US TSYS: Apple Store Re-Closures Shakes Markets

US TSY SUMMARY: Generally quiet end to the week, risk appetite muted ahead

weekend (not to mention Trump's rally in Oklahoma Saturday -- sure to generate

some headlines as large crowds of Trump supporters decent on Tulsa.

- Rates kicked off with a risk-on tone, making session lows soon after the open

as equities plowed higher. Sources reported better selling cash 10s, fast- and

real$ selling 20s-30s on modest early volumes. 

- Risk-on tone was short lived, however, as Boston Fed Pres Rosengren said he

expects "economic rebound in the second half of the year to be less than was

hoped for at the outset of the pandemic".

- High-gear at high-noon: Headlines that Apple to re-close various stores as

virus counts re-surged (Florida, Arizona, Texas, saw Tsy futures gap

higher/breach prior session highs as equities reversed gains to trade lower.

- Mn Fed Pres Kashkari expects "UNEMPLOYMENT RATE TO CLIMB AGAIN IF THERE IS A

SECOND WAVE, I THINK THE REAL NUMBER TODAY IS AROUND 20%." The 2-Yr yield is

down 0.8bps at 0.1855%, 5-Yr is down 0.6bps at 0.3266%, 10-Yr is down 1.3bps at

0.6954%, and 30-Yr is down 1.5bps at 1.4662%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Bullish Focus 

*RES 4: 139-25   Contract high, Mar 25

*RES 3: 139-13+ 16  High May 15 / High Apr 21 and key resistance

*RES 2: 139-07+ High Jun 1

*RES 1: 139-03   High Jun 11

*PRICE: 138-22+ @ 16:13 BST, Jun 19

*SUP 1: 138-07   Low Jun 16

*SUP 2: 137-22   Low Jun 10

*SUP 3: 136-22   Low Jun 5 and the bear trigger

*SUP 4: 136-20   Low Mar 25 

10yr futures continue to consolidate. The outlook for now is unchanged and still

bullish. Attention is on 139-07+, Jun 1 high where a break would erase a recent

bearish theme and open 139-13+ and 139-16, the May 22 and Apr 21 highs

respectively ahead of major resistance at 139-25. This is the contract high from

Mar 25. For bears to regain control, prices need to clear support at 136-22, May

6 low.

AUSSIE 3-YR TECHS: (U0) Floor in For Now 

*RES 3: 100.00 - Handle Psychological Resistance

*RES 3: 99.840 - Range projection on a break of 99.780

*RES 1: 99.780 - High Apr 01 and bull trigger 

*PRICE: 99.725 @ 16:16 BST Jun 19

*SUP 1: 99.690 - Low Mar 27 / Jun 05

*SUP 2: 99.645 - Low Mar 20

*SUP 3: 99.628 - 100-dma

The short-end of the Aussie bond market holds in the middle of the recent range.

The contract continues to trade within a range that has been in place since

peaking at 99.780 on Apr 1. A break of this resistance is required to confirm a

resumption of the broader uptrend and open 99.840, the range projection and the

100.00 psychological level further out. The base of the range expanded lower at

the futures roll, now sitting at 99.695 and marks the key near-term support.

AUSSIE 10-YR TECHS: (U0) Bulls Untroubled For Now

*RES 3: 99.4850 - High Mar 10 and bull trigger

*RES 2: 99.3600 - High Apr 01 

*RES 1: 99.2250 - High Apr 17 

*PRICE: 99.1150 @ 16:16 BST, Jun 19

*SUP 1: 98.7800 - Low Mar 23 

*SUP 2: 98.7210 - 61.8% March Sell-off

*SUP 3: 98.5700 - Low Mar 20 

Aussie 10yr futures head into the Friday close right in the middle of the recent

range. This keeps the bounce from the Jun08 low firm for now. Key resistance is

located at 99.2250, the Apr 17 high. Clearance of this level would instead be

bullish. To the downside, having taken out key support at 99.0200, the Apr 9

low, bears now target late March lows at 98.90 and the Fib support at 98.7210.

JGB TECHS: (U0): 50-dma in Sight

*RES 3: 154.56 - High Mar 13 

*RES 2: 153.50 - High Mar 16

*RES 1: 153.06 - High Mar 31 and key resistance

*PRICE: 152.12 @ 16:18 BST, Jun 19

*SUP 1: 151.06 - Low Mar 24

*SUP 2: 150.61 - Low Mar 19 and key support

*SUP 3: 150.54 - 1.0% 10-dma envelope

JGBs rallied well last week, but have faltered into the second half of this

week. Nonetheless, prices remain close to the best levels but just shy of the

50-dma at 152.23. A rally through here would be bullish, targeting 153.06

initially. Key supports are few and far between until 151.06, but more

importantly 150.61, which marks the March sell-off low.

TSY FUTURES CLOSE: Steady to mildly higher in the short end to marginally weaker

in intermediates to long end after the bell. Levels well off midday lows as

equities reacted negatively to news that Apple would re-close some of its'

stores because of spike in virus cases. Update: * 3M10Y  -1.054, 54.322 (L:

51.765 / H: 58.932)

* 2Y10Y  -0.53, 50.578 (L: 50.324 / H: 54.379)

* 2Y30Y  -0.823, 127.53 (L: 127.469 / H: 132.916)

* 5Y30Y  -0.974, 113.67 (L: 113.603 / H: 117.154); Current futures levels:

* Sep 2-Yr futures up 0.375/32  at 110-10.875 (L: 110-10 / H: 110-11.37)

* Sep 5-Yr futures up 0.25/32  at 125-15.5 (L: 125-10.75 / H: 125-17.5)

* Sep 10-Yr futures down 1.5/32  at 138-25 (L: 138-13.5 / H: 138-28)

* Sep 30-Yr futures down 2/32  at 177-11 (L: 176-02 / H: 177-18)

* Sep Ultra futures down 8/32  at 215-31 (L: 213-16 / H: 216-08)

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

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

22 Jun  1130ET   $57B    13W Bill     (9127962H1)

22 Jun  1130ET   $54B    26W Bill     (9127963L1)

23 Jun  1130ET   $40B    42D Bill     (912796WZ8)

23 Jun  1130ET   $40B   119D Bill     (9127962S7)

23 Jun  1300ET   $20B   273D Bill     (9127962F5)

23 Jun  1300ET   $46B    2Y Note      (912828ZX1)

24 Jun  1300ET   $20B   2Y Note FRN   (912828ZK9)

24 Jun  1300ET   $47B    5Y Note      (912828ZW3)

25 Jun  1300ET   $41B    7Y Note      (912828ZV5)

US EURODLR FUTURES CLOSE: Steady/mixed on modest late week volumes, Whites-Reds

outperforming. Current White pack levels:

* Sep 20 steady at 99.705

* Dec 20 +0.005 at 99.680

* Mar 21 +0.005 at 99.770

* Jun 21 steady at 99.785

* Red Pack (Sep 21-Jun 22) steady to +0.005

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

* Blue Pack (Sep 23-Jun 24) -0.01 to -0.005

* Gold Pack (Sep 24-Jun 25) -0.02 to -0.01

US DOLLAR LIBOR: Latest settles

* O/N -0.0011 at 0.0752% (+0.0089/wk)

* 1 Month +0.0001 to 0.1901% (-0.0050/wk)

* 3 Month -0.0012 to 0.3051% (-0.0157/wk)

* 6 Month -0.0102 to 0.4145% (-0.0175/wk)

* 1 Year -0.0016 to 0.5757% (-0.0175/wk)

US SWAPS: Not much to report in swaps, levels running wider across the curve,

near session highs on limited flow after some mild fast$ payer unwinds in short

end. Lack of swappable supply/hedging contributed to move. Current levels

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

1345      +0.62/+6.62    +0.56/+3.94    +0.38/-2.00    +0.69/-49.19

1200      +0.50/+6.50    +0.44/+3.81    +0.56/-1.81    +0.75/-49.12

1000      +0.69/+6.69    -0.06/+3.31    +0.06/-2.31    +0.12/-49.75

Fri Open  +0.75/+6.75    +0.38/+3.75    +0.25/-2.12    +0.06/-49.81

Fri 0700  +0.81/+6.81    +0.38/+3.75    +0.12/-2.25    -0.12/-50.00

Thu 1530  -0.56/+5.81    -0.12/+3.50    +0.12/-2.56    +0.62/-50.00

Thursday recap: Spds running mixed by the bell, spd curve steeper all session.

Modest deal-tied flow and large Eurodlr Red pack Block (6.5k EDU1-EDM2 at

-0.0012) likely swap related underpinned short end.

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

* Daily Effective Fed Funds Rate: 0.09% volume: $59B

* Daily Overnight Bank Funding Rate: 0.08%, volume: $162B

US TSYS: REPO REFERENCE RATES 

* Secured Overnight Financing Rate (SOFR): 0.09%, $1.046T

* Broad General Collateral Rate (BGCR): 0.07%, $431B

* Tri-Party General Collateral Rate (TGCR): 0.07%, $405B

FED: Recap NY Fed operational purchase for Friday

* Tsy 0Y-2.25Y, $12.801B accepted of $32.920B submitted

-- 

Next week's NY Fed operational purchases schedule. Note, two 20Y-30Y buys

* Mon 1010-1030ET: Tsy 20Y-30Y, appr $1.750B*

* Tue 1010-1030ET: Tsy 4.5Y-7Y, appr $6.025B

* Wed 1010-1030ET: TIPs 7.5Y-30Y, appr $1.225B

* Thu 1010-1030ET: Tsy 20Y-30Y, appr $1.750B*

Next scheduled release will be Friday, June 25 at 1500ET

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

22-Jun 1000 May existing home sales (4.33m, 4.15m)

22-Jun 1130 US Tsy 13W Bill auction (9127962H1)

22-Jun 1130 US Tsy 26W Bill auction (9127963L1)

22-Jun 1830 MN Fed Pres Kashkari

PIPELINE: Issuance peters out after $62.65B placed this week

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

06/19 Nothing on tap for Friday

-

$6.7B Priced Thursday; $62.65B/wk

06/18 $4B *T-Mobile $1B +5Y +120, $1.25B +7Y +155, $1.75B +10Y +187.5

06/18 $1.5B *Islamic Development Bank 5Y sustainable sukuk +55

06/18 $800M *China Oilfield $500M 5Y +158, $300M 10Y +190

06/18 $400M *Haitong 3Y +195

Notable Canadian issuance:

06/18 C$8B *Canadian Housing Authority (CHT) C$6B 5Y fix, C$2B 5Y FRN

Eurodollar/Tsy options

EURODLR OPTIONS: 

* >10,000 Sep 88/90/91 deep call flys

* +10,000 Dec 96/97/98 call flys, 4.75

Early 2- and 3Y midcurve:

* 6,200 Green Oct/Nov 97 call spd, 2.0

* -5,250 Blue Sep 92 puts, 3.0 last

* -1,500 Blue Jul 95/96 strangles, 6.5

US TSY OPTIONS: 

* 4,000 TYU 136.5/140.5 put over risk reversals, 2/64 net, hear market still bid

* 1,200 TYQ 138.5/139 strangles, 100

* over 5,000 TYN 137.75/138.75 2x1 put spds, 14/64

* -1,200 TYU 138.5 puts, 51/64

* over 2,000 USQ 177 calls, 1-59- to 1-60/64

* -3,000 TYU 138.5 straddles, 1-47/64

* +1,000 USQ 177 calls, 1-60/64

* -2,000 TYN 137.5/139.5 strangles, 4/64 into the open

* +1,000 USN 181 calls

* +3,000 FVQ 124/124.5/125 put trees, 2/64 earlier

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

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