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AUSSIE 10-YEAR TECHS

(H1) Fragile Outlook

US TSYS SUMMARY

Curve Lower, Flatter as Yields Reverse Off Cycle Highs

US TSY/RECAP

Yield Curve Update

STIR FUTURES

Eurodollars Futures Snapshot

USDCAD TECHS

Consolidating

AUDUSD TECHS

Probes Key Support

US TSYS: Gimme Shelter

     
US TSY SUMMARY: Safe havens surged Friday as efforts to combat the spread of the
COVID-19 virus forced shutdowns and layoffs. NY state Gov Cuomo issued shelter
in place mandate, followed a few hours later by Illinois state Gov Pritzker
doing the same. Gold +27.4 late, SPs -100.0.
- Long end rates lead the surge, 10YY fell to 0.8390%, 30YY to 1.4145% in late
trade, both still off March 9 all-time lows of 0.5407% and 0.9953% respectively.
- Coordinated funding effort:  FED, BOC, BOE, BOJ, ECB and SNB anncd a shift
from weekly to daily US$ swap lines early in the session. Later in the session,
the NY Fed anncd it will offer $1T in daily repo ops through the end of March.
Whether the Fed will buy other securities, including corporate bonds & longer
term munis remains to be seen.
- Despite the mkt vol that has kept issuers at bay, corp debt issuance finished
strong for wk ($63B total), with Intel and Coca-Cola issuing combined $13B
Friday.
- The 2-Yr yield is down 13.7bps at 0.3134%, 5-Yr is down 22.9bps at 0.4585%,
10-Yr is down 29.5bps at 0.8454%, and 30-Yr is down 36.8bps at 1.4169%.
TECHNICALS:
US 10YR FUTURE TECHS: (M0) Recovers Off Recent Lows  
*RES 4: 139-07   High Mar 12
*RES 3: 138-30+ High Mar 16
*RES 2: 138-04   High Mar 17 
*RES 1: 137-06+ 50% retracement of the Mar 9 - Mar 19 sell-off 
*PRICE: 136-16 @ 16:00 GMT, Mar 20
*SUP 1: 133-21   Low Mar 19  
*SUP 2: 133-14   Low Feb 28
*SUP 3: 133-06+ 50-day EMA
*SUP 4: 132-18+ Low Feb 26
10yr futures traded lower Thursday but markets have since recovered.
Importantly, the 50-day EMA has this week remained intact. This suggests the
recent sell-off has been corrective and as long as yesterday's low of 133-21
remains intact, there is a possibility the contract could extend higher.
Friday's breach of 136.00+, Mar 18 high opens 138.04, the Mar 17 high. A break
of 133-21 resumes recent bearish pressure. 
     AUSSIE 10-YR TECHS: (M0) Inching Higher
*RES 3: 99.5598 - 1.236 projection of the Jan 2 -Feb 4 rally from Feb 13 low 
*RES 2: 99.4850 - High Mar 10 and bull trigger 
*RES 1: 99.2600 - High Mar 12
*PRICE: 98.8800 @ 16:03 GMT, Mar 20
*SUP 1: 98.6300 - Low Mar 18
*SUP 2: 98.5700 - Low Jan 2
*SUP 3: 98.1305 - 1.0% 10-dma envelope
Intraday volatility surged Thursday on the RBA announcement, prompting a sharp
move lower to 97.4850. Nonetheless, the recovery was swift and has net no impact
on the technical outlook. The retains the short-term downtrend as the correction
that has unfolded off the Mar 10 high of 99.4850 appears likely to extend. This
opens early 2020 lows at 98.5700. On the upside, a break of resistance at
99.3600, Mar 12 high is needed to ease the current bearish risk and open the
99.4850 bull trigger, Mar 10 high. 
     JGB TECHS: (M0): Retreat Mode Cemented
*RES 3: 156.02 - High Mar 10 and key resistance 
*RES 2: 154.56 - High Mar 13
*RES 1: 153.50 - High Mar 16
*PRICE: 150.93 @ 16:11 GMT, Mar 20
*SUP 1: 150.61 - Low Mar 19
*SUP 2: 150.06 - 2.0% 10-dma envelope
*SUP 3: 150.00 - Psychological round number 
JGB futures remain vulnerable following the recent sharp sell-off that began off
the Mar 10 high of 156.02. Downside pressure cemented with the break of the
recent 151.52 low, which opens 150.61 next as well as the psychological 150.00
handle further out. On the upside, initial resistance is seen at 153.50, Mar 16
high.
TSY FUTURES CLOSE: Higher but off late session highs after the bell -- choppy
trade on thing markets going into the weekend. Latest levels
* 3M10Y  -19.46, 88.387 (L: 85.161 / H: 101.452)
* 2Y10Y  -11.776, 56.555 (L: 55.365 / H: 65.872)
* 2Y30Y  -12.711, 119.77 (L: 112.022 / H: 128.066)
* 5Y30Y  -4.846, 104.24 (L: 93.837 / H: 107.489); Current futures levels:
* Jun 2-Yr futures up 2.125/32  at 110-3.875 (L: 109-31.62 / H: 110-06.5)
* Jun 5-Yr futures up 21.75/32  at 124-23.75 (L: 123-26.5 / H: 124-27.25)
* Jun 10-Yr futures up 1-15/32  at 136-22 (L: 134-22 / H: 136-27)
* Jun 30-Yr futures up 2-25/32  at 175-13 (L: 171-23 / H: 177-08)
* Jun Ultra futures up 5-18/32  at 209-19 (L: 201-27 / H: 214-20)
RECAP NY Fed operational purchases schedule for today:
* 0940-1000ET: Tsy 7-20Y, $6.001B accepted, $10.021B submitted
* 1030-1050ET: Tsy 4.5-7Y, $11.001B acc'd, $16.051B sub'd
* 1120-1140ET: Tsy 20-30Y, $4.501B acc'd, $7.410B sub'd
* 1210-1230ET: Tsy 2.25-4.5Y, $15.782B acc'd, $15.782B sub'd
* 1300-1320ET: Tsy 0-2.25Y, $25.001B acc'd, $52.124B sub'd
* 1350-1410ET: Tsy 20-30Y, $4.501B acc'd, $6.905B sub'd
* 1440-1500ET: TIPS 7.5Y-30Y, appr $5.335B acc'd, $5.335B sub'd
Preliminary Bloomberg-Barclays US month-end index extension/forecast summary
compared to the average increase for prior year and the same time in 2019. TIPS
0.02Y; Govt inflation-linked, 0.02.
*........................EST.....1Y Avg Incr..Last Year
*US Tsys.................0.07........0.08........0.05
*Agencies................0.04........0.09........0.13
*Credit..................0.13........0.09........0.11
*Govt/Credit.............0.09........0.08........0.08
*MBS.....................0.06........0.06........0.03
*Aggregate...............0.08........0.08........0.07
*Long Govt/Credit........0.05........0.09........0.09
*Interm Credit...........0.10........0.07........0.11
*Interm Govt.............0.06........0.08........0.07
*Interm Govt/Cred........0.08........0.08........0.08
*High Yield..............0.10........0.07........0.04
US EURODLR FUTURES CLOSE: Broadly higher, at/near top end broad session range
after the bell, Whites underperforming but still well bid. Current White pack
(Jun'20-Mar'21): 
* Jun 20 +0.110 at 99.460
* Sep 20 +0.080 at 99.610
* Dec 20 +0.085 at 99.595
* Mar 21 +0.095 at 99.630
* Red Pack (Jun 21-Mar 22) +0.105 to +0.140
* Green Pack (Jun 22-Mar 23) +0.155 to +0.190
* Blue Pack (Jun 23-Mar 24) +0.205 to +0.220
* Gold Pack (Jun 24-Mar 25) +0.230 to +0.250
US DOLLAR LIBOR: Latest settles
* O/N -0.0864 at 0.2119% (-0.8730/week)
* 1 Month +0.0049 to 0.9285% (+0.1284/wk)
* 3 Month +0.0090 to 1.2041% (+0.3609/wk)
* 6 Month +0.0147 to 0.9942% (+0.1729/wk)
* 1 Year +0.0115 to 0.9335% (+0.0843/wk)
STIR: Federal Reserve Bank of New York EFFR for prior session:
* Daily Effective Fed Funds Rate: 0.20%, volume: $103B
* Daily Overnight Bank Funding Rate: 0.12%, volume: $228B
US TSYS: REPO REFERENCE RATES (rate, volume levels reflect prior session):
* Secured Overnight Financing Rate (SOFR): 0.06%, $1.319T
* Broad General Collateral Rate (BGCR): 0.05%, $500B
* Tri-Party General Collateral Rate (TGCR): 0.05%, $483B
RECAP NY Fed operational purchases schedule for today:
* 0940-1000ET: Tsy 7-20Y, $6.001B accepted, $10.021B submitted
* 1030-1050ET: Tsy 4.5-7Y, $11.001B acc'd, $16.051B sub'd
* 1120-1140ET: Tsy 20-30Y, $4.501B acc'd, $7.410B sub'd
* 1210-1230ET: Tsy 2.25-4.5Y, $15.782B acc'd, $15.782B sub'd
* 1300-1320ET: Tsy 0-2.25Y, $25.001B acc'd, $52.124B sub'd
* 1350-1410ET: Tsy 20-30Y, $4.501B acc'd, $6.905B sub'd
* 1440-1500ET: TIPS 7.5Y-30Y, appr $5.335B acc'd, $5.335B sub'd
OUTLOOK: *** US Data/speaker calendar (prior, estimate):
23-Mar 1130 US Tsy $45B 13W Bill (912796UA5) auction
23-Mar 1130 US Tsy $39B 26W Bill (9127962H1) auction
-
24-Mar 0830 Mar Philadelphia Fed Nonmfg Index (13.4, --)
24-Mar 0855 21-Mar Redbook retail sales m/m
24-Mar 0945 Mar Markit Mfg Index (flash) (50.7, 45.0)
24-Mar 0945 Mar Markit Services Index (flash) (49.4, 44.0)
24-Mar 1000 Feb new home sales (0.764m, 0.750m)
24-Mar 1000 Mar Richmond Fed Mfg Index (-2.0, -10.0)
24-Mar 1130 US Tsy $26B 52W Bill (9127962F5) auction
24-Mar 1300 US Tsy $40B 2Y Note (912828ZG8) auction
PIPELINE: *** More Jumbos: $8B Intel jumbo 6-part and Coca-Cola 5-part launched
recently
Date $MM Issuer/Rating/Desc/Maturity/Yld; Priced *; Launch #
03/20 $8B #Intel 6-pt: $1.5B 5Y +290, $1B 7Y +295, $1.5B 10Y +295, $750M 20Y
+295, $2.25B 30Y +310, $1B 40Y from +340
03/20 $B #Coca-Cola 5-pt: $1B 5Y +245, $1B 7Y +255, $1.25B 10Y +255, $500M 20Y
+250, $1.25B 30Y +260
03/20 $1.25B #Berkshire Hathaway Energy Co 5Y +380a
03/20 $1.1B *Schwab $600M 5Y +370, $500M 10Y +370
03/20 $700M #Moody's 5Y +325
03/20 $350M Appalachian Power 10Y +337.5a
Eurodollar/Tsy options 
Eurodollar options:
Block,  1446:13ET
* 13,000 May 85 puts, 1.5
Block recap,
* 10,000 May 85 puts, 1.25 at 1315:00ET
* total 30,000 May 96 calls, 6.5 vs. 99.485/0.30% from 1313-1318ET
* 35,000 Apr 90 puts, 3.25
Block, 1046:48ET
* 15,000 Jun 100 calls, 0.5
* Prior Block total 36,990 Apr 87 puts, 1.25
Block, 1032:08ET
* 16,990 Apr 87 puts, 1.25
Buyers 10,000 Apr 90 puts few minutes prior at 3.0
* over 20,000 May 90/91/93 put flys, 4.75-5.0
* Update, over 15,000 Jun 93/97 1x3 call spds, checking lvl
Block, 0936:22ET
* 10,000 Jun 82 calls, 114.5 vs. 99.39 1:1
* over 10,000 May 90/91/93 put flys, 4.75-5.0
* over 5,000 Jun 93/97 1x3 call spds, checking lvl
Blocks, 0750:24ET
* 3,000 Sep'20 1Y bundle (EDU0-EDM1) +0.0525 at 0825:52ET
* 3,000 Red packs (EDM1-EDH2), +0.060 at 0823:55ET
* 2,000 Red Dec'21 1Y bundles (EDZ1-EDU2), +0.060-0.062 at 0810-0813ET
* 10,000 Dec 95/97 call spds, 13.0 at 0804ET
Block, 0750:24ET
* 5,000 Jun 92 puts, 14.0 vs. 99.375
Overnight trade highlights
* >10,000 Jun 87/88 puts, 1.25-1.50
* >10,000 Jun 90 puts, 8.0
* 10,000 May 90/92 put spds
* 4,000 Jun 91/93 put spds vs. Jun 97 calls
* 3,000 Apr 91/95 put spds
* 3,500 Green Jun 91/93 put spds
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com