US TSYS: Nascent Risk Appetite Going Into Weekend

US TSY SUMMARY: Rates were weaker after Friday's close amid a modest risk-on

tone in the latter half as equities inched to new session highs (3222.25 vs.

3233.5 resistance/Wed high). Volumes were exceptionally light, however, TYU

under 500k by the close, so hard to draw any strong conclusions on the two-way

flow and lack of data.

- Tsy futures extended pre NY open highs on no particular trigger other than

interest in squaring up ahead weekend. Late virus headline for California did

spur some mild buying after the close: "REPORTS 9,986 NEW VIRUS CASES VS 8,241

14-DAY AVE" Bbg; "ARIZONA VIRUS CASES RISE 2.9%, ABOVE PRIOR 7-DAY AVE. 2.6%"

around midday.

- Fed speak ahead media blackout at midnight: MNI wrote fear over

disinflationary forces are growing within the Federal Reserve as the economy

faces a deeper hole than policymakers had foreseen, according to interviews with

current and former officials.

- The 2-Yr yield is down 0.2bps at 0.1431%, 5-Yr is up 0.3bps at 0.2786%, 10-Yr

is up 0.8bps at 0.625%, and 30-Yr is up 1.8bps at 1.3263%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Still Looking For A Break Higher       

*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: 139-11 @ 17:52 BST Jul 17

*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 stalled at Friday's high and for now continues to consolidate below

139-22+, Jul 10 high. A bullish outlook dominates. The contract recently cleared

139-16, Apr 21 high. This signalled 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 breach here would resume the broader

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

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

*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: 99.700 @ 17:57 BST Jul 17

*SUP 1: 99.680 - Low Jun 14

*SUP 2: 99.667 - 23.6% retracement of the March - April Rally

*SUP 3: 99.597 - 38.2% retracement of the Mar - Apr rally

The short-end of the Aussie has managed to recover from lows earlier last week

at 99.680 that marks the new low watermark. A break of this level would signal

scope for an extension lower towards Fibonacci support at 99.667 and 99.597,

both Fibonacci retracement levels.

AUSSIE 10-YR TECHS: (U0) Attention Is 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: 99.1000 @ 17:55 BST, Jul 17

*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 futures started last week poorly, but have crept higher since Jul 14

to trade close to (but not break) recent highs. The focus remains on initial key

resistance at 99.1400, Jul 13 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, Jul 2 / 3 low. A break of this level would expose a deeper decline

towards 98.9750 a Fibonacci retracement.

JGB TECHS: (U0): Uptrend Established

*RES 3: 153.06 - High Mar 31 and key resistance 

*RES 2: 1.52.79 - 200-dma

*RES 1: 152.50 - HIgh Jul 17

*PRICE: 152.35 @ 17:41 BST, Jul 17

*SUP 1: 151.57 - Low Jul 2 

*SUP 2: 151.26 - Jun 8 low

*SUP 3: 150.61 - Low Mar 19 and key support 

JGBs have over the past few sessions traded from strength to strength, cementing

the uptrend posted since the early July low. The recent break of 152.29, Jun 12

and Jul 13 high confirms a bullish price sequence of higher highs and higher

lows reinforcing the current positive theme. Continued gains would pave the way

for climb towards the 200-dma at 152.79 as well as the longer-term target of

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

TSY FUTURES CLOSE: Weaker across the board after the bell, near session lows

amid nascent risk-on flow as equities extended session highs into the rate close

(ESU0 3221.5 vs. Wed's high of  3233.5). Yld curves steeper/near highs. Update:

* 3M10Y  +0.985, 51.254 (L: 47.033 / H: 51.836)

* 2Y10Y  +1.176, 47.951 (L: 45.363 / H: 48.279)

* 2Y30Y  +2.117, 118.048 (L: 114.357 / H: 118.563)

* 5Y30Y  +1.444, 104.577 (L: 101.758 / H: 104.708); Current futures levels:

* Sep 2-Yr futures steady at at 110-13.5 (L: 110-13.12 / H: 110-13.875)

* Sep 5-Yr futures down 1/32 at 125-24.75 (L: 125-23.25 / H: 125-27)

* Sep 10-Yr futures down 3.5/32 at 139-12 (L: 139-10 / H: 139-18)

* Sep 30-Yr futures down 15/32 at 179-24 (L: 179-19 / H: 180-18)

* Sep Ultra futures down 1-2/32 at 221-27 (L: 221-20 / H: 223-16)

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

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC  AWARDED

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

20 Jul  1130ET   $54B   13W Bill      (9127962S7) 

20 Jul  1130ET   $51B   26W Bill      (9127963V9)

21 Jul  1130ET   $30B   42D Bill CMB  (912796XH7)

21 Jul  1130ET   $30B  119D Bill CMB  (9127963A5)

21 Jul  1300ET   $20B  273D Bill CMB  (9127962Q1)

22 Jul  1300ET   $17B  20Y Note R/O   (912810SR0)

23 Jul  1130ET   TBA     4W Bill      21 Jul Annc 

23 Jul  1130ET   TBA     8W Bill      21 Jul Annc

23 Jul  1300ET   $14B   10Y TIPS      (912828ZZ6)

US EURODLR FUTURES CLOSE: Mildly weaker for the most part, steady at points in

the short end. Current White pack levels:

* Sep 20 steady at 99.740

* Dec 20 -0.005 at 99.695

* Mar 21 -0.005 at 99.790

* Jun 21 -0.005 at 99.810

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

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

* Blue Pack (Sep 23-Jun 24) -0.01 to -0.01

* Gold Pack (Sep 24-Jun 25) -0.015 to -0.01

US DOLLAR LIBOR: Latest settles: 

* O/N +0.0011 at 0.0856% (+0.0042/wk)

* 1 Month -0.0068 to 0.1799% (+0.0044/wk)

* 3 Month -0.0004 to 0.2714% (+0.0033/wk)

* 6 Month -0.0087 to 0.3336% (-0.0117/wk)

* 1 Year -0.0055 to 0.4700% (-0.0101/wk)

US SWAPS: Spds running steady to wider in the wings in late trade, intermediates

receding. Spds were wider across the curve in the first half amd rate and spd

paying in the wings, anticipating increased supply next week. Latest levels:

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

1345      +0.25/+7.75    +0.00/+4.00    +0.00/-1.75    +0.12/-45.75

1200      +0.12/+7.62    -0.12/+3.88    +0.44/-1.31    +0.38/-45.50

1100      +0.19/+7.69    +0.06/+4.06    +0.44/-1.31    +0.25/-45.62

0930      +0.25/+7.75    +0.19/+4.19    +0.44/-1.31    +0.12/-45.75

Fri Open  +0.12/+7.62    +0.19/+4.19    +0.25/-1.50    +0.38/-45.50

Fri 0700  +0.25/+7.75    +0.12/+4.12    +0.19/-1.44    +0.12/-45.75

Thu 1500  +0.81/+7.50    +0.25/+4.00    +0.62/-1.56    +0.81/-45.94

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

* Daily Effective Fed Funds Rate: 0.10% volume: $55B

* Daily Overnight Bank Funding Rate: 0.10%, volume: $152B

US TSYS: REPO REFERENCE RATES: Ebb slightly after tapping mid-March levels

yesterday

* Secured Overnight Financing Rate (SOFR): 0.12%, $957B

* Broad General Collateral Rate (BGCR): 0.08%, $398B

* Tri-Party General Collateral Rate (TGCR): 0.08%, $379B

(rate, volume levels reflect prior session)

FED: NY Fed operational purchase schedule for next week:

* Mon 07/20 1010-1030ET: Tsy 20Y-30Y, appr $1.750B

* Tue 07/21 1010-1030ET: Tsy 4.5Y-7Y, appr $6.025B

* Wed 07/22 1010-1030ET: TIPS 1Y-7.5Y, appr $2.425B

* Thu 07/23 1010-1030ET: Tsy 20Y-30Y, appr $1.750B

* Fri 07/24 1010-1030ET: Tsy 2.25Y-4.5Y, appr $8.825B

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

21-Jul ---- No Scheduled releases, Fed in blackout through 07/30

--

21-Jul 0830 Jul Philadelphia Fed Nonmfg Index (-3.6, --)

21-Jul 0855 18-Jul Redbook retail sales m/m  (3.0%, --)

PIPELINE: CPPIB on tap

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

07/?? $1B Canada Pension Plan Inv. Brd (CPPIB) WNG 5Y

-

$5.1B Priced Thursday; $20.2B/wk

07/16 $3.25B *Quebec 5Y +30

07/16 $1.25B *US Bancorp 10Y +83

07/16 $600M *Globe Telecom $300M each 10Y +190, 15Y +245

Eurodollar/Tsy options

EURODLR OPTIONS:

* +12,000 Blue Sep 93/95/96 1x4x2 put flys, 3.0

* 2,000 short Sep 98/100/100.12 call flys

* 2,500 Blue Sep 100 calls earlier

* 1,500 Blue Sep 97/100 1x2 call spds 1.0 vs. 97.64/0.10%

* 4,000 Red Sep'21 92/100 risk reversals, 5.0 adds to appr 15k on Wed

* 1,000 Mar 95/96/97 put flys

* just over 1,100 Red Sep'21 100.12 calls, interest in buying negative rate

insurance persists despite steady message from majority of Fed speakers (most

recent: Bostic on Thu) saying otherwise.

* 2,500 short Sep 98/100 1x2 call spds followed by an additional 1,200 100

calls, 1.0 last

* 3,000 Aug/Sep 98 call spds

* 2,000 Sep 100 calls vs short Dec 93/98 put spds

TSY OPTIONS:

* +10,000 TYU 138.5 puts

* -10,000 TYU 139 puts

* -5,000 TYU 139.5 pus

* +5,000 TYU 140 puts

Breakdown: 5,000 TYU 139/140 2x1 put spds 2/64 over the TYU 138.5/139.5 2x1 put

spd

* 1,500 USU 180/182 call spds, 54/64

Quiet overnight trade

* 3,000 TYU 140 calls, 23/64 last

* 2,200 TYQ 138.75 puts, 3/64 last

* 1,000 TYQ 139.5 straddles around 26- 28/64

* 1,000 wk5 TY 139 puts, 10/64

* Earlier Block: 5,000 USU 177/184 call over risk reversals, 0.0 vs.

180-11/0.42%, sources say call sold

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

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