US TSYS: US Makes Up 25% World Virus Count

US TSY SUMMARY: Rates well bid all session with Tsys extending highs after the

bell, late risk-off with equities selling off through the second half, near lows

into the close (emini -39.0, DJIA -353.5, NDX -244.71). Ongoing factors at play:

- Virus count: CA +2.9% vs. +2.5% 7D avg, total US case count >4M and accounts

for appr 25% worldwide cases. 

- US/China tension: certainly not going to cool geopol tensions down: "U.S.

CHARGES RESEARCHERS FOR CHINA, THREE HAVE BEEN ARRESTED" Bbg "FBI PROBES VISA

HOLDERS SUSPECTED OF TIES WITH CHINESE MILITARY" Bbg.

- CARES Act uncertainty, while bipartisan support exists, question whether it

will pass Trump without the payroll tax cut?

- Session flow on light volume included two-way in 2s-5s, prop acct joined

continued real$ buying in 10s-30s.

- The 2-Yr yield is up 0bps at 0.1493%, 5-Yr is down 0.8bps at 0.2659%, 10-Yr is

down 1.6bps at 0.5807%, and 30-Yr is down 5.1bps at 1.2424%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Eyeing The Next Hurdle For Bulls         

*RES 4: 140-24   2020 High

*RES 3: 140-02   0.764 projection of Jun 5 - 11 rally from Jun 16 low

*RES 2: 139-25   Contract high, Mar 25

*RES 1: 139-22+ High Jul 10/22 & 0.618 proj. Jun 5-11 rally from Jun 16 low

*PRICE: 139-19+ @ 16:21 BST Jul 23

*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 maintains a firmer tone this week and traded at the first key

hurdle for bulls at 139-22+, high Jul 10 and a projection level. The outlook

remains bullish however a move beyond 139-22+ is required to trigger a fresh

round of stronger gains that would open the major resistance at 139-25, Mar 25

contract high. On the downside, key support lies at 138-23+ where a break is

required to signal a reversal.

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: 99.695 @ 16:25 BST Jul 23

*SUP 1: 99.680 - Low Jun 14 / Jul 22

*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.

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: 99.1250 @ 16:26 BST, Jul 23

*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.

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: 152.37 @ 16:27 BST, Jul 23

*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: Long end well bid, bumping around session highs with equities

selling off in the second half. Yld curves bull flattening, hit lows late.

Update:

* 3M10Y  -0.624, 46.913 (L: 44.868 / H: 47.895)

* 2Y10Y  -1.441, 42.939 (L: 42.323 / H: 44.742)

* 2Y30Y  -5.302, 108.675 (L: 108.612 / H: 114.622)

* 5Y30Y  -4.863, 96.891 (L: 96.891 / H: 102.518); Current futures levels:

* Sep 2-Yr futures down 0.125/32 at 110-13.25 (L: 110-13 / H: 110-13.625)

* Sep 5-Yr futures steady at 125-26 (L: 125-24.75 / H: 125-27.25)

* Sep 10-Yr futures up 1.5/32 at 139-19.5 (L: 139-16.5 / H: 139-22.5)

* Sep 30-Yr futures up 18/32 at 181-6 (L: 180-16 / H: 181-08)

* Sep Ultra futures up 2-06/32 at 225-26 (L: 223-10 / H: 225-28)

US TSYS/SUPPLY: Next week's schedule gets crowded ahead the FOMC policy annc on

Wednesday. US Tsy bill/note auction schedule:

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC  AWARDED

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

27 Jul  1130ET   $51B   26W Bill      (912796UC1)

27 Jul  1130ET   $48B    2Y Note      (91782CAC5)

27 Jul  1300ET   $54B   13W Bill      (9127962T5)

27 Jul  1300ET   $49B    5Y Note      (91282CAB7)

28 Jul  1130ET   $30B   42D Bill CMB  (912796TJ8)

28 Jul  1130ET   $30B  120D Bill CMB  (9127963B3)

28 Jul  1300ET   $24B   2Y Note FRN   (91282CAA9)

28 Jul  1300ET   $44B    7Y Note      (91282CAD3)

30 Jul  1130ET   TBA     4W Bill      28 Jul Annc

30 Jul  1130ET   TBA     8W Bill      28 Jul Annc

US EURODLR FUTURES CLOSE: Steady to mildly higher out the strip, short end

posting decent gains late. Current White pack (Sep'20-Jun'21): 

* Sep 20 +0.020 at 99.765

* Dec 20 +0.010 at 99.715

* Mar 21 steady at 99.80

* Jun 21 steady at 99.825

* Red Pack (Sep 21-Jun 22) steady

* Green Pack (Sep 22-Jun 23) steady to +0.005

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

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

US DOLLAR LIBOR: Latest settles: 

* O/N -0.0002 at 0.0856% (+0.0001/wk)

* 1 Month -0.0074 to 0.1716% (-0.0083/wk)

* 3 Month -0.0190 to 0.2445% (-0.0268/wk)

* 6 Month -0.0024 to 0.3251% (-0.0085/wk)

* 1 Year -0.0011 to 0.4621% (-0.0078/wk)

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

* Daily Effective Fed Funds Rate: 0.09% volume: $47B

* Daily Overnight Bank Funding Rate: 0.09%, volume: $155B

US TSYS: REPO REFERENCE RATES: 

* Secured Overnight Financing Rate (SOFR): 0.10%, $1.031T

* Broad General Collateral Rate (BGCR): 0.08%, $394B

* Tri-Party General Collateral Rate (TGCR): 0.08%, $377B

(rate, volume levels reflect prior session)

FED: NY Fed operational purchase

* TIPS 1Y-7.5Y, $2.401B accepted of $4.642B submitted

Balance of week's schedule:

* 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):

24-Jul 0945 Jul IHS Markit Mfg Index (flash) (49.8, 52.0)

24-Jul 0945 Jul IHS Markit Services Index (flash) (47.9, 51.0)

24-Jul 1000 Jun new home sales (676k, 700k) 

24-Jul 1100 Q3 St. Louis Fed Real GDP Nowcast

24-Jul 1115 Q3 NY Fed GDP Nowcast

PIPELINE: Swedish Export Credit Corp priced earlier, still waiting for Ukraine

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

07/23 $2B #Ukraine +12Y around 7.25%

07/23 $600M *Mirae Asset $300M 3Y +205, $300M 5Y +245

07/23 $600M *Swedish Export Credit Corp 4Y +17

Eurodollar/Tsy options

EURODLR OPTIONS:

* 3,400 Green Dec 91/96 2x1 put spds

* +6,000 Dec 98/100 call spds 0.5, adds to >+10k Wed

* +3,000 Sep 95/96/97 put flys, 1.0

* 5,500 short Jun 97/98 call spds

* 3,000 short Sep 97 puts, 1.0 earlier

* -5,000 Sep 97 puts, 1.5 after 4,000 Sep 96 puts trade at 0.5

* 5,500 short Sep 96 puts

* +10,000 Green Dec 93 puts, 2.5 around 99.715-.72/0.10% (this after paper

bought >50k Green Dec 95 puts earlier in week). Otherwise volumes thin with

* 2,800 short Dec 100.5 calls, 0.5

* 2,000 Aug 97 calls earlier at 1.5

* 1,500 Red Sep'21 100/100.25/100.5 call flys

Implieds softer w/underlying holding steady/marginally mixed heading into the NY

open

##################################

Reminder, August Tsy ops expire Friday. A bit early in the week to worry about

pin risk but nearest strikes and open interest listed below. 

*             Calls      Puts      Total   Nearest-the-Money Strike Totals

* Aug 30yr   159,362   219,918    379,280  180.50 w/ 6,321 (2,691c, 3,630P)

*                                          181.00 w/ 20,452 (16,453c, 3,999P)

*                                          181.50 w/ 3,089 (3,014c, 75P)

* Aug 10yr   515,654   581,405  1,097,059  139.25 w/ 33,177 (10,753c, 22,424p)

*                                          139.50 w/ 91,043 (62,681c, 28,362p)

*                                          139.75 w/ 8,822 (8,335c, 487P)

* Aug 5yr    173,832   352,055    525,887  125.75 w/ 40,018 (31,024c, 8,994p)

*                                          126.00 w/ 13,427 (11,335c, 2,092p)

*                                          126.25 w/ 13,351 (13,336c, 15p)

* Aug 2yr      9,701    47,496     57,197  110.38 w/ 9,038 (1,937c, 7,101p)

*                                          110.50 w/ 2,268 (2,263c, 5p)

Options 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's) auto-exercised.

##################################

TSY OPTIONS: Latest trade

* 15,000 TUU 110.12 puts, .5/64

* +2,500 USU 178/184 call over risk reversals, 7/64 vs. 181-01/0.42%

* 1,600 TYV/TYU 139 straddle spds, 30/64 net

* +5,000 TYU 138 puts, 6/64 vs. 139-19

* -2,000 USU 181 puts, 1-39/64

better buyer of wings continues, calls outpacing puts w/ option accts replacing

soon to expire August ops

* +10,000 TYU 140 calls, 20/64

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

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