US TSYS: Sideways For Day -- Rates Well Bid For Week

US TSY SUMMARY: Best volumes of week (TYU>950k) as rates reverse strong risk-off

tone on open to weaker by the bell (session lows w/ bonds near middle of Thu's

range); equities pulling higher (ESU0 +34.0).

- Rates reversed early strength as equities bounced apparently positive reaction

to new Gilead report on Remdesivir: 74.4% of COVID patients treated with the

drug recovered

by day 14. 

- Little/no react to Trump expressing low chances of Phase 2 trade deal with

China (not to mention US carrier group presence in South China Sea), events that

would have spurred strong safe haven buying a few months ago.

- Flow two-way in intermediates to long end, fast$ steepener resets after

unwinding on Thu's bull flattening move.

- Reminder, CME Group is reintroducing the 3Y note futures next

- The 2-Yr yield is up 0.2bps at 0.1529%, 5-Yr is up 1.6bps at 0.2992%, 10-Yr is

up 2.5bps at 0.6381%, and 30-Yr is up 1.7bps at 1.3308%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Shies Away From Major 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+ Intraday high & 0.618 proj. of Jun 5 - 11 rally from Jun 16 low

*PRICE: 139-14 @ 16:10 BST Jul 10

*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 into the close Thursday and remain firm. The contract has

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 where a breach would confirm an

important technical development and importantly confirm a resumption of the

broader uptrend, exposing 140-00 initially. Key support is at 138-23+.

AUSSIE 3-YR TECHS: (U0) Testing 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: 99.705 @ 16:12 BST Jul 10

*SUP 1: 99.690 - Low Jun 05 and key support

*SUP 2: 99.665 - 100-dma

*SUP 3: 99.645 - Low Mar 20

The short-end of the Aussie is trading at the lows of last week testing support

at 99.700. A break of this level would signal scope for an extension lower

towards 99.690, Jun 8 low. Clearance of these two levels would also represent a

potentially significant technical break. On the upside, the initial hurdle for

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

signal scope for a climb towards 99.780, Apr 1 high further out.

AUSSIE 10-YR TECHS: (U0) Keeps Pressure Pointed Higher

*RES 3: 99.3600 - High Apr 02

*RES 2: 99.2250 - High Apr 17 

*RES 1: 99.1400 High Jul 10 

*PRICE: 99.1100 @ 16:13 BST, Jul 10

*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 recovered off last week's lows of 99.0200 and maintain a

more positive tone for now in line with the overall bullish trend. 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): Testing 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: 152.24 @ 17:03 BST, Jul 10

*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 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: Best volumes of week (TYU>925k) as rates reverse strong

risk-off tone on open to weaker by the bell (session lows w/ bonds near middle

of Thu's range); equities pulling higher (ESU0 +31.25). Update: 

* 3M10Y  +3.058, 50.681 (L: 42.917 / H: 50.681)

* 2Y10Y  +2.282, 48.159 (L: 42.683 / H: 48.159)

* 2Y30Y  +1.594, 117.461 (L: 110.79 / H: 117.461)

* 5Y30Y  +0.012, 102.872 (L: 98.318 / H: 103.954); Current futures levels:

* Sep 2-Yr futures down 0.125/32 at 110-13.125 (L: 110-12.88 / H: 110-14.5)

* Sep 5-Yr futures down 4/32 at 125-22 (L: 125-21.75 / H: 125-28.5)

* Sep 10-Yr futures down 10/32 at 139-6 (L: 139-06 / H: 139-22.5)

* Sep 30-Yr futures down 22/32 at 179-22 (L: 179-22 / H: 181-14)

* Sep Ultra futures down 1-6/32 at 221-15 (L: 221-14 / H: 225-07)

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)

13 Jul  1130ET   $51B   26W Bill      (9127963U1)

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: Mostly weaker after the bell, Whites steady/mixed,

Reds-Golds weaker -- at/near session lows. Current White pack levels:

* Sep 20 +0.010 at 99.750

* Dec 20 steady at 99.710

* Mar 21 steady at 99.80

* Jun 21 -0.005 at 99.820

* Red Pack (Sep 21-Jun 22) -0.02 to -0.005

* Green Pack (Sep 22-Jun 23) -0.03 to -0.025

* Blue Pack (Sep 23-Jun 24) -0.045 to -0.04

* Gold Pack (Sep 24-Jun 25) -0.05 to -0.045

US DOLLAR LIBOR: Latest settles

* O/N -0.0004 at 0.0814% (-0.0015/wk)

* 1 Month -0.0028 to 0.1754% (+0.0127/wk)

* 3 Month +0.0018 to 0.2681% (-0.0078/wk)

* 6 Month -0.0031 to 0.3454% (-0.0208/wk)

* 1 Year -0.0040 to 0.4801% (-0.0255/wk)

US SWAPS: 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. 

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

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

1200      +0.50/+6.88    +0.75/+4.00    +0.88/-1.12    +1.56/-46.06

1000      +0.62/+7.00    +0.75/+4.00    +0.88/-1.12    +1.38/-46.25

Fri Open  +0.44/+6.81    +0.50/+3.75    +0.81/-1.19    +1.12/-46.50

Thu 1500  +0.44/+6.38    +0.38/+3.25    +0.81/-2.06    +1.38/-47.62

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

* Daily Effective Fed Funds Rate: 0.09% volume: $60B

* Daily Overnight Bank Funding Rate: 0.09%, volume: $148B

US TSYS: REPO REFERENCE RATES 

* Secured Overnight Financing Rate (SOFR): 0.10%, $984B

* Broad General Collateral Rate (BGCR): 0.08%, $413B

* Tri-Party General Collateral Rate (TGCR): 0.08%, $385B

FED: No NY Fed operational purchases for today, resume next week:

* Mon 07/13 1010-1030ET: Tsy 20Y-30Y, appr $1.750B

Next forward purchase schedule to be released at 1500ET Monday

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

13-Jul 1100 Jul NY Fed expectations survey

13-Jul 1130 NY Fed Pres Williams LIBOR webinar

13-Jul 1130 US Tsy $54B 13W Bill auction (9127962R9)

13-Jul 1130 US Tsy $51B 26W Bill auction (9127963U1)

13-Jul 1400 Jun Treasury budget balance (-$398.8B, --)

PIPELINE: Quiet finish to week after $32.5B issued/priced

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

07/10 Fri investor call: Japan Int Cooperation Agency (JICA) 10Y

-

$3.5B Priced Thursday

07/09 $2B *International Finance Corp (IFC) 5Y Global +10 

07/09 $1.5B *Tokyo Metro Govt 5Y +48

Eurodollar/Tsy options; 

EURODLR OPTIONS, July expiring today

* -6,000 Blue Sep 95/96/97 call flys 0.5 over Blue Sep 96/97/98 call fly, -10k

Thur

* 4,000 Jun 98/100/100.12/100.25 call condors, 1.0

* near 12,500 Sep 100 calls, cab

* Update, over 12,000 Sep 96/97 2x1 put spds, 1.25

* Update, over 35,000 Red Sep'21 92/100 combos, call over 6.5

* 4,000 Nov 95/96 2x1 put spds

* 4,750 Dec 95 puts, 1.25

* just over 32,500 Jul 97 calls, cab w/ OI at 154,621 coming into session

* 6,000 Red Sep'21 92/100 combos, call over 5.0 net

* 5,300 short Oct 97/98/100 call flys, 4.5 vs. 99.835/0.10%

* just over 21,600 Jul 97 calls, cab; OI 154,621

* +5,000 Mar/Jun 95/96/97 put fly strip, 2.75

TSY OPTIONS:

* +2,500 USU 175/177 put spds, 24/64 after USU 173/177 put spd traded 10/64

* +2,500 TYQ 139.25/140.25 put over risk reversal, 3/64

* +2,000 TYU 139 puts, 8/64

* 15,100 TYU 144/145.5 call spds, 1/64 hearing sale

* +1,000 FVU 125.25/126 call over risk reversals, 4/6

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

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