US TSYS: Fed Starts Buying <5Y Corp Bonds Tuesday

US TSY SUMMARY: Risk-off start short lived: Early support in rates short-lived

as Tsys followed a lower path on mild chop from midmorning through the close.

* Late risk-on markets reacted to Secondary Market Corporate Credit Facility

(SMCCF) details that include buying corp bonds <5Y starting tomorrow. Not new

(NY Fed annc'd intent back on May 12) must have been rated invest grade as of

Mar 22, '20, and still

be rated at least BB-/Ba3 on date of purchase by SMCCF. Issuers also can't be:

insured depository institution, depository institution holding co or it's

subsidiary.

* Equities extended session highs (SPUs +33.25(1.1%) at 3042.25; DJIA

+157.62(0.62%) at 25632.4; NDX +137.2(1.4%) at 9701.865).

* Barring the late excitement, session trade was rather muted, two-way, decent

5s10s steepener Block: +8,621 FVU 125-17.5 >125-17 post-time offer) vs +6,582

TYU 138-29

- The 2-Yr yield is down 0.2bps at 0.191%, 5-Yr is up 1bps at 0.3375%, 10-Yr is

up 1bps at 0.7133%, and 30-Yr is unchanged at 1.4568%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Focus Is Still On 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+ High Jun 1

*RES 1: 139-03+ High Jun 11

*PRICE: 138-26 @ 16:27 BST, Jun 15

*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 strengthened last week and despite an inside session Friday,

maintains a positive tone. 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 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 @ 16:33 BST Jun 15

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

*SUP 2: 99.645 - Low Mar 20

*SUP 3: 99.580 - 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: 99.1050 @ 16:34 BST, Jun 15

*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 held the upper end of the recent range into the Monday

close, firming 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: 152.18 @ 16:35 BST, Jun 15

*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

JGBs rallied well over the week, with 10y futures headed into the Friday close

near the best levels but just shy of the 50-dma at 152.27. 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: See-sawed weaker all session following a firmer start, levels

near session lows on moderate volumes (TYY<960k). Update: 

* 3M10Y  +1.184, 53.728 (L: 46.669 / H: 54.384)

* 2Y10Y  +0.758, 51.605 (L: 47.331 / H: 51.825)

* 2Y30Y  +0.194, 126.243 (L: 120.665 / H: 126.707)

* 5Y30Y  -0.561, 112.036 (L: 108.287 / H: 112.463); Current futures levels:

* Sep 2-Yr futures up 0.125/32 at 110-11.125 (L: 110-10.625 / H: 110-12)

* Sep 5-Yr futures down 1/32 at 125-15 (L: 125-13.5 / H: 125-21)

* Sep 10-Yr futures down 1.5/32 at 138-22 (L: 138-20 / H: 139-03)

* Sep 30-Yr futures steady at at 177-6 (L: 176-30 / H: 178-14)

* Sep Ultra futures down 3/32 at 216-13 (L: 215-26 / H: 219-04)

US EURODLR FUTURES CLOSE: Steady/mixed in the short end to mildly weaker out the

strip -- near late lows when markets reacted to Secondary Market Corporate

Credit Facility (SMCCF) details that include buying corp bonds <5Y starting

tomorrow. Current White pack levels:

* Sep 20 +0.005 at 99.70

* Dec 20 steady at 99.670

* Mar 21 +0.010 at 99.765

* Jun 21 +0.010 at 99.785

* Red Pack (Sep 21-Jun 22) steady to +0.010

* Green Pack (Sep 22-Jun 23) -0.01 to -0.005

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

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

US DOLLAR LIBOR: Latest settles

* O/N +0.0036 at 0.0697% (+0.0035 last wk)

* 1 Month -0.0012 to 0.1939% (+0.0149 last wk)

* 3 Month -0.02188 to 0.2990% (+0.0080 last wk) (EDM0 final settle 99.701)

* 6 Month -0.0012 to 0.4308% (-0.0493 last wk)

* 1 Year -0.0026 to 0.5908% (-0.0406 last wk)

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

* Daily Effective Fed Funds Rate: 0.08% volume: $52B

* Daily Overnight Bank Funding Rate: 0.07%, volume: $145B

US TSYS: REPO REFERENCE RATES 

* Secured Overnight Financing Rate (SOFR): 0.08%, $969B

* Broad General Collateral Rate (BGCR): 0.06%, $433B

* Tri-Party General Collateral Rate (TGCR): 0.06%, $397B

FED: Recap NY Fed operational purchases for Monday

* Tsy 20Y-30Y, $1.739B accepted of $3.429B submitted, some exclusions

* TIPS 1Y-7.5Y, $2.401B accepted of $5.621B submitted

--

NY Fed operational purchases schedule for Tuesday;

--

NY Fed operational purchases schedule for Wednesday

* 0930-0950ET: Tsy 2.25Y-4.5Y, appr $4.425B

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

16-Jun 0830 Jun NY Fed Business Leaders Index

16-Jun 0830 May retail sales (-16.4%, 8.0%)

16-Jun 0830 May retail sales ex. motor vehicle (-17.2%, 5.4%)

16-Jun 0830 May retail sales ex. mtr veh, gas (-16.2%, 5.0%)

16-Jun 0855 13-Jun Redbook retail sales m/m

16-Jun 0915 May industrial production (-11.2%, 3.0%)

16-Jun 0915 May capacity utilization (64.9%, 66.9%)

16-Jun 1000 Jun NAHB home builder index (37, 45)

16-Jun 1000 Apr business inventories (-0.2%, -1.0%)

16-Jun 1000 Fed Chair Powell, Senate Banking Comm: Semiannual Mon-Pol report to

Congress; Link http://www.banking.senate.gov

16-Jun 1130 US Tsy $50B 42D Bill auction (912796WY1)

16-Jun 1130 US Tsy $40B 119D Bill auction (9127962R9)

16-Jun 1300 US Tsy $34B 52W Bill auction (9127963H0)

16-Jun 1600 Fed VC Clarida on eco- & policy outlook

PIPELINE: Industrial Bank of Korea priced

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

06/15 $500M *Ind Bank of Korea (IBK) 5Y Covid bond +72.5

06/15 $1B Kommunivest +3Y +22a

06/15 $Benchmark New Development Bank 3Y Covid bond +40a

06/15 $Benchmark Castle Peak Power 10Y +165a

Later in the week:

06/19 $3.75B PG&E 5NC2, 8NC3, 10NC5

06/19 BP Capital Mkts FI investor call

06/?? Pfizer/Viatris US$/EUR jumbo/multi-tranche

Eurodollar/Tsy options

EURODLR OPTIONS:

* over +12,000 Sep 97/98 1x2 call spds, 0.75

Block, 0815-0818ET

* total +28,000 Green Jul 97/98 call spds, 2.5 vs. 99.745/0.30%

* +9,500 Green Jul 97/98 call spds w/ Green Aug 9

* just over 8,000 Red Sep'21 97/98/100 call flys, 2.08 calls, 5.5 db/package

* 18,000 Sep 100.25 calls, cab earlier

* +5,000 Green Oct 91/92/95 broken put flys, 2.0

* Update, >5,500 Mar 93/96 put spds .5 over short Mar 92 puts adds to 12.6k

Block

* 2,000 Sep 95/96/97 put flys

* 3,200 Nov 93/95/96 put flys

* 5,500 Mar 93/96 put spds .5 over short Mar 92 puts adds to 12.6k Block

Block, 0732:24ET 12,600 Mar 93/96 put spds 0.5 over short Mar 92 puts

TSY OPTIONS:

* +2,600 TYU 134.5 puts, 9/64 vs. 138-23.5/0.05%

* +2,500 TYN 137/137.75 2x1 put spds, 1/64

* Update volume >6,400 TYN 138 puts, 8/64

* Scale buyer 6,000 TYN 140 calls, 6/64

* >3,000 TYN 137/137.75 2x1 put spds

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

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