US TSYS: Global Mkts Ready for Quarantine

US TSY SUMMARY: Another one of those days of extreme vol in rates, several round

trip price action in different asset classes. Long end Tsys hit upside breakers

into NY open and close to doing it to the downside after the bell if the huge

sell-off continues despite heightened virus fears gripping mkts.

- After Wed's crazy price action (grudging rise in Tsy ylds in face of one-way

risk aversion that gave way to full on rout in long end Tsys well after the NY

close. Jun 30Y hit first breaker of 183-17 a little after 0512ET and receded.

WNM reversed late morning, delayed react from balance of curve, but rates gapped

lower after the NY close even as equities extended lows (emini -265.0).

Continued talk of large fund blowing out (possible, as a lot of pain going

around) and/or middle east accts (or any number of foreign real$ accts) selling

Tsys to gain liquidity: balance sheet re-allocations that include corporate and

FX accts bleeding into Tsys makes more sense.

- Whipsaw action, US Tsy $19B 30Y bond auction re-open (912810SL3) awarded

1.320% (2.061% last month) vs. 1.285% WI (had been whipping around into final);

w/ 2.36 bid/cover (2.43 prior).

- The 2-Yr yield is down 2.9bps at 0.4909%, 5-Yr is down 4.6bps at 0.6572%,

10-Yr is up 0.2bps at 0.871%, and 30-Yr is up 6.2bps at 1.4537%.

TECHNICALS:

US 10YR FUTURE TECHS: (M0) Holds at Higher Levels

*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: 138-00 @ 16:44 GMT, Mar 12

*SUP 1: 136-24   Intraday low  

*SUP 2: 135-12+ Low Mar 5 and key near-term support

*SUP 3: 134-24+ 20-day EMA

*SUP 4: 134-09   Low Mar 3

10yr futures staged a decent intraday rally early Thursday. This faded slightly

ahead of the close but it's clear bulls remain in control for now. Monday's

140-24 high remains the mark to watch to the upside. Nonetheless, the strong

uptrend has been in overbought territory for some time and the focus is on the

potential for a much needed technical correction. Key S/T support has been

defined at Thursday's 136-24 intraday low. This level would need to give way to

allow for a deeper pullback. Until then, the risk is for a retest of recent

highs and a resumption of the uptrend.

AUSSIE 10-YR TECHS: (H0) Still Has Room to Retreat

*RES 3: 99.5000 - Psychological Resistance

*RES 2: 99.4800 - High Mar 06 and Alltime High

*RES 1: 99.4208 - 2.0% Upper Bollinger Band

*PRICE: 99.2625 @ 16:59 GMT, Mar 12

*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 held the recent range Thursday, which may suggest that the bar for

a return to higher levels is rising. Upside targets remain at vol band

resistance of 99.4208. To the downside, the initial focus is on 98.7150, the Jan

14 low where a break is required to signal a fresh round of stronger bearish

pressure.

JGB TECHS: (M0): Swift Retreat

*RES 3: 157.48 - 2.0% 10-dma envelope

*RES 2: 157.00 - Handle Resistance

*RES 1: 156.02 - High Mar 9

*PRICE: 154.56 @ 16:37 GMT, Mar 10

*SUP 1: 152.83 - 50-dma

*SUP 2: 151.62 - Contract lows, Dec 20

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

Near-term support lines remain untested, but the outlook deteriorated a little

Wednesday, but not considerably so. The recent rally saw the mid-2019 highs

taken out, firming the outlook which still points higher. This keeps the

over-arching theme materially bullish, with momentum measures also pointed

higher. Near-term resistance sits at, initially, 156.02 ahead of the 2.0% 10-dma

envelope at 157.48. The 200-dma switches to support at 153.57.

TSY FUTURES CLOSE: As occurred late Wednesday, Ultra-bond futures gapping lower,

dragging 30- and 10Y along for the ride. Yld curves re-steepen for the third

time. Update: 

* 3M10Y  +6.189, 50.907 (L: 21.357 / H: 55.655)

* 2Y10Y  +1.173, 35.382 (L: 22.475 / H: 39.919)

* 2Y30Y  +7.927, 94.368 (L: 74.395 / H: 97.377)

* 5Y30Y  +11.244, 79.718 (L: 59.364 / H: 81.892); Current futures levels:

* Jun 2-Yr futures up 1.625/32 at 110-3.5 (L: 110-00.125 / H: 110-11.87)

* Jun 5-Yr futures up 5.5/32 at 124-15.5 (L: 124-00.5 / H: 125-09.5)

* Jun 10-Yr futures down 6/32 at 137-6.5 (L: 136-24 / H: 139-07)

* Jun 30-Yr futures down 2-08/32 at 178-09 (L: 177-13 / H: 184-07)

* Jun Ultra futures down 4-28/32 at 215-16 (L: 214-20 / H: 227-09)

UPDATED TSY CLOSE: REPOST to show current levels after the NY close, long end

gapping/extending lows. Update: 

* 3M10Y  +9.694, 54.412 (L: 21.357 / H: 55.655)

* 2Y10Y  +2.849, 37.058 (L: 22.475 / H: 39.919)

* 2Y30Y  +10.673, 97.114 (L: 74.395 / H: 98.055)

* 5Y30Y  +12.495, 80.969 (L: 59.364 / H: 82.002); Current futures levels:

* Jun 2-Yr futures up 1.375/32 at 110-3.25 (L: 110-00.125 / H: 110-11.87)

* Jun 5-Yr futures up 3.5/32 at 124-13.5 (L: 124-00.5 / H: 125-09.5)

* Jun 10-Yr futures down 8.5/32 at 137-4 (L: 136-24 / H: 139-07)

* Jun 30-Yr futures down 3-15/32 at 177-02 (L: 177-02 / H: 184-07)

* Jun Ultra futures down 6-17/32  at 213-31 (L: 213-27 / H: 227-09)

US EURODLR FUTURES CLOSE: Trade mixed after the bell, short end weaker after the

bell after wide trade range and heavy volume as mkt walks back more dovish

expectations from the Fed over next couple meetings (75bp cut still expected

from Fed next week). Golds shift lower as well. Current White pack

(Mar'20-Dec'20): 

* Mar 20 -0.017 at 99.240

* Jun 20 -0.040 at 99.535

* Sep 20 +0.015 at 99.625

* Dec 20 +0.035 at 99.605

* Red Pack (Mar 21-Dec 21) +0.040 to +0.050

* Green Pack (Mar 22-Dec 22) +0.035 to +0.040

* Blue Pack (Mar 23-Dec 23) +0.005 to +0.030

* Gold Pack (Mar 24-Dec 24) -0.055 to -0.01

US DOLLAR LIBOR: Latest settles

* O/N +0.0026 at 1.0866% (+0.0069/week)

* 1 Month -0.0920 to 0.7046% (-0.1580/wk)

* 3 Month -0.0320 to 0.7405% (-0.1555/wk)

* 6 Month -0.0061 to 0.7379% (-0.1418/wk)

* 1 Year +0.0133 to 0.7598% (-0.0858/wk)

US SWAPS: *** Huge swings on another volatile session for swap spds, broad

ranges with the 30Y spd making new inverted low of -60.0!. Spds had gapped

wider/off broadly tighter lows (long end) earlier in response to NY Fed

announcing massive repo liquidity operations ($500B 3M today; $500B each 1- and

3M tomorrow: $1.5T over two days, and $1T every week this month on top of $175B

O/N repo and $45B2W). THat said -- spds are coming off highs last 30 minutes as

Tsys scale back as well. Latest Spd levels

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

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

1400       +6.75/+4.25    +5.25/+7.00   +1.75/+1.75    -4.00/-52.00

1330       +9.38/+6.88    +7.00/+8.75   +4.00/+4.00    -1.25/-49.25

1305       +7.75/+5.25    +6.88/+8.62   +4.25/+4.25    -1.25/-49.25

1200       +1.75/-0.75    -0.25/+1.50   -2.00/-2.00    -9.00/-57.00

1000       +4.50/+2.00    +0.44/+2.19   -1.25/-1.25    -6.62/-54.62

Thu Open   +5.25/+2.75    +0.81/+2.56   -1.12/-1.12    -5.50/-53.50

Wed 1600   -4.19/-1.25    -2.75/+1.50   -2.88/-0.12    -4.88/-47.88

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): 1.15%, $1.222T

* Broad General Collateral Rate (BGCR): 1.14%, $509B

* Tri-Party General Collateral Rate (TGCR): 1.14%, $483B

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

13-Mar 0830 Feb imports price index (0.0%, -1.0%)

13-Mar 0830 Feb exports price index (0.7%, -0.4%)

13-Mar 1000 Mar Michigan sentiment index (p) (101.0, 95.0)

13-Mar 1100 Q1 St. Louis Fed Real GDP Nowcast

13-Mar 1115 Q1 NY Fed GDP Nowcast (1.32%, --)

PIPELINE: $1B priced Thursday, $6.2B/wk ($38.95B on month)

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

03/12 Nothing in pipeline Thursday

-

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

Eurodollar/Tsy options 

Eurodollar options:

Block, 1110:45ET

* 13,000 Mar 96 calls, 0.5

Block, 1101:29ET

* 20,000 Sep 85/86 call spds, 12.0

Blocks,

* 25,500 Dec 83/86 call spds, 24.0 at 1046:51ET

* 12,000 short Apr 92 puts, 2.5 vs. 99.64/0.64% at 1028ET

* +20,000 pit/screen Dec 100 calls, 2.0

* over 16,500 Red Mar'21 100 calls, 3.5 on screen

* -8,000 Green Dec 96/97/98 call trees, 1.0

* +10,000 Apr 95/96/97 call trees, 6.5

* -8,000 Dec 96 straddles, 27.0

* 4,000 Apr 95/96/97 call trees, 6.5

* 1,600 Green Dec 96/97/98 call trees, 1.0

Blocks, verticals trading separately now after

blocked as spd/spd earlier 9.5 net

* 5,000 Jun 95/97 call spds, 11.5 at 0758ET

* 45,000 short Jun 97/98 call spds, 4.0 at 0752ET

Block, 0637:49ET

* 5,000 Dec 81 puts, 1.0

Overnight Block recap

* 5,000 Dec 80/81/82 put trees, 0.5 2-legs over at 0629:29ET

* 15,000 Jun 95/97 call spds 9.5 over short Jun 97/98 call spds at 0624ET

* 6,000 May 86/87 2x1 put spds, 0.5 2-legs over at 0623ET

* 10,000 short Sep 92/95 call spds 9.0 over short Sep 93 puts at 0619ET

* 8,000 short Jun 97/98 1x2 call spds, 1.0 net 2-legs over at 0606ET

* 5,000 short Mar 96/97 call spds, 1.0 at 0542ET

* 5,00 Sep 95/97 call spds, 15.5 at 0448ET

TSY OPTIONS:

* -10,000 TYM 132/134 put spds, 27/64

* +3,500 FVM 121/124 2x1 put spds, 33/64 earlier

* 4,000 Apr 95/96/97 call trees, 6.5

* 1,600 Green Dec 96/97/98 call trees, 1.0

* -3,000 FVM 126 calls from 1-6- to 1-0.5/64 after the bell

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

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