US TSYS: TSY POWER HIGHER POST FOMC, FOCUS BACK ON VIRUS SPD

     US TSY SUMMARY: Risk-off regains momentum, focus back on corona virus

spread after FOMC held rates steady as exp'd, mildly tweaking language and hiked

IOER and ON RRP both by 5bps (to 1.60% and 1.50% respectively). 

- Late 30Y block buying pushes futures to new highs as equities continue to

trade lower (emini -10.0). 10YY fell to 1.5771L; 30YY fell to 2.0305%. 

- Risk-off gained momentum early -- partially tied to American Airlines

suspending some flights to China due to lack of demand, poor pending home sales

data not helping risk much either. Flow thinned out as participants plyed

sidelines to await Fed. Amid better buying in belly to long end, real$ accts

were sellers in 2s earlier. 

- Two-way trade post FOMC, rates powered higher just as Fed chair Powell

addressed corona virus effect global markets just as Air Canada suspends flights

to Beijing from Jan 30-Feb 29.

- The 2-Yr yield is down 4.8bps at 1.4148%, 5-Yr is down 7bps at 1.4091%, 10-Yr

is down 6.7bps at 1.5891%, and 30-Yr is down 6.7bps at 2.0452%.

TECHNICALS:

US 10YR FUTURE TECHS: (H0) Bullish Outlook Remains Intact 

*RES 4: 132-02+ High Oct 3 and Oct 7

*RES 3: 131-27+ High Oct 10 

*RES 2: 131-11+ 1.382 projection of Jan 2 - Jan 8 rally from Jan 9 low

*RES 1: 131-06   High Jan 29

*PRICE: 131-01 @ 20:31 GMT, Jan 29

*SUP 1: 130-13+ Intraday low

*SUP 2: 129-17+ Low Jan 23

*SUP 3: 129-12   Low Jan 22

*SUP 4: 128-29   Low Jan 17 and key near-term support 

10yr futures maintain a firmer tone with further gains likely near-term despite

yesterday's pullback. The technical condition remains bullish and this was

reinforced by Monday's break of former resistance at 130-17+, Nov 1 high.

Momentum and MA studies are bullish too, reinforcing current conditions. The

focus is on gains towards 131-11+ and 131-19 next, both Fibonacci projections.

Initial support lies at 130-13+.

JGB TECHS: (H0): Consolidates

*RES 3: 153.55 - High Nov 28 and key resistance

*RES 2: 153.11 - High Dec 4

*RES 1: 152.70 - High Jan 27

*PRICE: 152.66 @ 20:33 GMT, Jan 29

*SUP 1: 151.62 - Contract lows, Dec 20

*SUP 2: 151.11 - 76.4% retracement of August 2018 - September 2019 Rally

*SUP 3: 150.52 - 1.0% lower 10-dma envelope

Having topped Fib resistance last week, markets secured a close above the

50-dma, opening further gains in the near-term. The Jan 6 high at 152.62 gave

way with relatively little effort, shifting upside targets to the early Dec

highs at 153.11. This counters the bearish signals in present over the past

fortnight or so, shifting focus to the late November highs and the 200-dma. To

the downside, bears could gain a firmer footing on a move through the 152.00

handle.

TSY FUTURES CLOSE: Well bid, near late session highs. Risk-off regains momentum,

apparent focus back on corona virus spread after the FOMC held rates steady as

expected, mildly tweaking language and hiked IOER and ON RRP both by 5bps (to

1.60% and 1.50% respectively). 10YY fell to 1.5788L (-.0740%); 30YY fell to

2.0385%, (-.0733). Yld curves mostly flatter. Late re-post w/late USH block buy

helping push futures to new high. Update: 

* 3M10Y  -7.482, 1.211 (L: 1.04 / H: 8.788)

* 2Y10Y  -2.371, 16.601 (L: 16.019 / H: 19.491)

* 2Y30Y  -2.492, 62.037 (L: 61.206 / H: 65.215)

* 5Y30Y  -0.145, 62.959 (L: 62.034 / H: 63.895); Current futures levels:

* Mar 2-Yr futures up 3/32  at 108-1.125 (L: 107-29.25 / H: 108-01.25)

* Mar 5-Yr futures up 9.75/32  at 119-30.5 (L: 119-17.75 / H: 119-31)

* Mar 10-Yr futures up 16.5/32  at 131-4 (L: 130-13.5 / H: 131-05)

* Mar 30-Yr futures up 1-9/32  at 162-19 (L: 160-27 / H: 162-21)

* Mar Ultra futures up 2-6/32  at 192-31 (L: 189-29 / H: 193-03)

MONTH-END EXTENSIONS: Desks post Fri's month end may matter more than largely

anticipated FOMC today. UPDATED Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2019; TIPS 0.21Y; Govt inflation-linked, 0.23.

*.....................Projected...1Y Avg Incr..Last Year

*US Tsys.................0.07........0.08........0.06

*Agencies...............-0.03........0.09........0.07

*Credit..................0.09........0.09........0.12

*Govt/Credit.............0.07........0.08........0.08

*MBS.....................0.07........0.07........0.04

*Aggregate...............0.08........0.08........0.07

*Long Govt/Credit........0.05........0.09........0.07

*Interm Credit...........0.09........0.08........0.09

*Interm Govt.............0.07........0.08........0.06

*Interm Govt/Cred........0.08........0.08........0.07

*High Yield..............0.05........0.07........0.02

US EURODLR FUTURES CLOSE: Well bid, near late session highs w/futures more than

making up for Tue's retrace, lead quarterlies off lows, chunky buying in

Whites-Reds, block in latter. Current White pack (Mar'20-Dec'20):

* Mar 20 steady at 98.295

* Jun 20 +0.020 at 98.405

* Sep 20 +0.040 at 98.530

* Dec 20 +0.050 at 98.575

* Red Pack (Mar 21-Dec 21) +0.050 to +0.060

* Green Pack (Mar 22-Dec 22) +0.055 to +0.060

* Blue Pack (Mar 23-Dec 23) +0.060

* Gold Pack (Mar 24-Dec 24) +0.055

US DOLLAR LIBOR: Latest settles

* O/N -0.0034 at 1.5296% (-0.0023/week)

* 1 Month -0.0048 to 1.6452% (-0.0143/wk)

* 3 Month +0.0076 to 1.7771% (-0.0183/wk)

* 6 Month +0.0082 to 1.7792% (-0.0251/wk)

* 1 Year +0.0158 to 1.8471% (-0.0329/wk)

US SWAPS: Spds held to narrow range, short end lead widening earlier on tactical

rate paying from fast$, dearth swappable supply into FOMC limited flow. Unwinds

headed into the Fed annc. Current levels:

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

Wed 1500    +0.50/+6.50    +0.62/+0.38   +0.44/-4.75    +0.50/-31.25

1345        -0.06/+5.94    +0.25/+0.00   +0.19/-5.00    +0.50/-31.25

1015        +0.69/+6.69    +0.25/+0.00   +0.00/-5.19    +0.12/-31.62

Wed Open    +0.69/+6.69    +0.38/+0.12   +0.25/-4.94    +0.25/-31.50

Wed 0715    +0.62/+6.62    +0.25/+0.00   +0.12/-5.06    +0.25/-31.50

Tue 1500    +1.38/+6.38    +0.56/-0.19   +0.44/-5.25    +0.25/-31.75

Tuesday recap: Spds running wider, off wides by the bell with short end

resisting move. Deal-tied paying driver, some some risk-off position squaring

adding to move.

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

* Daily Effective Fed Funds Rate: 1.55%, volume: $69B

* Daily Overnight Bank Funding Rate: 1.54%, volume: $176B

US TSYS: REPO REFERENCE RATES:

* Secured Overnight Financing Rate (SOFR): 1.53%, $1.074T

* Broad General Collateral Rate (BGCR): 1.51%, $389B

* Tri-Party General Collateral Rate (TGCR): 1.51%, $378B

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

30-Jan Fed exits media blackout

30-Jan 0830 25-Jan jobless claims (211k, 215k)

30-Jan 0830 Q4 GDP (adv) (2.1%, 2.1%)

30-Jan 0830 Q4 GDP Price Index (1.8%, 1.8%)

30-Jan 1000 Q4 housing vacancies rate

30-Jan 1030 24-Jan natural gas stocks w/w

30-Jan 1630 29-Jan Fed weekly securities holdings

PIPELINE: Lloyds launched earlier, should price before FOMC

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

01/29 $1B #Lloyds Banking Group 6NC5 +100

-

$6.25B priced Tuesday, $6.25B/wk

01/28 $3B *Union Pacific $500M 7Y +60, $750M 10Y +80, $1B 30Y +115, $750M 50Y

+165

01/28 $1.25B *Fifth Third Bank $650M 3Y +38, $600M 7Y +70

01/28 $1.25B *Huntington Ntnl Bank $500M 3Y +38, $750M 10Y +95

01/28 $750M *Nevada Power WNG $425M 10Y +78, $300M 30Y +102

-

Nothing in the pipeline for Monday, $20B est/wk issuance

Eurodollar/Tsy options 

Eurodollar options:

* -40,000 short Jun 92/97 1x2 call spds vs.

* +60,000 Red Jun'21 95/97 1x2 call spds, 0.0 net

* +10,000 Jul 83/85 put spds, 1.0

* +10,000 Sep 90 calls, 3.5

* +3,000 Jun 81/83 put spds, 6.5 vs 98.405/0.10%

* +5,000 Jun 82/83 2x1 put spds vs. short Jun 82 puts, 3.0 net

* -10,000 Dec 92/95/97 call trees, 1.5

* -3,000 Red Jun'21 86 straddles, 49.5

* +10,000 Apr/Jun 82 straddle spds, 2.25, June over

-20,000 Dec 92 calls, 3.0 vs. 98.525/0.10%

Block, 1011:18ET

* 5,000 short Jun 92/97 2x3 call spds, 4.5

Block, 0959:21ET

* +10,000 Red Jun'21 95/97 1x2 call spds, 1.5

* +10,000 Dec 91/93 2x3 call spds, 2.5

* +5,000 Jun 87/90 call spds, 1.25

* +5,000 Dec 78 puts, 0.5

* +5,000 Apr 85/86 1x2 call spds, 0.0

* -3,000 May 83 straddles, 13.5

* -4,000 short Sep 83/90 call over risk reversals, 3.5 vs. 98.69

Recap limited overnight trade

* +24,000 Dec 87 calls, 11.5

* 10,000 Sep 85/Green Sep 87 call spds, conditional steepener at 3.5

Tsy options:

* +2,000 TYH 129.75/130.25 2x1 put spds, 2/64

* +6,500 FVH 118.25 puts, 1/64

* +6,000 TYJ 127/128/129 put flys, 6/64

* 2,800 TYH 129/130 2x1 put spds, 7/64 vs. 130-27.5

* +1,500 USH 162.5 calls

* +10,000 (pit/screen) TYJ 135.5 calls, 4/64

Recap overnight trade, Blocks

* Block 20,000 TYJ 130.5/131.5/132 broken call trees, 2/64 net

* Another 10,000 TYJ 130.5/131.5/132 broken call trees an hour later

* 7,400 TYH 130.75 calls, 34/64 vs. 5,800 TYH 131 calls, 24/64

* 5,000 TYH 129.75 puts, 17/64

* 3,500 TYH 128.5/129.5 put spds

* Block 10,000 USH 159/161/162 1x2x2 broken call trees vs. 20,000 USJ 162 calls,

13/64 net

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

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