US TSYS: VIRUS SPREAD TRIGGER EQUITIES WERE LOOKING FOR

US TSY SUMMARY: Strong risk-off bid for safe havens as small number of confirmed

cases of Coronavirus springing up all over the place: China, Thailand, Taiwan,

Japan, Singapore, South Korea, Vietnam, the US (includes Chicago) and France.

Steady grind higher for Tsy futures all day, 10YY fell to 1.668% 30YY 2.119%, as

equitys found trigger to pare record highs.

- Early chop: After brief pull-back from new highs, futures powered higher as

10YY broke Sep trendline. Heavy volume in futures on move w/TYH>1.8M, multiple

Huge Blocks including TYH/WNH steepener (anticipated after Tsy anncd 20Y bond

coming soon).

- Tsys trimming gains briefly around midday, sources report ongoing real$

selling 30s. In shorts to intermediates: ongoing two-way swap-tied flow amid

much better buying, payer unwinds. Spds tighter all day after steady/mixed open,

waves of two-way swap-tied flow in 2s and 5s leaned towards better receivers in

first half, prop and real$ receivers in 5s and 10s later in session. The 2-Yr

yield is down 2.9bps at 1.4844%, 5-Yr is down 4.8bps at 1.4989%, 10-Yr is down

5.4bps at 1.6787%, and 30-Yr is down 5.2bps at 2.1262%.

TECHNICALS: 

US 10YR FUTURE TECHS: (H0) Focus Is On 130-06 Resistance 

*RES 4: 130-22   61.8% Sep - Dec Decline

*RES 3: 130-17+ High Nov 1 

*RES 2: 130-06   High Jan 8 and a key resistance

*RES 1: 130-05   High Jan 24

*PRICE: 130-02+ @ 16:10 GMT, Jan 24

*SUP 1: 129-12   Low Jan 22

*SUP 2: 128-29   Low Jan 17 and key near-term support

*SUP 3: 128-25   Low Jan 14

*SUP 4: 128-17+ Low Jan 97 

10yr futures traded maintain a firmer tone following this week's gains.

Resistance around the 100-dma at 129-20 has now been cleared. The breach of this

level effectively negates the recent bearish outlook and instead signals a

stronger bullish theme. Attention is on 130-06, the Jan 8 high and the next key

resistance. A break would reinforce bullish conditions and open 130-17+, the Nov

1 high initially. Key support is at 128-29, Jan 17 low.

AUSSIE 3-YR TECHS: (H0) Trendline Resistance Holds Firm

*RES 4: 99.395 - High Nov 28

*RES 3: 99.364 - 76.4% Fib October - December Decline

*RES 2: 99.335 - High Dec 13 

*RES 1: 99.310 - High Jan 22 / 61.8% Fib October - December Decline

*PRICE: 99.280 @ 16:06 GMT Jan 24

*SUP 1: 99.200 - Low Jan 16

*SUP 2: 99.180 - Low Jan 10, 14 and 14 and near-term key support

*SUP 3: 99.085 - Low Jan 3

*SUP 4: 99.055 - Low Dec 31 and primary support

Markets went nowhere Friday, failing to follow US Treasuries higher after the

better-than-expected Australian jobs numbers. This stopped markets short of

testing the down trendline drawn from the early October highs. For bulls to

really seize control this must be topped before re-targeting the late November

highs of 99.395. A failure to hold onto recent gains would instead resume

attention on the key support at 99.18, the Jan 10, 14 and 15 low.

AUSSIE 10-YR TECHS: (H0) Strong Close

*RES 3: 99.0150 - High Nov29

*RES 2: 98.9500 - High Dec 5

*RES 1: 98.9408 - 61.8% August - January Decline

*PRICE: 98.9200 @ 16:07 GMT, Jan 24

*SUP 1: 98.7150 - Low Jan 14 and key near-term support 

*SUP 2: 98.5900 - Low Jan 3 

*SUP 3: 98.5700 - Low Jan 2 and primary support

For a second session, Aussie 10-year futures rallied into the close after having

topped key resistance at 98.8600. Bulls are gaining some firmer footing and this

looks to continue up to the Dec 5 high at 98.9500. This should concern bears

targeting the 98.5700 YTD low over the medium term and a close above the 100-dma

will spell more trouble. To the downside, the initial focus though is on 98.715,

Jan 14 low where a break is required to signal a fresh round of stronger bearish

pressure. For bears, 98.8600 is a key risk parameter.

JGB TECHS: (H0): Mini Uptrend Still Underway

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

*RES 2: 153.11 - High Dec 4

*RES 1: 152.62 - High Jan 6

*PRICE: 152.44 @ 16:09 GMT, Jan 24

*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 earlier this week, markets flatlined into the

Friday close but look to secure the first close above the 50-dma since October

last year. This counters the bearish signals in present over the past fortnight

or so, shifting focus to the late November highs and the 200-dma. The first

hurdle sits at the Jan 6 high at 152.62. To the downside, bears could gain a

firmer footing on a move through the 152.00 handle.

TSY FUTURES CLOSE: Well bid after the bell on heavy volume (TYH>1.9M), safe

haven buyers eased off the throttle late as futures slipped off highs around the

close. Yld curves moderately flatter. Update:

* 3M10Y  -2.791, 15.081 (L: 13.033 / H: 19.908)

* 2Y10Y  -2.336, 19.336 (L: 18.75 / H: 22.602)

* 2Y30Y  -1.986, 64.255 (L: 63.498 / H: 67.499)

* 5Y30Y  -0.04, 62.927 (L: 61.776 / H: 64.061); Current futures levels:

* Mar 2-Yr futures up 2/32  at 107-28.75 (L: 107-25.625 / H: 107-29.5)

* Mar 5-Yr futures up 7.75/32  at 119-14.75 (L: 119-03.75 / H: 119-17.25)

* Mar 10-Yr futures up 14.5/32  at 130-7.5 (L: 129-19 / H: 130-12)

* Mar 30-Yr futures up 31/32  at 160-17 (L: 159-01 / H: 160-28)

* Mar Ultra futures up 50/32  at 189-17 (L: 187-02 / H: 190-02)

MONTH-END EXTENSIONS: Preliminary 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 0.15Y; Govt inflation-linked, 0.23.

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

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

*Agencies................0.01........0.10........0.06

*Credit..................0.08........0.09........0.12

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

*MBS.....................0.06........0.07........0.06

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

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

*Interm Credit...........0.07........0.08........0.08

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

*Interm Govt/Cred........0.07........0.08........0.06

*High Yield..............0.06........0.08........0.02

US EURODLR FUTURES CLOSE: Well bid across the strip by the bell, near session

highs on heavy risk-off support, Blues-Golds outperforming. Latest levels:

* Mar 20 +0.010 at 98.290

* Jun 20 +0.020 at 98.380

* Sep 20 +0.030 at 98.475

* Dec 20 +0.040 at 98.505

* Red Pack (Mar 21-Dec 21) +0.045 to +0.060

* Green Pack (Mar 22-Dec 22) +0.065 to +0.070

* Blue Pack (Mar 23-Dec 23) +0.075

* Gold Pack (Mar 24-Dec 24) +0.075

US DOLLAR LIBOR: Latest settles

* O/N +0.0003 at 1.5319% (+0.0008/week)

* 1 Month -0.0014 to 1.6595% (+0.0051/wk)

* 3 Month +0.0013 to 1.7954% (-0.0237/wk)

* 6 Month -0.0165 to 1.8053% (-0.0397/wk)

* 1 Year -0.0146 to 1.8799% (-0.0432/wk)

US SWAPS: 

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

* Daily Effective Fed Funds Rate: 1.55%, volume: $67B

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

US TSYS: REPO REFERENCE RATES: No release

* Secured Overnight Financing Rate (SOFR): 1.54%, $1.051T

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

* Tri-Party General Collateral Rate (TGCR): 1.51%, $377B

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

27-Jan 1000 Dec new home sales (0.719m, 0.730m)

27-Jan 1030 Jan Dallas Fed manufacturing index (-3.2, -1.5%)

27-Jan 1130 $45B US Tsy 13W Bill auction 912796TS8 

27-Jan 1130 $39B US Tsy 26W Bill auction 912796WY1 

27-Jan 1300 $40B US Tsy 2Y Note auction 912828Z60 

27-Jan 1300 $41B US Tsy 5Y Note auction 912828Z52

PIPELINE: As usual, Friday pipeline running dry; near $156M for month so far

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

01/?? $Benchmark JFM (Japan Finance Org) roadshow

01/?? $Benchmark Credit Bank of Moscow 5Y roadshow

01/?? $Benchmark Boeing chatter

-

$7.3B priced Thursday, $29.7B for week

01/23 $2.5B *Dominican Republic $1B 10Y 4.6%, $1.5B 40Y 5.95%

01/23 $2B *Capital One Bank $1.25B 3NC2 +50, $750M 6NC5 +73

01/23 $1.5B *Westpac Banking 10NC5 +135

01/23 $950M *Bancolombia 5Y +160

01/23 $350M *Goldman Sachs WNG PerpNC5 4.4%

Eurodollar/Tsy options 

Eurodollar options:

* +5,000 Jul 81/83 put spds vs. short Jul 83 put, 0.0

* +6,000 short Jun 82/83 2x1 put spds, 0.0

* +10,000 Apr/Jun 85 call calendar spds, 2.25 vs 98.395/0.05

* +10,000 Dec 90/92 call spds, 2.5

* -7,000 Jun 82 puts, 2.0

* buyers Sep 85 straddles, 27.0

* 8,000 Jun 86/87/90 1x1x2 call trees, 0.5 net 2-legs over

* +15,000 Sep 77/80 put spds, 0.5

* buyers Jun 83 straddles, 16.5

* +20,000 Jun 83/85/87 call flys earlier, 0.75 -- fine tuning limited upside

insurance buying after various iterations this week: paper bought Jun 83/86/88

and Jun 83/85/88 call flys around 3.0.

* 4,000 short Mar 86/88 1x2 call spds

Block 0840:43ET,

* 10,000 Dec 77/81 put spds, 1.0 vs.

* 10,000 Dec 83/85 call spds, 5.0 EDZ, 98.485/0.25%

* +20,000 pit/screen Jun 86/87/88 call flys, 0.5

Tsy options:

* +1,450 USG 160.5 calls, 5/64

* -3,000 USH 157 puts, 17/64

* Update >-25,000 pit/screen TYH 130.5/131.5/132.5 call flys, 8- to 9/64 appears

to be closer

* +4,000 TYH 128/128.5 put spds, 3/64

* sellers TYH 132 calls, 7/64

* -5,000 TYH 132 calls, 5/64 on screen

* over 1,500 TYH 130.5 calls, 19/64 vs. 129-26.5 little earlier

* -2,500 TYJ 131.5 calls vs. +1,250 TYH 130 calls, ongoing

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

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