US TSYS: Day After FOMC, Long Slog To ZIRP Starts

US TSY SUMMARY: Day after Fed held rates steady w/ a side of exceptionally long

ZIRP forward guidance through 2022, rates ground higher through the session, yld

curves bull flattening. Rate bid underscored by increasing risk-off as equities

tumbled (ESM0 down more than 5.5%, back to late May levels; Dow In -6.9%; NDX

-5.3% in late trade). 

- Risk-off tied to virus case numbers rising (Fl, Ca), civil rights protests and

how administration will react. Current rate levels still well off early March

highs. Large 10s/30s steepener Block (+14,576 TYU 138-31.5, post time offer;

-5,951 USU 177-23 THROUGH the 177-29 post time bid).

- Second tail after Tuesday's 10Y R/O, US Tsy $19B 30Y bond auction re-open

(912810SN9) awarded 1.450% (1.342% last month) vs. 1.442% WI; w/ 2.30 bid/cover

(2.30 prior).

- Overnight flow included misc Asian acct selling into strength in long end,

flatteners/steepener unwinds in 2s10s and 5s30s, swap-tied buying intermediates.

- The 2-Yr yield is up 3bps at 0.1967%, 5-Yr is unchanged at 0.315%, 10-Yr is

down 6.6bps at 0.6608%, and 30-Yr is down 10.5bps at 1.4013%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Nearing Key Resistance  

*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+ Jun 1 high  

*RES 1: 139-01+  Intraday high 

*PRICE: 138-30 @ 16:19 BST, Jun 11

*SUP 1: 137-22   Low Jun 10 

*SUP 2: 136-22   Low Jun 5 and the bear trigger 

*SUP 3: 136-20   Low Mar 25

*SUP 4: 136-10+ 2.000 projection of Apr 21 - May 6 swing from May 15 high 10yr

futures continue to extend this week's recovery on the back of the Fed supported

reaction Wednesday. The focus is on 139-07+, Jun 1 high with the 50-dma

breached. A break will erase the 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 the balance,

prices must break support at 136-22, the May 6 low.

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: 99.0775 @ 16:22 BST, Jun 11

*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 progressed further Thursday, which firms the bounce from the

Jun08 low. 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: 152.21 @ 16:23 BST, Jun 11

*SUP 1: 151.06 - Low Mar 24

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

*SUP 3: 150.46 - 1.0% 10-dma envelope

After a weak finish last week, JGBs are bouncing hard and the recovery continued

Thursday to narrow the gap with the 50-dma at 152.28. 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: Well bid for the most part (short end lagging) near late

session highs as risk-off tone persisted as equities fell, SPUs back to early

Jun level around 3000.0. Yld curves broadly flatter, receding from >3Y highs of

last week as mkts look to long slog (2022) of ZIRP. Update: 

* 3M10Y  -6.457, 48.884 (L: 48.251 / H: 54.069)

* 2Y10Y  -7.913, 47.45 (L: 47.105 / H: 55.328)

* 2Y30Y  -11.31, 122.051 (L: 121.919 / H: 133.094)

* 5Y30Y  -9.794, 109.176 (L: 109.138 / H: 118.903); Current futures levels:

* Sep 2-Yr futures down 0.75/32 at 110-10.875 (L: 110-10.875 / H: 110-12.25)

* Sep 5-Yr futures up 2.25/32 at 125-17.5 (L: 125-16.75 / H: 125-20.5)

* Sep 10-Yr futures up 15.5/32 at 138-31 (L: 138-19.5 / H: 139-03)

* Sep 30-Yr futures up 2-07/32 at 178-4 (L: 176-04 / H: 178-13)

* Sep Ultra futures up 4-20/32 at 218-10 (L: 213-30 / H: 218-22)

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

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

15 Jun  1130ET   $60B    13W Bill     (9127962G3)

15 Jun  1130ET   $54B    26W Bill     (9127963K3)

16 Jun  1130ET   $50B    42D Bill     (912796WY1)

16 Jun  1130ET   $40B   119D Bill     (9127962R9)

16 Jun  1300ET   $34B    52W Bill     (9127963H0)

17 Jun  1300ET   $17B  20Y Bill R/O   (912810SR0)

18 Jun  1130ET   TBA     4W Bill      16 Jun Annc

18 Jun  1130ET   TBA     8W Bill      16 Jun Annc

18 Jun  1300ET   $15B   5Y TIPS R/O   (912828ZJ2)

US EURODLR FUTURES CLOSE: Short end weaker after a firmer start, levels broadly

higher/near highs w/Blues-Golds outperforming after the bell. Current White pack

levels:

* Jun 20 -0.005 at 99.675

* Sep 20 -0.005 at 99.70

* Dec 20 -0.005 at 99.675

* Mar 21 steady at 99.760

* Red Pack (Jun 21-Mar 22) +0.005 to +0.010

* Green Pack (Jun 22-Mar 23) +0.015 to +0.040

* Blue Pack (Jun 23-Mar 24) +0.050 to +0.080

* Gold Pack (Jun 24-Mar 25) +0.085 to +0.110

US DOLLAR LIBOR: Latest settles

* O/N +0.0022 at 0.0655% (+0.0029/wk)

* 1 Month -0.0057 to 0.1847% (+0.0046/wk)

* 3 Month -0.0050 to 0.3133% (+0.0005/wk)

* 6 Month -0.0068 to 0.4196% (-0.0616/wk)

* 1 Year -0.0408 to 0.6046% (-0.0294/wk)

US SWAPS: Spds directionally tighter across the board after the bell, near lows

on relative narrow range, prospect of long slog near zero rates until 2020

contributing. No deal-tied flow on day, some light carry-over real$ rate

receiving in the belly noted.  Current levels:

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

Thu 1500  -1.25/+8.00    -1.00/+5.25    -0.38/-0.38    -1.62/-47.38

1345      -1.25/+8.00    -1.12/+5.12    -0.50/-0.50    -1.50/-47.25

1230      -0.88/+8.38    -0.75/+5.50    -0.50/-0.50    -1.00/-46.75

1100      -0.75/+8.50    -0.62/+5.62    -0.50/-0.50    -0.88/-46.62

0930      -0.75/+8.50    -0.50/+5.75    -0.50/-0.50    -0.75/-46.50

Thu Open  -0.62/+8.62    -0.12/+6.12    -0.25/-0.25    -0.50/-46.25

Thu 0700  -0.12/+9.12    +0.00/+6.25    +0.00/-0.00    +0.00/-45.75

Wed 1500  +0.00/+8.50    +1.25/+6.00    +0.75/-0.50    +1.12/-45.75

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

* Daily Effective Fed Funds Rate: 0.08% volume: $53B

* Daily Overnight Bank Funding Rate: 0.07%, volume: $167B

US TSYS: REPO REFERENCE RATES 

* Secured Overnight Financing Rate (SOFR): 0.07%, $1.008T

* Broad General Collateral Rate (BGCR): 0.06%, $435B

* Tri-Party General Collateral Rate (TGCR): 0.06%, $414B

FED: Recap NY Fed operational purchases for Thursday

* Tsy 4.5Y-7Y, $3.000B accepted of $11.590B submitted

* TIPS 7.5Y-30Y, $1.000B accepted of $2.359B submitted

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

12-Jun 0830 May imports price index (-2.6%, 0.7%)

12-Jun 0830 May exports price index (-3.3%, 0.7%)

12-Jun 1000 Jun Michigan sentiment index (p) (72.3, 75.0)

12-Jun 1100 Q2 St. Louis Fed Real GDP Nowcast

12-Jun 1115 Q2 NY Fed GDP Nowcast

PIPELINE: No new issuance Thursday, Swedish Exp penned in for Friday

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

06/12 $500M Swedish Export Credit 3Y tap +22a

Eurodollar/Tsy options

EURODLR OPTIONS:

* +6,000 Green Sep 98 calls, 3.0 vs. 99.74/0.24%

* +6,000 Green Jul 98/100.25 call spds, 3.0

* Update, -11,000 Green Sep 100/100.12 call spds, 1.0

* -3,100 Sep 97 straddles, 8.5 still offered, for reference the Sep 96/97

strangle sold at 3.75 earlier

* near +9,000 Mar 93/96 put spds 0.5 over short Mar 92 puts

* +5,000 Dec 93/95/96 put trees earlier, 1.0 net

* 1,500 Dec 92/93/95 and 93/95/96 put flys

* +5,000 short Dec 95/100 call over risk reversals, 1.0 net

* 1,300 Blue Aug 96 calls vs. Blue Sep 95/96/97 call flys

* 2,700 Blue Sep 92/95/98 2x1x1 put trees

* 4,500 Green Sep 96/97 2x1 put spds

* Update, +19,000 Green Oct 96/97/98 call flys, 4.5 (screen and 10k Block)

Block, 0815:30ET, 10,000 Green Oct 96/97/98 call flys, 4.5

TSY OPTIONS:

* -2,000 TYQ 139.5 calls, 34/64 for just over 11,000 from 27/64 low

* 2,000 FVN 124.5/125/125.5 2x3x1 put flys

* Update, +7,000 TYQ 136.5/137.5 put spds on day from 8- to 9/64

* 3,800 TYN 139.5/140.25/141 1x3x2 call flys, 4/64

* 3,000 TYN 138.5/139 call spds, 18/64

* -6,800 FVN 125.25/125.75 call spds, 20/64

* Just over 2,000 TYQ 136/142 call over risk reversals, 1/64 net package

* 1,000 TYQ 136/137.5/138.5 broken call flys, 20/64

* over -7,000 TYQ 139.5 calls from 27- up to 32/64

* +3,000 TYN 139 straddles, 53/64

Paper continues to build limited upside call flys targeting migration in

underlying to 142 late summer/early fall (TYU nearing 139-00)

* +18,000 TYQ 140/142/143 1x3x2 call flys, 11/64 after +10k TYU 140/142/144

1x3x2 call flys bought 12- to 13/64 earlier

* details: +10,000 TYU 140/142/144 1x3x2 call flys, 12- to 13/64

* -1,000 TYQ 138/140 call spds, 60/64 vs. 138-28/0.41%

* Update, over 10,000 TYU 140/142/144 1x3x2 call flys

* +3,000 FVN 126 calls, 2.5/64 earlier

Overnight trade, cross highlights

* 3x2 risk reversal Block: +15,000 TYQ 137 puts, 15/64 vs. -10,000 TYQ 139.5

calls, 25/64, package vs. 6,000 TYU at 138-23.5

* 1,000 TYU 140/142/144 1x3x2 call flys

* 6,200 TYN 138.75 calls, 28/64

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

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