US TSYS: BOC WAITS FOR MEETING TO CUT 50BP ON VIRUS CONCERNS

US TSY SUMMARY: Bit of a lull Wednesday, subdued trade the day after the FOMC's

first intermeeting rate cut since October 2008 with short end pricing in another

cut at the March 17-18 FOMC.

- Tsy futures trade mixed after the bell, 2s-10s still higher but well off early

highs, June ultra-bonds weaker, dragging June bond futures lower late on heavy

volumes (TYM>2.32M). Note sharp curve steepening, particularly in 3M10Y yld

curve back to mid January levels (>50bp above inverted lows from last Friday!)

as market prices in prospect of more rate cuts.

- Equities ground higher through the session, ignoring for the moment virus

pandemic concerns that have weighed heavily on risk appetite last couple weeks.

Tactical buying risk assets likely driven by expectations of further central

bank support.

Massive option volumes still favor buying upside insurance with some profit

taking/unwinds in gamma and curve steepeners.

- The 2-Yr yield is down 4.6bps at 0.6532%, 5-Yr is up 0.5bps at 0.7476%, 10-Yr

is up 1.4bps at 1.0134%, and 30-Yr is up 4.4bps at 1.6586%.

TECHNICALS:

US 10YR FUTURE TECHS: (M0) Bulls Still Firmly In The Driving Seat

*RES 4: 138-02+2.236 projection of Jan 9 - Feb 3 rally from Feb 6 low

*RES 3: 137-07  2.000 projection of Jan 9 - Feb 3 rally from Feb 6 low

*RES 2: 137-00  Round number resistance

*RES 1: 136-23  High Mar 3

*PRICE: 136-01+ @ 16:34 GMT, Mar 4

*SUP 1: 134-09  Low Mar 3

*SUP 2: 133-14  Low Feb 28

*SUP 3: 132-15  20-day EMA

*SUP 4: 131-30  High Feb 3 and former breakout level

Treasuries remain bullish. The contract traded to a fresh high print Tuesday of

136-23 following the Fed rate cut. Last week's impulsive rally resulted in a

breach of 131-30, Feb 3 high. The break confirmed a resumption of the broader

uptrend that has been in place since the Dec lows and bulls have not looked

back. MA studies remain in bull mode reinforcing current trend conditions. A key

near-term support has been defined at 134-09., the Mar 3 low.

AUSSIE 10-YR TECHS: (M0) Still Elevated

*RES 3: 99.4362 - 123.6% Fib projection of February Rally

*RES 2: 99.3305 - 3.0% Upper Bollinger Band

*RES 1: 99.3300 - High Feb 28 and Alltime High

*PRICE: 99.2700 @ 16:43 GMT, Mar 4

*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

Aussie bonds were firm at the beginning of the week, but swiftly moderated once

more after the RBA and Fed rate cut effect was short-lived. Upside targets

remain at vol band resistance of 99.3305 and Fib projection levels at 99.4362.

To the downside, the initial focus is on 98.7150, Jan 14 low where a break is

required to signal a fresh round of stronger bearish pressure.

JGB TECHS: (M0): Plays the Range

*RES 3: 155.13 - 1.0% 10-dma envelope

*RES 2: 154.61 - 76.4% Sep - Dec 2019 Decline

*RES 1: 154.44 - High Mar 4

*PRICE: 154.06 @ 16:45 GMT, Mar 4

*SUP 1: 152.50 - 50-dma

*SUP 2: 151.62 - Contract lows, Dec 20

*SUP 3: 151.11 - 76.4% retracement of August 2018 - September 2019 Rally

The solid gap higher last week continues to exert influence over prices

resulting in a decent rally into the Friday close. This keeps the outlook

materially bullish despite Monday's pullback as the run began to look a little

over-extended. A close above 154.00 would build a decent base for a challenge on

the best levels of 2019. The 200-dma switches to support at 153.50.

TSY FUTURES CLOSE: Trades mixed after the bell, 2s-10s still higher but well off

early highs, June ultra-bonds weaker, dragging June bond futures lower late on

heavy volumes (TYM>2.32M). Not sharp curve steepening, particularly in 3M10Y yld

curve back to mid January levels (>50bp above inverted lows from last Friday!).

Update: 

* 3M10Y  +24.813, 29.934 (L: 1.14 / H: 29.934)

* 2Y10Y  +5.297, 34.693 (L: 27.24 / H: 35.429)

* 2Y30Y  +7.689, 98.642 (L: 89.928 / H: 99.58)

* 5Y30Y  +3.196, 90.026 (L: 85.069 / H: 90.722); Current futures levels:

* Jun 2-Yr futures up 3.75/32  at 109-16.25 (L: 109-13.25 / H: 109-19.37)

* Jun 5-Yr futures up 3.5/32  at 123-17 (L: 123-13.75 / H: 123-27)

* Jun 10-Yr futures up 5/32  at 135-29 (L: 135-24.5 / H: 136-13.5)

* Jun 30-Yr futures down 3/32  at 171-30 (L: 171-26 / H: 173-16)

* Jun Ultra futures down 26/32  at 208-0 (L: 207-23 / H: 211-04)

US EURODLR FUTURES CLOSE: Bid across the strip but off session highs, short end

outperforming as chances of another rate cut at the March 17-18 FOMC gels.

Current White pack (Mar'20-Dec'20):

* Mar 20 +0.033 at 99.010

* Jun 20 +0.065 at 99.280

* Sep 20 +0.070 at 99.370

* Dec 20 +0.055 at 99.340

* Red Pack (Mar 21-Dec 21) +0.050 to +0.060

* Green Pack (Mar 22-Dec 22) +0.020 to +0.040

* Blue Pack (Mar 23-Dec 23) +0.005 to +0.015

* Gold Pack (Mar 24-Dec 24) +0.005 to +0.010

US DOLLAR LIBOR: Largest declines since 2008

* O/N -0.4879 at 1.0877% (-0.4800/week)

* 1 Month -0.3606 to 1.0162% (-0.4991/wk)

* 3 Month -0.3136 to 1.0006% (-0.4621/wk)

* 6 Month -0.2632 to 0.9888% (-0.4084/wk)

* 1 Year -0.2781 to 0.9675% (-0.4139/wk) 

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

* Daily Effective Fed Funds Rate: 1.59%, volume: $58B

* Daily Overnight Bank Funding Rate: 1.58%, volume: $158B

US TSYS: REPO REFERENCE RATES:

* Secured Overnight Financing Rate (SOFR): 1.64%, $1.238T

* Broad General Collateral Rate (BGCR): 1.63%, $480B

* Tri-Party General Collateral Rate (TGCR): 1.63%, $451B

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

05-Mar 0730 Feb challenger layoff plans (27.8%, --)

05-Mar 0830 29-Feb jobless claims (219k, 215k)

05-Mar 0830 Q4 non-farm productivity (f) (1.4%, 1.3%)

05-Mar 0830 Q4 unit labor costs (f) (1.4%, 1.4%)

05-Mar 1000 Jan factory new orders (1.8%, -0.1%)

05-Mar 1000 Jan factory orders ex transport (0.6%, --)

05-Mar 1030 28-Feb natural gas stocks w/w

05-Mar 1030 US Tsy 4W Bill auction

05-Mar 1030 US Tsy 8W Bill auction

05-Mar 1630 04-Mar Fed weekly securities holdings

05-Mar 1830 Dal Fed Pres Kaplan, Chicago Council Global Economy Series

05-Mar 2000 Mn Fed Kashkari, Univ of Mn talk, Q&A

05-Mar 2045 NY Fed Pres Williams, Foreign Policy Assn

PIPELINE: Truist Bank launched, outpaced Cigna and World Bank

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

03/04 $4.25B #Truist Bank $1.25B 3Y +58, $500M 3Y FRN SOFR+73, $1.25B Each: 5Y

+78, 10Y +123

03/04 $3.5B #Cigna $1.1B 10Y +142, $750M 20Y +157, $1.25B 30Y +177

03/04 $3.5B *World Bank (IBRD) 5Y +10

03/04 $1.1B #So. California Edison $400M 10Y +125, $700M 30Y tap +170

03/04 $1B #John Deere Capital $500M each: 3Y +53, 7Y +88

03/04 $1B #Ebay $00M each 5Y +120, 10Y +170

03/04 $1B #Newmont Corp 10Y +135

03/04 $800M #JM Smucker %500M 10Y +140, $300M 30Y +195

03/04 $500M *Berkshire Hathaway WNG 10Y +87.5

03/04 $500M #Waste Connections, 30Y +150

03/04 $300M #Healthcare Realty WNG 10Y +145

03/04 $500M #Avery Dennison 10Y +170

03/04 $250M #L3Harris WNG 3Y +75

Eurodollar/Tsy options 

Eurodollar options:

* +20,000 May 85 puts, 0.5

* +15,000 Jun 88/91 1x2 call spds, 3.0

* -15,000 Jul 90/91 put strip, 8.5-9.0 adds to earlier -25k Block

Block, 1412:16ET,

* 37,838 Jun 85/87 call spds, 24.0

Block, 1238:02ET,

* total 20,000 Jun 93 calls, 10.0 vs. 99.31/0.43% after dealer sold some 30,000

Jun 95 calls at 4.25 in pit earlier

Block, 1238:02ET,

* 10,000 short Sep 90 puts, 5.5

Block, 1150-1153ET,

* total 20,000 Jun 90/92 2x1 put spds, 4.25

* 35,000 May 87/88/93/95 call condors, 7.5 vs. 99.215/0.10%

* +25,000 Dec 86/88/91 put flys, 3.0 on screen

Details on multi-leg Jun Block at 1058:01ET

* -20,000 Jun 86/87 call spds vs. + Jun 93/95/96/97 call condors, 8.0 net

package, vol desks say global macro has sold the package over 100,000 from 9.0

to 8.0 as they roll-up and spread out June upside insurance.

* +20,000 Mar 91/92 call spds, 2.0

* -20,000 Mar 88/90/91 iron flys earlier at 7.5 earlier

Block update

* just over 105,000 Apr 88/90 call spds sold at 11.0

Block, 1016:00ET

* -25,000 Jul 90/91 put strip, 7.0

* -35,000 Jun 95 calls, 4.25 vs. 99.24/0.20%

* +15,000 Mar 91/92 call spds, 1.75

* 5,000 short Jun 91/96 call over risk reversals, 0.5 vs. 99.38/0.54%

* -50,000 May 87/88/93/95 call condors, 7.5 net

* +20,000 May 92/93 call spds, 5.0 vs. 99.23/0.16%

Recent Block recap

* 20,000 Jun 93/96 call spds (vs. 99.235) 2.0 over Green Jun 95/97 call spds

(vs. 99.235) at

* 10,000 Jun 92 calls, 13.5 vs. 99.24/0.25% at 0818:330ET

* 50,000 Apr 93/96 call spds 0.5 over short Apr 95/97 call spds at 0754-0648ET

* 30,000 Jun 92/95 call spds, 9.5 vs. 99.26/0.25% at 0715:45ET

* 26,750 Apr 91/92/96 1x2x2 call trees, 8.0 net/4-legs over at 0712-0642ET

* 19,757 Mar 88/92 call spds, 13.0-13.5 vs. 99.015/0.50% at 0711-0651ET

* 20,000 May 93/96 call spds 3.0 over short May 96/98 call spds at 0648ET

* 10,000 Jun 92/95 call spds 4.5 over short Jun 95/97 call spds at 0601:11ET

Tsy options:

* +5,700 USJ 158 puts, 2/64

* 5,000 TYJ 136.5/137.5 1x2 2- to 3/64

* 1,000 TYJ/TYK 138.5 call spds, 12/64

* Update, over +100,000 FVM 125/125.5/126.5/126.75 put condors 3.5 (half

scree/pit)

* +29,000 TYJ 144.25 calls, 1/64

* +5,000 FVJ 122.5/FVM 123 call spds, 9.5/64 net/Apr over

* -2,500 FVJ 122.5 puts, 25.5

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

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