US TSYS: Steady Rate Bid Reverses Risk-On Week Opener

US TSY SUMMARY: Well bid after the bell, Tsys gained steadily from mid-morning

on, finally breaking range to the upside late, yld curves under pressure on an

otherwise low conviction/low volume (TYU<750k) session. Equities traded weaker

(ESU0 -35.5), more than making up for Mon's rally.

- US Tsy $46B 3Y Note auction (912828ZY9) right on the screws: awarded 0.190%

vs. 0.190% WI, on a bid/cover 2.44 vs. 2.55 previous. Indirects drew 54.30% vs.

53.31% prior, directs 13.25% vs. 14.47% prior, dealers w/ 32.45% vs. 32.22%

prior.

- Two-way flow and supply related unwinds followed light cash buying across the

curve. Fed Clarida spoke late, Tsys gained slightly on the back of comments on

CNN interview: "ADDITIONAL FORWARD GUIDANCE IS AMONG TOOLS WE CAN USE" and

"THERE'S MORE WE COULD DO IN TERMS OF OUR BALANCE SHEET," Bbg

- The 2-Yr yield is up 0bps at 0.1567%, 5-Yr is down 1.9bps at 0.2832%, 10-Yr is

down 4.1bps at 0.6348%, and 30-Yr is down 7.2bps at 1.3676%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Consolidating But Remains Bullish    

*RES 4: 140-00   Psychological round number

*RES 3: 139-25   Contract high, Mar 25

*RES 2: 139-22+ 0.618 projection of Jun 5 - 11 rally from Jun 16 low

*RES 1: 139-14/16  High Jun 30 / High Apr 21 and key resistance

*PRICE: 139-00+ @ 16:24 BST Jul 07

*SUP 1: 138-23+ Low Jul 2 

*SUP 2: 138-07   Low Jun 16 and key near-term support

*SUP 3: 137-22   Low Jun 10

*SUP 4: 136-22   Low Jun 5 and the bear trigger 

10yr futures remain bullish despite the pullback off last week's high. Price has

recently traded close to key resistance of 139-16, Apr 21 high. This level marks

the trigger for a recovery towards major resistance at 139-25, Mar 25 high. A

break of 139-25 would represent an important technical break and confirm a

resumption of the broader uptrend, exposing initially the 140-00 handle. Key

support remains 138-07, a break would risk a deeper pullback.

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: 99.700 @ 16:25 BST Jul 07

*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) Bulls Find Support

*RES 3: 99.3600 - High Apr 02

*RES 2: 99.2250 - High Apr 17 

*RES 1: 99.1350 High Jun 29 

*PRICE: 99.0750 @ 16:45 BST, Jul 07

*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): Rebounds Off Recent Lows

*RES 3: 153.50 - High Mar 16 

*RES 2: 153.06 - High Mar 31 and key resistance

*RES 1: 152.29 - HIgh Jun 12

*PRICE: 151.83 @ 16:45 BST, Jul 07

*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

JGBs bounced last Thursday, reversing some of the losses seen earlier in the

week. Prices remain above the key 151.18 level, Jun 8 low where a break would

unsettle bulls. The recovery off 151.57 is a positive development and signals

scope for a climb towards 152.29, the Jun 12 high. A rally through the 50-dma at

152.16 would also represent a bullish development. Key supports for now has been

defined at 151.18

TSY FUTURES CLOSE: Continues to trade higher after the bell, yld curves under a

lot of pressure, risk-off accelerating as equities close in on pre-market open

lows (ESU0 -29.0). Update: 

* 3M10Y  -4.326, 48.808 (L: 48.808 / H: 53.184)

* 2Y10Y  -3.782, 47.749 (L: 47.517 / H: 52.881)

* 2Y30Y  -6.771, 121.089 (L: 121.022 / H: 129.122)

* 5Y30Y  -5.026, 108.513 (L: 108.513 / H: 114.218); Current futures levels:

* Sep 2-Yr futures up 0.25/32 at 110-12.625 (L: 110-12.125 / H: 110-12.75)

* Sep 5-Yr futures up 3/32 at 125-23.5 (L: 125-20.25 / H: 125-23.75)

* Sep 10-Yr futures up 10/32 at 139-9.5 (L: 138-30 / H: 139-09.5)

* Sep 30-Yr futures up 1-10/32 at 179-9 (L: 177-25 / H: 179-09)

* Sep Ultra futures up 2-29/32 at 219-31 (L: 216-19 / H: 219-31)

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

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC  AWARDED

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

06 Jul  1130ET   $54B    13W Bill     (912796TN9)   0.150%

06 Jul  1130ET   $51B    26W Bill     (9127963T4)   0.165%

07 Jul  1130ET   $35B    42D Bill     (912796XF1)   0.125%

07 Jul  1130ET   $35B   119D Bill     (912796TP4)   0.150%

07 Jul  1300ET   $46B    3Y Note      (912828ZY9)   0.190%

08 Jul  1130ET   $25B   105D Bill     (9127964K2)

08 Jul  1130ET   $30B   154D Bill     (9127965C9)

08 Jul  1300ET   $29B  10Y Note R/O   (912828ZQ6)

09 Jul  1130ET   $40B    4W Bill      (9127963N7) 

09 Jul  1130ET   $40B    8W Bill      (9127963X5)

09 Jul  1300ET   $19B  30Y Bond R/O   (912810SN9)

US EURODLR FUTURES CLOSE: Whites-Reds steady/marginally higher after the bell,

lagging Greens through Golds on moderate volumes. Current White pack levels:

* Sep 20 +0.010 at 99.745

* Dec 20 steady at 99.710

* Mar 21 +0.005 at 99.805

* Jun 21 steady at 99.820

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

* Green Pack (Sep 22-Jun 23) +0.015 to +0.020

* Blue Pack (Sep 23-Jun 24) +0.025 to +0.035

* Gold Pack (Sep 24-Jun 25) +0.040 to +0.055

US DOLLAR LIBOR: Latest settles

* O/N +0.0001 at 0.0830% (+0.0001/wk)

* 1 Month +0.0166 to 0.1825% (+0.0198/wk)

* 3 Month -0.0081 to 0.2684% (-0.0075/wk)

* 6 Month -0.0040 to 0.3602% (-0.0060/wk)

* 1 Year -0.0233 to 0.4922% (-0.0133/wk)

US SWAPS: Spds running mostly tighter after the bell, 2s-10s off low end narrow

session range, long end back to steady. All-in-all quiet 2-way flow on light

volume. Current levels:

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

Tue 1630  -0.44/+5.81    -0.12/+2.75    -0.31/-2.94    +0.00/-49.38

1400      -0.69/+5.56    -0.12/+2.75    -0.06/-2.69    +0.31/-49.06

1200      -0.69/+5.56    -0.12/+2.75    -0.12/-2.75    +0.19/-49.19

1000      -0.25/+6.00    -0.12/+2.75    +0.12/-2.50    +0.00/-49.38

Tue Open  -0.25/+6.00    -0.12/+2.75    -0.12/-2.75    +0.00/-49.38

Mon 1500  -0.81/+6.44    -0.56/+2.94    -0.50/-2.75    -1.50/-49.50

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

* Daily Effective Fed Funds Rate: 0.09% volume: $62B

* Daily Overnight Bank Funding Rate: 0.09%, volume: $161B

US TSYS: REPO REFERENCE RATES 

* Secured Overnight Financing Rate (SOFR): 0.10%, $977B

* Broad General Collateral Rate (BGCR): 0.08%, $397B

* Tri-Party General Collateral Rate (TGCR): 0.08%, $376B

FED: NY Fed operational purchase

* Tsy 20Y-30Y, $1.732B accepted of $3.829B submitted

Balance of week's schedule:

* Wed 07/08 1010-1030ET: Tsy 4.5Y-7Y, appr $6.025B

* Thu 07/09 1010-1030ET: TIPS 7.5Y-30Y, appr $1.225B

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

08-Jul 0700 03-Jul MBA Mortgage Apps (-1.8%, --)

08-Jul 1000 NY Fed Exec VP Daleep Singh

08-Jul 1030 03-Jul crude oil stocks ex. SPR w/w

08-Jul 1130 US Tsy $25B 105D Bill auction (9127964K2)

08-Jul 1130 US Tsy $30B 154D Bill auction (9127965C9)

08-Jul 1215 Atl Fed Pres Bostic virtual roundtable, Columbus, Georgia

08-Jul 1300 US Tsy $29B 10Y Note R/O auction (912828ZQ6)

08-Jul 1500 May consumer credit (-$68.78B, -$15.00B)

PIPELINE: $13.6B issued/priced Tuesday. Incidentally, hedge unwinds contributed

to Tsy rally after the 3Y auction.

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

07/07 $5B *KFW 5Y +13

07/07 $4B *ADB 3Y +8

07/07 $3.3B *Romania $1.3B +10Y +240, $2B +30Y 4.00%

07/07 $800M *Bocom Leasing $350M 3Y +165, $450M 5Y FRN L+170

07/07 $500M *Kimco 10Y Green bond +210

Eurodollar/Tsy options

EURODLR OPTIONS: Scale buyer on small lots

* +8,000 short Sep 95/96/97 put flys, 0.5

Flurry downside put play buying

* +10,000 Dec 93/95/96 put flys, 0.75

* +5,000 Dec 95/96 put spds, 1.25

* over 3,000 Dec 93/100 call over risk reversals, 0.5

* 6,500 Jul 97 calls, 0.5

* 2,000 Sep 96/97/98/100 call condors

* 2,000 Mar 92/95/96/97 put condors

TSY OPTIONS: Repeats first half trade

* total 10,000 FVU 125.25/125.75 1x2 call spds, 4/64

* 3,500 TYQ 140.5 calls, 4/64

* +3,000 TYU 142 calls, 5/64

* +2,600 TYQ 137.5/138.5 2x1 put spds, 4/64

* small buyer <1k USU 177/180 strangles, 2-62 to 2-63 implieds firm

* +1,000 USU 175/178 2x1 put spds, 1/64 net

* 1,000 TYU 137.5/138/139 broken put trees, 7/64

* -3,100 TYQ 139 straddles at 49- to 50/64

Weekly midcurves seeing some volume:

* appr 11,400 wk2 TY 138.25/138.75 put spds at 4/64 vs. 139-00 to -01/0.19%

* 5,000 FVU 125.25/125.75 1x2 call spds, 4/64

* -1,000 TYQ 138 puts, 6/64

* 3,700 TYQ 140 calls, 6/64 earlier

* USU 178/179 strangle 3-59/64 bid goes offered

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

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