US TSYS: Relief Bill Focus, McConnell Not Hopeful

US TSY SUMMARY: Virus data took back seat for once (Trump resumes virus

conference (1700ET, after months of absence) with focus on relief bill.

- Late action on an otherwise quiet summer session: equities sell-off after

headlines that Senate Majority Leader Mitch McConnell does NOT expect a relief

bill next week. 

- This after more rosier outlook from Tsy Sec Mnuchin earlier in session stated

he expected an agreement by the end of next week. Sticking point for many

GOP'rs: payroll tax cut Trump wants included in the deal.

- No data or Fed speak to react to, two-way positioning flow on light volumes

(TYU lead volume w/only 567k well after the close.

- The 2-Yr yield is down 0.8bps at 0.1391%, 5-Yr is down 1.3bps at 0.2659%,

10-Yr is down 0.8bps at 0.602%, and 30-Yr is down 0.3bps at 1.3084%.

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: 139-25   Contract high, Mar 25

*RES 2: 139-22+ High Jul 10 & 0.618 proj. of Jun 5 - 11 rally from Jun 16 low

*RES 1: 139-18/19   Congestion area, high Jul 16, 17 and 20 / High Jul 21

*PRICE: 139-15+ @ 18:56 BST Jul 21

*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 stalled Monday at 139-18. This level also capped gains late last

week and represents a S/T congestion area although a brief probe to 139-19 was

achieved Tuesday. Futures are still trading below 139-22+, Jul 10 high but a

bullish outlook remains intact. The contract recently cleared 139-16, Apr 21

high to signal the end of the broad sideways move that dominated since April.

This opens 139-25, Mar 25 high. Key support is still at 138-23+.

AUSSIE 3-YR TECHS: (U0) Holding Above Its 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 @ 18:54 BST Jul 21

*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 is trading lower this week but holding above recent

lows of 99.680, the Jul 14 low and a new low watermark. A break of this support

would signal scope for an extension lower towards Fibonacci support at 99.667

and 99.597, both Fibonacci retracement levels. On the upside, the key hurdle for

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

instead open 99.780, Apr 1 high further out.

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: 99.1150 @ 19:05 BST, Jul 21

*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 continues to trade sideways. 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: 152.47 @ 19:02 BST, Jul 21

*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: Paring gains since midday highs, Tsys rebounding after the

bell following headline that Senate Majority Leader Mitch McConnell does NOT

expect a relief bill next week -- equities pared/reverse gains (NDX -70.0 late).

Update:

* 3M10Y  -1.910, 47.448 (L: 45.837 / H: 49.821)

* 2Y10Y  -0.346, 45.557 (L: 45.104 / H: 47.175)

* 2Y30Y  +0.036, 116.074 (L: 115.573 / H: 117.162)

* 5Y30Y  +0.507, 103.637 (L: 102.554 / H: 104.309); Current futures levels:

* Sep 2-Yr futures up 0.625/32  at 110-13.75 (L: 110-12.87 / H: 110-13.87)

* Sep 5-Yr futures up 2.75/32  at 125-26.5 (L: 125-22.75 / H: 125-27.25)

* Sep 10-Yr futures up 5/32  at 139-17.5 (L: 139-10.5 / H: 139-19)

* Sep 30-Yr futures up 14/32  at 180-14 (L: 179-27 / H: 180-20)

* Sep Ultra futures up 20/32  at 222-31 (L: 222-01 / H: 223-09) 

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)   0.120%

20 Jul  1130ET   $51B   26W Bill      (9127963V9)   0.130%

21 Jul  1130ET   $30B   42D Bill CMB  (912796XH7)   0.100%

21 Jul  1130ET   $30B  119D Bill CMB  (9127963A5)   0.120%

21 Jul  1300ET   $20B  273D Bill CMB  (9127962Q1)   0.140%

22 Jul  1130ET   $25B  105D Bill CMB  (9127964R7)

22 Jul  1130ET   $30B  154D Bill CMB  (9127965F2)

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

23 Jul  1130ET   $30B    4W Bill      (9127963O0)

23 Jul  1130ET   $35B    8W Bill      (9127963Z0)

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

US EURODLR FUTURES CLOSE: Firmer, at/near session highs after the bell, long end

narrowly outperforming. Decent buying short end earlier, over 10k EDU0 at

99.745. Current White pack levels:

* Sep 20 +0.005 at 99.745

* Dec 20 +0.005 at 99.705

* Mar 21 +0.005 at 99.80

* Jun 21 +0.005 at 99.820

* Red Pack (Sep 21-Jun 22) +0.005 to +0.010

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

* Blue Pack (Sep 23-Jun 24) +0.015

* Gold Pack (Sep 24-Jun 25) +0.015 to +0.020

US DOLLAR LIBOR: Latest settles: 

* O/N -0.0002 at 0.0852% (-0.0003/wk)

* 1 Month +0.0001 to 0.1757% (-0.0041/wk)

* 3 Month -0.0022 to 0.2555% (-0.0158/wk)

* 6 Month -0.0028 to 0.3398% (+0.0063/wk)

* 1 Year -0.0041 to 0.4644% (-0.0056/wk)

US SWAPS: Spds running mildly wider for the most part, short end holding tighter

all session, limited two-way flow, some hedging in 5s. Latest levels:

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

Tue 1500  -0.31/+7.12    +0.25/+3.75    +0.38/-1.88    +0.12/-46.62

1200      -0.19/+7.25    +0.25/+3.75    +0.25/-2.00    +0.00/-46.75

1015      -0.69/+6.75    +0.00/+3.50    +0.25/-2.00    -0.12/-46.88

0900      -0.31/+7.12    +0.00/+3.50    +0.00/-2.25    +0.00/-46.75

Tue Open  -0.19/+7.25    +0.25/+3.75    +0.25/-2.00    +0.00/-46.75

Mon 1445  -0.94/+7.00    -0.69/+3.44    -1.12/-2.38    -1.62/-47.00

Monday recap: Spds continued to narrow -- making session lows in late trade

after light carry-over rate receiving in intermediates to long end from real$

accts extends to 2s. Modest deal-tied hedging also noted.

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

* Daily Effective Fed Funds Rate: 0.10% volume: $43B

* Daily Overnight Bank Funding Rate: 0.09%, volume: $140B

US TSYS: REPO REFERENCE RATES: 

* Secured Overnight Financing Rate (SOFR): 0.12%, $975B

* Broad General Collateral Rate (BGCR): 0.09%, $398B

* Tri-Party General Collateral Rate (TGCR): 0.09%, $377B

(rate, volume levels reflect prior session)

FED: NY Fed operational purchase

* Tsy 4.5Y-7Y, $6.001B accepted of $20.097B submitted

Balance of week's schedule:

* 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):

22-Jul 0700 17-Jul MBA Mortgage Applications (5.1%, --)

22-Jul 0900 May FHFA Home Price Index (0.2%, 0.3%)

22-Jul 1000 Jun existing home sales (3.91M, 4.75M) 

22-Jul 1030 17-Jul crude oil stocks ex. SPR w/w

PIPELINE: World Bank and ICBC priced

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

07/21 $5B *World Bank (IBRD) 5Y +10

07/21 $700M *Industrial & Commercial Bank of China (ICBC) CT5+150

On tap for Wednesday

07/22 $1B Canada Pension Plan Inv. Brd (CPPIB) WNG 5Y +20

Eurodollar/Tsy options

EURODLR OPTIONS:

* +4,000 Blue Nov 93/95 put spds 0.5 over Blue Nov 97/98 call spds

* 10,000 Green Dec 92/93/95/96 put condors, 1.5 vs. 99.725/0.10%

* 3,000 Green Oct 100/100.12 call spds, 1.0

* 3,900 Blue Aug 95/96 put spds

* +5,000 Mar 97/98 1x2 call spds, 1.5 earlier

Block, 1006:20ET additional 12,000 on screen soon after

* +30,000 Green Dec 95 puts, 4.0 vs. 99.695/0.05%,

* 3,000 Red Jun'22 93/96/97 broken put flys, 0.5

* 9,500 Dec 98 calls, 1.75

* 4,000 Mar 97/98/100 call flys

* 1,250 Dec/Mar 97/96 put spd spd

TSY OPTIONS:

* 1,500 FVV 125.5/126 1x2 call spds, 1/64

* -2,000 TUU 110.37 straddles, 6.5/64 earlier

* 2,500 TYQ 139.5 straddles, 20/64 vs. 139-16.5

* small buyer TYV 137.5/141.5 call over risk reversals, 0.0

Concerted shift to buying upside call skew

* +2,500 USU 177/183 call over risk reversals, 2- to 3/64 net vs. 180-00/0.50%

(after buyer >3,000 USU 176/184 call over risk reversals earlier)

* 4,000 USU 176/184 call over risk reversals

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

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