US TSYS: WUHAN VIRUS DRIVES HEAVY SAFE HAVEN/RISK-OFF SUPPORT

US TSY SUMMARY: Wuhan coronavirus continues to drive strong safe-haven/risk-off

bid for rates, despite quarantines and travel bans virus continues to spread.

Tsys very well bid by the close on heavy volume (TYH >2.2M), near top end of

narrow session range after gap-bid early overnight. 10YY 1.6046%, -.0793; 30YY

2.0574%, -.0750. 2s5s yld curve re-inverts first time since early December.

Global equities tumble, eminis -50.0 late Monday; gold +10.30.

- Initial gap bid early overnight, decent two-way, some profit taking through

London cross-over, Tsys resumed climb well ahead the NY open, holding to a

narrow range as ylds bled lower throughout the session. 

- Limited data, Fed in blackout ahead Wed's FOMC annc, mkts absorbed staggered

13- and 26W bill, 2- and 5Y note supply. US Tsy $41B 5Y Note (912828Z52) tail:

awarded 1.448% rate vs. 1.437% WI (previous $41B 5Y awarded 1.756%); 2.33

bid/cover vs. 2.49 prior; in-line $40B 2Y Note auction (912828Z60) awarded a

1.440% rate (1.653% prior) vs. 1.440% WI, bid/cover 2.65 vs. 2.30 previous. The

2-Yr yield is down 5.6bps at 1.4388%, 5-Yr is down 7.2bps at 1.4316%, 10-Yr is

down 8.5bps at 1.5994%, and 30-Yr is down 8bps at 2.0527%.

TECHNICALS: 

US 10YR FUTURE TECHS: (H0) Impulsive Gains  

*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: 131-02   1.236 projection of Jan 2 - Jan 8 rally from Jan 9 low

*PRICE: 130-26 @ 16:29 GMT, Jan 27

*SUP 1: 130-17  Intraday low and gap high

*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 maintains a firmer tone. With risk clearly off the table, further

gains are seen likely near-term. The technical condition is bullish too and this

has been reinforced today following sharp gains and the break of resistance at

130-17+, Nov 1 high.  Attention is on scope for further upside towards 131-02

and 131-11+ next, both Fibonacci projections ahead of 131-27+, the Oct 10 high.

Initial support lies at 130-17, today's intraday low thus far.

TSY FUTURES CLOSE: Very well bid by the close on heavy volume (TYH >2.16M), near

top end of narrow session range after gap-bid early overnight. 10YY 1.6046%,

-.0793; 30YY 2.0574%, -.0750. 2s5s yld curve re-inverts. Update: 

* 3M10Y  -9.462, 5.875 (L: 5.107 / H: 11.546)

* 2Y10Y  -2.376, 16.168 (L: 15.584 / H: 19.372)

* 2Y30Y  -2.254, 61.314 (L: 60.834 / H: 65.173)

* 5Y30Y  -0.509, 62.116 (L: 61.683 / H: 64.551); Current futures levels:

* Mar 2-Yr futures up 2.75/32 at 107-31.875 (L: 107-30.375 / H: 108-00.625)

* Mar 5-Yr futures up 10.25/32 at 119-25.5 (L: 119-20.25 / H: 119-27.75)

* Mar 10-Yr futures up 19.5/32 at 130-28.5 (L: 130-17 / H: 130-31)

* Mar 30-Yr futures up 1-13/32 at 162-01 (L: 161-00 / H: 162-04)

* Mar Ultra futures up 2-13/32 at 192-04 (L: 190-07 / H: 192-09)

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. Current White pack

(Mar'20-Dec'20):

* Mar 20 +0.020 at 98.310

* Jun 20 +0.035 at 98.415

* Sep 20 +0.050 at 98.525

* Dec 20 +0.060 at 98.565

* Red Pack (Mar 21-Dec 21) +0.065 to +0.085

* Green Pack (Mar 22-Dec 22) +0.085

* Blue Pack (Mar 23-Dec 23) +0.085

* Gold Pack (Mar 24-Dec 24) +0.085 to +0.090

US DOLLAR LIBOR: Latest settles

* O/N -0.0002 at 1.5317% (+0.0008 last week)

* 1 Month -0.0103 to 1.6492% (+0.0051 last wk)

* 3 Month -0.0209 to 1.7745% (-0.0237 last wk)

* 6 Month -0.0218 to 1.7835% (-0.0397 last wk)

* 1 Year -0.0427 to 1.8372% (-0.0432 last wk)

US SWAPS: Spds running tighter by the bell, directional w/ Tsy ylds, spds are

at/near lows w/2s-5s extending move late. moderate flow includes spec acct payer

unwinds in 2s-5s in second half, limited deal-related flow as issuers ply the

sidelines on risk-off move in rates. Current levels:

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

Mon 1500    -1.25/+4.50    -1.25/-0.75   -0.69/-5.75    -1.12/-32.38

1400        -1.06/+4.69    -0.88/-0.38   -0.69/-5.75    -1.12/-32.38

1200        -0.81/+4.94    -0.88/-0.38   -0.38/-5.44    -1.00/-32.25

1000        -0.50/+5.25    -0.62/-0.12   -0.25/-5.31    -0.94/-32.19

Mon Open    -0.75/+5.00    -1.00/-0.50   -1.19/-6.25    -1.25/-32.50

Mon 0715    -0.50/+5.25    -0.75/-0.25   -0.94/-6.00    -1.00/-32.25

Fri 1500    -0.25/+5.88    -0.62/+0.00   -0.75/-5.75    -0.38/-31.75

Friday recap: 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.

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

* Daily Effective Fed Funds Rate: 1.55%, volume: $70B

* Daily Overnight Bank Funding Rate: 1.54%, volume: $179B

US TSYS: REPO REFERENCE RATES: No release

* Secured Overnight Financing Rate (SOFR): 1.53%, $1.070T

* Broad General Collateral Rate (BGCR): 1.51%, $395B

* Tri-Party General Collateral Rate (TGCR): 1.51%, $379B

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

28-Jan ---- FOMC policy meeting gets underway

28-Jan 0830 Dec durable goods new orders (-2.1%, 0.5%)

28-Jan 0830 Dec durable new orders ex transport (-0.1%, 0.3%)

28-Jan 0855 25-Jan Redbook retail sales m/m

28-Jan 0900 Nov Case-Shiller Home Price Index (218.1, --)

28-Jan 1000 Jan Conference Board confidence (126.5, 128.0)

28-Jan 1000 Jan Richmond Fed Mfg Index (-5, -3)

28-Jan 1030 Jan Dallas Fed services index (13.5, --)

28-Jan 1130 $26B US Tsy 52W Bill auction 912796UC1

28-Jan 1130 $20B US Tsy 2Y Note FRN auction 912828Z45 

28-Jan 1300 $32B US Tsy 7Y Note auction 912828Z78

PIPELINE: Nothing in the pipeline for Monday as yet, $20B est/wk issuance

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

-

No new issuance last Friday, $29.7B for week

Eurodollar/Tsy options 

Eurodollar options:

* +30,000 Dec 95/97 call spds vs. -15,000 Dec 80/81 put spds, 2.0 net/call spd

over

* +5,000 short Jun 86/87 call spds 2.0 over short Jun 83 puts

* +5,000 Dec 87/92 2x3 call spds, 13.5

* -10,000 short Mar 86 calls, 11.0

* -5,000 short Mar 85 calls, 18.5

Block, 1246:10ET, adds to another 5k in pit and earlier buyer Sep call spd

outright

* 10,000 Sep 83/85 call spds 2.0 over Apr 85 calls

* +25,000 Feb 85/88 call spds, 0.5 on screen

* -10,000 Red Dec'21 97/100 1x2 call spds, 0.5

* -15,000 Mar 83/85 call spds, 1.5

* +10,000 Mar 85/87/88 broken call trees, 0.88 legged

* +15,000 Jun 83/85/86 call trees, 0.0

* 4,000 Dec 92/95 call spds, 2.0 vs. 98.55

* 3,000 short Feb 81/82/86/87 call condors, 8.0

* -4,000 Green Mar 85 puts, 4.0

Implieds well bid on the risk off rally in underlying

* 3,400 Red Mar'21 86/88/90 call trees, 2.5 net/2-legs over

* 2,500 Mar 85/86/87 call flys, cab

Salient overnight flow, Blocks:

* 25,000 Mar 86 calls, 0.5

* +17,000 Dec 92/95/97/100 call condors, 1.5

* 12,000 Mar 85/87/90 call flys

* Block total 10,000 Jun 87/90 call spds, 1.5

* Block, +10,000 short Jun 86/87 call spds 2.0 over short Jun 83 put

* 10,000 Green Mar 80/81/87/88 call condors

* 7,500 short Mar 90/92 1x2 call spds

* 6,800 Mar 85/87/88 call trees

* 4,300 Apr 85/87 call spds vs. Jun 85 calls

Block, 0749:11ET,

* +10,000 Dec 77 puts, 1.0 vs. 98.485/0.05%

Block, 0735:30ET,

* +18,000 Jun 83/85 call spds, 3.75 vs. 98.39/0.20%

Recap overnight flow, Blocks

* Block, +10,000 Jun 87/90 call spds, 1.5

* Block, +10,000 short Jun 86/87 call spds 2.0 over short Jun 83 put

Tsy options:

* 13,000 TYH 136.25 calls, 1/64 after 15,000 TYH 136 calls, 1/64 on screen last

few minutes

* Ongoing sale TYH 130.5/131.5/132.5 call flys on screen, over 27,000 from 13-

to 14/64

* 5,000 FVH 119.25/120.25 strangles, 21.5/64

* 3,500 TYH 130.5/131.5 call spds, 26/64

* 1,500 FVH 118.75/119/119.25 put trees, 10/64

* +1,800 USH 162.5/164.5 call strips, 134-136

Salient overnight trade, Blocks:

* -17,000 TYH 130.5/131.5/132.5 call flys, 13/64 on screen

* +8,000 TYH 132.5/134.5 call spds, 6/64

* 4,000 TYJ 132.5/134.5 call spds, 14/64

* 4,000 TYJ 137 calls, 2/64

* 3,500 TYH 133 calls, 6/64

* Block, +5,000 USJ 164/165 call spds vs. -10,000 USJ 157 puts

* Blocks +4,500 FVH 119.25/120.25 and 119.25/120 risk reversals, 0.0 and 4.5

respectively

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

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