0%)

27-Jul 0830 Jun durable new orders ex transport (3.7%, 3.5%)

27-Jul 1030 Jul Dallas Fed manufacturing index (-6.1, -4.8)

PIPELINE: While the pace of issuance has slowed due to latest earnings cycle,

running total for June still decent at $71B.

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

07/24 Nothing in the works Friday

-

$3.2B Priced Thursday; $18.3B total for week

07/23 $2B *Ukraine +12Y around 7.25%

07/23 $600M *Mirae Asset $300M 3Y +205, $300M 5Y +245

07/23 $600M *Swedish Export Credit Corp 4Y +17

Eurodollar/Tsy options

EURODLR OPTIONS:

* buyer Jun/Red Sep21 97/98/100 1x3x2 call fly strip pays 4.5 for the package,

20.5 win vs. 29.5 loss on ZIRP policy bet

* +7,500 Blue Dec 92/93 put spds vs. -2,500 Blue Dec 98 calls, 1.0 net debit

* 2,000 Dec 97/98 1x2 call spds

* +4,000 Green Sep 91/96 put spd w/ Blue Aug 95 puts, 1.5 total debit/package

* 2,000 Dec 97/98 1x2 call spds

Overnight trade

* +5,000 short Sep/short Oct 98/100 call spd strip, 2.0

* 5,000 Green Sep 91/96 and 3,000 Green Sep 90/96 put spds

* 2,000 Green Oct 96/97 2x1 put spds

* +2,500 Blue Sep 97/98 call spds 0.0 over the Blue Sep 95 put

##################################

Reminder, August Tsy ops expire Friday. August 10- an 30Y options close to

pinning, nearest strikes and open interest as of Thu settle below:

*             Calls      Puts      Total   Nearest-the-Money Strike Totals

* Aug 30yr   159,192   247,485    406,677  180.50 w/ 6,001 (2,376c, 3,625P)

*                                          181.00 w/ 20,869 (16,538c, 4,331P)

*                                          181.50 w/ 4,216 (4,160c, 56P)

* Aug 10yr   517,692   584,210  1,101,902  139.25 w/ 32,600 (10,826c, 21,774p)

*                                          139.50 w/ 93,644 (62,133c, 31,511p)

*                                          139.75 w/ 11,249 (10,734c, 515P)

* Aug 5yr    172,505   352,895    525,400  125.75 w/ 40,963 (31,024c, 9,939p)

*                                          126.00 w/ 12,100 (10,008c, 2,092p)

*                                          126.25 w/ 13,381 (13,366c, 15p)

* Aug 2yr      9,701    47,496     57,197  110.38 w/ 9,038 (1,937c, 7,101p)

*                                          110.50 w/ 2,268 (2,263c, 5p)

Options 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's) auto-exercised.

##################################

TSY OPTIONS: Latest trade,

* 5,000 TYU 138.5 puts 9/64

* 50,200 FVU 120.5 puts, .5/64

* Update, 7,900 TYU 130 puts, 1/64

* +1,000 USU 183/186 call spds, 38/64

* Decent two-way trade in TYU 139.5 puts pushes volume in strike >11.5k

* 3,000 TYU 139.5 puts, 27/64, total volume >7,700

* +10,800 TYU 145 calls, 1/64

* +1,500 TYQ 139.25/139.5 2x1 put spds, 1/64

* +1,500 TYU 140.5/142 call spds, 8/64

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

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