US TSYS: S China Sea Tension; Virus Count Spur Late Derisking

US TSY SUMMARY: Tsy futures broke higher in late trade, several factors at play

w/ equities pared gains: Sep emini futures tested 3222.0 resistance couple times

before retracing; TSLA shares reversed gains/traded lower before bouncing; LA

and SD schools to go online in fall while CA cases continue to rise (+8,358 new

cases vs. 7,800 14-day avg. - Contributing to late de-risking, headline "*U.S.

DENOUNCES CHINA'S CLAIMS TO S.CHINA SEA AS 'UNLAWFUL'" Bbg adding to tensions.

- Rates broadly weaker coming into session, sources noted domestic/foreign bank

buying short end ove, prop/fast$ selling intermediates to long end, light

deal-tied rate locks in the mix.

- Off lows ahead midday, sources noted Decent two-way chop (TYU>420k) as rates

absorb positioning flow ahead expected flurry of earnings from mostly financial

names on wk (Tues: Citi, JPM, Wells Fargo; Weds: BNY Mellon, GS, UnitedHealth;

Thurs: BofA, J&J, MS, Netflix; Fri: BlackRock, State St). Rate locks tied to

sovereigns noted in fronts to intermediates. 

- The 2-Yr yield is up 0.6bps at 0.1589%, 5-Yr is down 1bps at 0.296%, 10-Yr is

down 0.7bps at 0.6381%, and 30-Yr is down 0.1bps at 1.3353%.

TECHNICALS: 

US 10YR FUTURE TECHS: (U0) Still Looking To Test Key Resistance       

*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: 139-05+ @ 16:45 BST Jul 13

*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 Friday 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 breach would resume the broader uptrend,

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

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: 99.0700 @ 17:26 BST, Jul 13

*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): Pulls Away From 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: 152.00 @ 17:28 BST, Jul 13

*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 persisted into the close Friday, prompting prices to equal

the mid-June highs of 152.29. Prices have since moderated but remain above the

key 151.18 level, Jun 8 low where a break would unsettle bulls. 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 session lows, futures trading steady/mixed after the

bell (albeit on low volumes: TYU<675k), risk-on for most of the session unwound

late as equities reversed gains to mildly weaker at the moment. Yld curves

mostly flatter. Update: 

* 3M10Y  -1.24, 50.008 (L: 46.735 / H: 53.058)

* 2Y10Y  -0.99, 47.592 (L: 47.445 / H: 50.387)

* 2Y30Y  -0.39, 117.316 (L: 116.582 / H: 120.549)

* 5Y30Y  +0.724, 103.604 (L: 102.477 / H: 105.472); Current futures levels:

* Sep 2-Yr futures down 0.25/32  at 110-12.75 (L: 110-12.125 / H: 110-13.5)

* Sep 5-Yr futures up 0.25/32  at 125-22.5 (L: 125-19.75 / H: 125-23.75)

* Sep 10-Yr futures up 0.5/32  at 139-7.5 (L: 139-00.5 / H: 139-10)

* Sep 30-Yr futures down 4/32  at 179-22 (L: 178-31 / H: 180-01)

* Sep Ultra futures down 4/32  at 221-17 (L: 220-00 / H: 222-03)

US TSYS/SUPPLY: US Tsy bill/note auctions for next 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)

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

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

16 Jul  1130ET   TBA     4W Bill      14 Jul Annc 

16 Jul  1130ET   TBA     8W Bill      14 Jul Annc

US EURODLR FUTURES CLOSE: After trading weaker most of the session, futures

recover late as equities reverse strong gains (technicals and headlines: S China

Sea tension, virus count in California to name a few. Current White pack levels:

* Sep 20 -0.005 at 99.740

* Dec 20 -0.010 at 99.70

* Mar 21 -0.010 at 99.790

* Jun 21 -0.010 at 99.810

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

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

* Blue Pack (Sep 23-Jun 24) +0.005 to +0.010

* Gold Pack (Sep 24-Jun 25) +0.005 to +0.010

US DOLLAR LIBOR: Latest settles: 

* O/N +0.0006 at 0.0820% (-0.0015 last wk)

* 1 Month -0.0006 to 0.1748% (+0.0127/ last wk)

* 3 Month +0.0068 to 0.2750% (-0.0078 last wk)

* 6 Month -0.0061 to 0.3393% (-0.0208 last wk)

* 1 Year +0.0011 to 0.4812% (-0.0255 last wk)

US SWAPS: 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. Latest levels:

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

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

1200      +0.38/+6.75    +0.28/+3.62    +0.00/-1.31    +0.00/-46.12

Mon Open  +0.56/+6.94    +0.53/+3.88    -0.06/-1.38    +0.06/-46.06

Fri 1500  +0.06/+6.44    +0.12/+3.38    +0.50/-1.50    +1.12/-46.50

Friday recap: Spds running wider after the bell, off highs with long end

resisting reversal. Levels mostly wider for the week, short end steady, 5s-10s

+0.5-.75, long end claws 3.0bp off deeper inversion on the heels of Thu's strong

30Y auction R/O.

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

* Daily Effective Fed Funds Rate: 0.09% volume: $56B

* Daily Overnight Bank Funding Rate: 0.09%, volume: $133B

US TSYS: REPO REFERENCE RATES 

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

* Broad General Collateral Rate (BGCR): 0.08%, $400B

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

FED: NY Fed operational purchase

* Mon 07/13 Tsy 20Y-30Y, $1.732B purchased vs. $2.917B submitted

Latest NY Fed operational purchases schedule for next couple weeks

* Tue 07/14 1010-1030ET: Tsy 0-2.25Y, appr $12.825B

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

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

* Mon 07/20 1010-1030ET: Tsy 20Y-30Y, appr $6.025B

* 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

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

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

14-Jul 0600 Jun NFIB Small Business Index (94.4, 97.8)

14-Jul 0830 Jun CPI (-0.1%, 0.5%)

14-Jul 0830 Jun CPI Ex Food and Energy (-0.1%, 0.1%)

14-Jul 0855 11-Jul Redbook retail sales m/m (-0.6%, --)

14-Jul 1130 US Tsy $35B 42D Bill R/O auction (912796XG9)

14-Jul 1130 US Tsy $35B 119D Bill R/O auction (9127962Z1)

14-Jul 1300 US Tsy $34B 52W Bill auction (9127963S6)

14-Jul 1400 Fed Gov Brainard on economy, mon/pol

14-Jul 1430 StL Fed Pres Bullard eco/mon-pol

PIPELINE: Mars and MUFG launched

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

07/13 $2.5B #Mars Inc. $500M 6Y +60, $700M 12Y +100, $900M 20Y +105, $400M 30Y

+115

07/13 $3B #MUFG $1.75B 5Y +113, $1.25B 10Y +143

07/13 $1.6B *ICBC HK $800M each 3Y +93, 5Y +103

07/13 $1.05B *Bocom HK $650M 3Y FRN L+80, $400M 5Y FRN L+90

07/13 $500M #Nonghyup 5Y +100

07/13 $Benchmark Inter-American Inv Corp (IDB Invest) 3Y +31a

Eurodollar/Tsy options; 

EURODLR OPTIONS, 

* +5,000 Blue Sep 93/95/96 put flys, 2.0

* +2,000 Sep 97/98 call spds, 2.25

* 3,000 Dec/Mar 93/96 put spd spds

* +6,600 Nov/Dec 96 put spds, 0.75, working bid for appr 4k more

* +2,000 Blue Oct/Nov 95/96/97 call fly strips, 6.0 total

Block, 0946:01ET

* 13,219 short Oct 97/98/100 call flys, 4.0 net vs. 2,908 Red Dec'21 at 99.79

* +7,500 Dec 95/96 put spds, 1.5

* +7,500 Dec 93/95/96 put flys, 1.0

* 5,000 short Aug 97 puts/98 calls, checking if combo or strangle

TSY OPTIONS

* +3,000 TYQ 140 calls, 3/64

* -1,300 FVU 125.5 straddles, 32.5- to 32/64 earlier

* Update, just over 3,300 TYU 144 calls, 3/64

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

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