US TSYS: BoC Cuts 50Bp; Staying Liquid In Time Of Pandemic

US TSY SUMMARY: Tsys trade weaker but near middle of exceptionally broad range

Friday, yld curves steeper but well off highs. Market exhaustion after another

hectic wk tied to COVID-19 spd. Bank of Canada surprise 50bp cut to .75 due to

mkt stresses. House speaker Pelosi expects to pass virus response bill that

includes paid sick leave and testing.

Pre Trump expected to address nation on COVID-19 response again shortly.

- Huge swings in rates on day, short end outperforming/long end extends sell-off

evident late last two sessions. Early wk chatter pointed to a fund blowing

out/unwinding, more likely domestic/foreign real$ accts selling Tsys to gain

liquidity: balance sheet re-allocations that include SP, FX and swap accts. Note

on Swaps, 30Y spd gapped to new inverted low this morning: -15.50/-81.25,

currently -7.75 at -73.50. Yld spds bear steepening. 

- NY Fed executed six buybacks on the day for a total of $37B, final for $4.001B

in 20-30Y range

- The 2-Yr yield is down 1.5bps at 0.4664%, 5-Yr is up 9.3bps at 0.6961%, 10-Yr

is up 13.8bps at 0.9426%, and 30-Yr is up 10.7bps at 1.5465%.

TECHNICALS:

US 10YR FUTURE TECHS: (M0) Correcting Lower 

*RES 4: 141-21   3.236 projection of Jan 9 - Feb 3 rally from Feb 6 low

*RES 3: 140-26   3.00 projection of Jan 9 - Feb 3 rally from Feb 6 low

*RES 2: 140-24   High Mar 9 and bull trigger 

*RES 1: 139-13+ High Mar 10 

*PRICE: 136-24+ @ 18:09 GMT, Mar 13

*SUP 1: 136-05  Low Mar 13  

*SUP 2: 135-12+ Low Mar 5

*SUP 3: 135-00+ 20-day EMA

*SUP 4: 134-09   Low Mar 3

10yr futures traded lower today and have extended the pullback off Monday's high

of 140-24. The strong uptrend has been in overbought territory for some time and

the focus is on the potential for a much needed technical correction. A deeper

pullback would allow for a move towards 136-00 and a potentially important area

of support around the 20-day EMA at 135-00+. On the upside, initial firm

resistance is at 139-13+, Mar 10 high. 

     AUSSIE 3-YR TECHS: (H0) Low Defined At 99.300 For Now 

*RES 4: 99.714 - 2.0% Upper Bollinger Band

*RES 3: 99.675 - High Mar 8 and bull trigger

*RES 2: 99.645 - High Mar 13

*RES 1: 99.470 - High Mar 16

*PRICE: 99.440 @ 18:11 GMT Mar 13

*SUP 1: 99.300 - Low Jan 16 and key near-term support

*SUP 2: 99.225 - Low Feb 6

*SUP 3: 99.200 - Low Jan 16

*SUP 4: 99.180 - Low Jan 10 and 14

Aussie 3yr sold off sharply to 99.300 before rebounding equally sharply. The

corrective downleg has seen price trade through the 50-day EMA at 99.392. It is

possible that the correction lower has unwound the recent overbought condition

though. If the correction is over, price will need to hold above 99.300. A

recovery would refocus attention on 99.645, Mar 13 high ahead of recent highs at

99.675. A break below 99.300 resumes the downleg.

     AUSSIE 10-YR TECHS: (H0) Trades Below The 50-day EMA

*RES 3: 99.4800 - Contract high Mar 10

*RES 2: 99.3150 - High Mar 13

*RES 1: 99.0400 - High Mar 16

*PRICE: 99.9700 @ 18:12 GMT, Mar 13

*SUP 1: 98.8725 - Low Mar 16

*SUP 2: 98.7150 - Low Jan 14 and key near-term support

*SUP 3: 98.5700 - Low Jan 2

Aussie 10yr has traded down to 98.8725 and thus far found support at this low.

Yesterday prices traded below the 50-day MA at 99.0419 and reinforces the

current bearish threat. However, if a base has been defined at 98.8725 and if

the correction lower has run its course, futures need to trade back above the

EMA and hold above it. This would signal scope for a climb higher towards

99.3150, the Mar 13 high. A move below 98.8725 resumes the downleg. 

     JGB TECHS: (M0): In Retreat Mode

*RES 3: 156.02 - High Mar 10 and key resistance 

*RES 2: 154.56 - High Mar 13

*RES 1: 153.28 - High Mar 16

*PRICE: 151.57 @ 18:20 GMT, Mar 13

*SUP 1: 151.62 - Low Dec 23 (cont)

*SUP 2: 150.98 - Low Nov 29, 2018 (cont) 

*SUP 3: 150.00 - Psychological round number 

JGB futures remain in freefall as the sharp slide off the Mar 10 high of 156.02

extends. Downside pressure is likely to persist with scope seen for a move

towards 150.98 next, low Dec 23 (cont). 150.98l marks a key support and if

breached would highlight a stronger bearish theme and open the psychological

150.00 handle. On the upside, initial resistance is seen at 153.28, Mar 16 high.

TSY FUTURES CLOSE: Mostly weaker after the bell, short end outperforming.

Another hectic end to a hectic week. Mkts await Pres Trump annc from WH. Latest

levels

* 3M10Y  +22.348, 67.408 (L: 33.503 / H: 68.815)

* 2Y10Y  +14.907, 46.557 (L: 23.606 / H: 47.385)

* 2Y30Y  +13.346, 109.1 (L: 91.595 / H: 126.284)

* 5Y30Y  +3.877, 86.728 (L: 71.983 / H: 111.91); Current futures levels:

* Jun 2-Yr futures up 0.875/32 at 110-5.375 (L: 110-03.37 / H: 110-09.5)

* Jun 5-Yr futures down 9/32 at 124-6.75 (L: 124-03 / H: 125-02.5)

* Jun 10-Yr futures down 30/32 at 136-10 (L: 136-05 / H: 138-16)

* Jun 30-Yr futures down 2-21/32 at 176-11 (L: 172-05 / H: 180-23)

* Jun Ultra futures down 5-26/32 at 211-23 (L: 204-12 / H: 218-05)

US EURODLR FUTURES CLOSE: Mostly weaker with tail end of Whites outperforming.

Short end scales back expectations of another intermeeting cut AHEAD of next

weeks FOMC, 75bps cut still anticipated. Current White pack (Mar'20-Dec'20): 

* Mar 20 -0.158 at 99.070

* Jun 20 -0.025 at 99.510

* Sep 20 +0.015 at 99.625

* Dec 20 steady at 99.595

* Red Pack (Mar 21-Dec 21) -0.06 to -0.015

* Green Pack (Mar 22-Dec 22) -0.12 to -0.08

* Blue Pack (Mar 23-Dec 23) -0.135 to -0.125

* Gold Pack (Mar 24-Dec 24) -0.135 to -0.13

US DOLLAR LIBOR: Latest settles

* O/N -0.0017 at 1.0849% (+0.0052/week)

* 1 Month +0.0955 to 0.8001% (-0.0625/wk)

* 3 Month +0.1026 to 0.8431% (-0.0529/wk)

* 6 Month +0.0835 to 0.8214% (-0.0583/wk)

* 1 Year +0.0619 to 0.8216% (-0.0239/wk)

US SWAPS: Long end spds gap wider on the back of latest NY Fed buy operation

extending to 30Y securities. Huge 44bp range for long end swaps as it surges off

all-time inverted low of -87.0 overnight. Latest Spd levels

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

Fri 1430   +2.12/+2.62    +3.38/+5.62   +4.00/+0.00    +5.25/-60.50

1330       +2.00/+2.50    +3.50/+5.75   +5.25/+1.25    +6.25/-59.50

1230       +3.25/+3.75    +3.62/+5.88   +5.38/+1.38    +8.00/-57.75

1030       +0.00/+0.50    +3.00/+5.25   +4.75/+0.75   +13.75/-52.00

0945       -2.25/-1.75    +1.62/+3.88   +1.25/-2.75    +4.00/-61.75

Fri Open   +1.81/+2.31    +3.25/+5.50   -2.00/-6.00    -5.25/-71.00

Fri 0730   +2.25/+2.75    +2.25/+4.50   -2.62/-6.62    -7.75/-73.50

Fri 0630   +3.50/+4.00    +3.00/+5.25   -2.50/-6.50   -15.50/-81.25 *-87.00 O/N*

Thu 1515   -0.25/-2.75    +0.31/+2.06   -2.50/-2.50   -12.00/-60.00

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

* Daily Effective Fed Funds Rate: 1.09%, volume: $80B

* Daily Overnight Bank Funding Rate: 1.09%, volume: $176B

US TSYS: REPO REFERENCE RATES:

* Secured Overnight Financing Rate (SOFR): 1.20%, $1.293T

* Broad General Collateral Rate (BGCR): 1.20%, $536B

* Tri-Party General Collateral Rate (TGCR): 1.20%, $493B

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

16-Mar 0830 Mar Empire Manufacturing Index (12.9, 5.1)

16-Mar 1600 Jan net TICS flows ($85.6B, --)

16-Mar 1600 Jan long term TICS flows ($78.2B, --)

PIPELINE: Scant $6.2B priced on week ($38.95B on month)

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

03/13-03/12 No new issuance since Wednesday

-

03/11 $1B *International Finance Corp (IFC) WNG 3Y +13

-

$5.2B priced Tuesday, first of week

03/10 $2.25B *JP Morgan 6NC5 +145

03/10 $1.75B *Starbucks $500M 7Y +140, $750M 10Y +165, $500M 30Y +225

03/10 $550M *Duke Energy Indiana WNG 30Y +165

03/10 $650M *Textron 10Y +237.5

Canadian issuance

03/10 C$1.75B *Bank of Nova Scotia 3Y tap +127

03/10 C$1.75B *TD 30Y +145

Eurodollar/Tsy options 

Eurodollar options:

13:08 03/13 EDT US TSY OPTIONS: Latest trade,

* +4,500 TYM 129.5/131 put spds, 7/64

* 1,500 TYM 128.5/131.5/134 put flys, 21/64

* 2,000 FVM 125 calls, 45/64 earlier

Block, 1201:45ET

* 13,500 short Apr 95/96/97 call trees, 4.0

* 10,000 Jun 91/93 put spds, 5.5

* +10,000 short Sep 90/92 put spds vs. Sep 92 puts, 0.0 net

* +10,000 short Sep 87/90 put spds, 2.5

* 10,000 short Sep 87/90 put spds, 1.5

* -5,000 Sep 90 puts, 2.5

* +5,000 Jun 96/97/98 call trees 0.5 over Jun 87 puts

* Update, total +50,000 Sep 92 puts, 0.5

* +30,000 Sep 95 puts, 10.0

* -7,500 Mar 90 puts, 1.75 vs. 99.09

* -20,000 Mar 87 puts, cab earlier

Block, 0829:18ET

* -15,000 Sep 90/92/93 2x3x1 broken call flys, 1.5 wings over vs. 99.585/0.08%

Other non-cross trade:

* +25,000 Jun 82 puts, 1.75

Salient overnight trade (March options expiring)

* >23,000 Sep 81 puts partly tied to 82 puts on spd

* >20,000 Mar 90/91 2x1 put spds

* 10,350 short Mar 95 puts, 1.0

* 8,000 Jun 82 puts, 1.75

Block recap

* 6,680 Jun 81 puts, 1.5 at 0733:21ET

* total +70,000 May 93/97 call spds, 18.0 vs. 99.49/0.45% from 0528-0600ET

Tsy options:

* +2,000 TYK 137/TYM 139.5 call diagonals from 12- to 14/64

* +8,000 TYJ 132/133/134 put flys, 4/64 still looking for offer

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

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