US TSYS: Headline Risk Continues To Spur Fast De-Risking

US TSY SUMMARY: Rates chopped to session highs after the closing bell Wednesday,

largely virus and political headline driven on an otherwise thin participation

session.

- Virus case levels helped spur several rounds of de-risking earlier in the

first half. Support evaporated past midday but bounced after the 20Y R/O note

auction traded through (awarded 1.312%). Late risk-off pushed futures back to

top of the range (headlines from former Trump Admin Bolton alleged Trump asked

China Pres Xi for help in re-election). 

- Early risk-off as Texas virus related hospitalization continue to rise.

Two-way flow on net w/decent volumes, sources reported fast$ buying 5s and 10s

recently, deal-tied selling into bounce. 

- Fed Chair Powell re-read prepared testimony to House Fncl Services Comm. Aside

from deal- and pre-auction hedging and light option related flow, modest pick-up

in selling intermediates-long end as equities rebound higher briefly.

- The 2-Yr yield is down 0.8bps at 0.1912%, 5-Yr is down 0.8bps at 0.336%, 10-Yr

is down 2.6bps at 0.7265%, and 30-Yr is down 2.5bps at 1.5179%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Bullish Focus   

*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: 138-16+ @ 16:42 BST, Jun 17

*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 trade below recent highs. The outlook is unchanged and

remains bullish. The focus is on 139-07+, Jun 1 high where a break would erase a

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 control, prices need to clear support at 136-22, 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: 99.720 @ 16:43 BST Jun 17 

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

*SUP 2: 99.645 - Low Mar 20

*SUP 3: 99.621 - 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: 99.0600 @ 16:44 BST, Jun 17

*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: 152.04 @ 16:46 BST, Jun 17

*SUP 1: 151.06 - Low Mar 24

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

*SUP 3: 150.41 - 1.0% 10-dma envelope

JGBs rallied well last week, but have faltered slightly over the first two

sessions this week. Nonetheless, prices remain close to the best levels but just

shy of the 50-dma at 152.23. 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: Moderately bid across the curve, very near mid-morning highs

after a choppy session w/thin participation. Yld curves see-sawed on day,

flatter after a couple round trips on the choppy session. Update:

* 3M10Y  -1.036, 57.005 (L: 52.867 / H: 60.15)

* 2Y10Y  -1.713, 53.254 (L: 52.596 / H: 56.022)

* 2Y30Y  -1.514, 132.473 (L: 130.789 / H: 135.752)

* 5Y30Y  -1.768, 118.121 (L: 117.507 / H: 121.322); Current futures levels:

* Sep 2-Yr futures up 0.25/32 at 110-10.375 (L: 110-09.875 / H: 110-10.75)

* Sep 5-Yr futures up 0.75/32 at 125-13.5 (L: 125-11.5 / H: 125-15.75)

* Sep 10-Yr futures up 5/32 at 138-19 (L: 138-11.5 / H: 138-21.5)

* Sep 30-Yr futures up 18/32 at 176-8 (L: 175-09 / H: 176-12)

* Sep Ultra futures up 21/32 at 213-24 (L: 211-31 / H: 214-10)

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

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

15 Jun  1130ET   $60B    13W Bill     (9127962G3)   0.175%

15 Jun  1130ET   $54B    26W Bill     (9127963K3)   0.185%

16 Jun  1130ET   $50B    42D Bill     (912796WY1)   0.150%

16 Jun  1130ET   $40B   119D Bill     (9127962R9)   0.180%

16 Jun  1300ET   $34B    52W Bill     (9127963H0)   0.200%

17 Jun  1130ET   $35B   105D Bill     (9127964G1)   0.170%

17 Jun  1130ET   $40B   154D Bill     (9127964T3)   0.185%

17 Jun  1300ET   $17B  20Y Bill R/O   (912810SR0)   1.313%

18 Jun  1130ET   $60B    4W Bill      (9127963F4)

18 Jun  1130ET   $55B    8W Bill      (9127963P2)

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

US EURODLR FUTURES CLOSE: Well bid after the close, at/near session highs with

long end of strip outperforming. Current White pack levels:

* Sep 20 +0.010 at 99.70

* Dec 20 +0.010 at 99.670

* Mar 21 +0.010 at 99.760

* Jun 21 +0.010 at 99.780

* Red Pack (Sep 21-Jun 22) +0.015 to +0.020

* Green Pack (Sep 22-Jun 23) +0.025 to +0.030

* Blue Pack (Sep 23-Jun 24) +0.035 to +0.040

* Gold Pack (Sep 24-Jun 25) +0.045 to +0.060

US DOLLAR LIBOR: Latest settles

* O/N +0.0038 at 0.0755% (+0.0092/wk)

* 1 Month +0.0001 to 0.1939% (-0.0012/wk)

* 3 Month +0.0083 to 0.3162% (-0.0047/wk)

* 6 Month -0.0050 to 0.4247% (-0.0073/wk)

* 1 Year -0.0016 to 0.5838% (-0.0094/wk)

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

* Daily Effective Fed Funds Rate: 0.09% volume: $57B

* Daily Overnight Bank Funding Rate: 0.08%, volume: $158B

US TSYS: REPO REFERENCE RATES 

* Secured Overnight Financing Rate (SOFR): 0.09%, $986B

* Broad General Collateral Rate (BGCR): 0.07%, $424B

* Tri-Party General Collateral Rate (TGCR): 0.07%, $401B

FED: NY Fed operational purchase for Wednesday

* Tsy 2.25Y-4.5Y, $4.401B accepted of $14.265B submitted

- 

NY Fed operational purchases schedule for Thursday

* 1010-1030ET: Tsy 7Y-20Y, appr $3.625B

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

18-Jun 0830 13-Jun jobless claims (1.542m, 1.290m)

18-Jun 0830 Jun Philadelphia Fed Mfg Index (0.3, --)

18-Jun 1030 12-Jun natural gas stocks w/w

18-Jun 1130 US Tsy $60B 4W Bill auction (9127963F4)

18-Jun 1130 US Tsy $55B 8W Bill auction (9127963P2)

18-Jun 1215 Clev Fed Pres Fed Mester, Global Interdependence Ctr

18-Jun 1300 US Tsy $15B 5Y TIPS R/O auction (912828ZJ2)

18-Jun 1630 17-Jun Fed weekly securities holdings

18-Jun 1900 SF Fed Pres Daly commencement address 

PIPELINE: $24.6B to price Wednesday, Upjohn 6pt $7.45B lead

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

06/17 $7.45B #Upjohn Inc (Viatris) $1B 2Y +95, $750M 5Y +135 & 7Y +175, $1.45B

10Y +200, $1.5B 20Y +235, $2B 30Y +250 

06/17 $5B #BP Capital Mkts, $2.5B @ perp NC5.25Y 4.375%, perp NC10Y 4.875%

06/17 $2B #NetApp $750M 5Y +155, $550M 7Y +185, $700M 10Y +200

06/17 $2B #GM FNCL $1.25B 5Y +245, $750M 10Y +290

06/17 $2B *China Construction Bank 10NC5 +215

06/17 $1.25B *Belarus $500M +5Y +6.125a, $750M +10Y +6.375%

06/17 $1.25B #CIBIC 3Y +75

06/17 $1B #Rabobank 6Y +100

06/17 $1B #Barclays WNG 11NC10 +190

06/17 $900M #Schlumberger Inv 10Y +195

06/17 $650M #Amdocs 10Y +180

06/17 $600M #Pacific Life Global 5Y +90

06/17 $500M #NY Life Global 5Y +63

Eurodollar/Tsy options

EURODLR OPTIONS:

* just over 9,500 Jun 100 calls, 5.0

* +5,000 Green Dec 97/98/100 call flys, 1.5

* 2,500 Mar 93/96/98 put flys

* 2,000 Mar 93/96/98 call flys

* Update, over +8,000 Mar 96/97/98 1x3x2 call flys, 1.5

* Update, over +7,000 Dec 93/95/96 put flys, 1.5

* +10,500 Green Dec 97/98/100 1x3x2 call flys, even net/wings over

* 4,000 Oct 93/96 2x1 put spds

* 10,000 Mar 96/97/98 regular call flys after 6k traded on 1x3x2 ratio overnight

* +5,000 Dec 93/95/96 put flys, 1.5

* 3,000 Sep 85 puts cab

* 1,000 Green Sep 95/96 put spds vs. Blue Sep 92/95 put spd

Late overnight trade:

* +6,000 Mar 96/97/98 1x3x2 call flys earlier, 1.5

Vol sellers via Aug and Sep 96/97 strangles, 3.75 and 4.5 respectively

Block, 0733:29ET,

* 5,000 short Jul 96/97 put spds 1.0 net

TSY OPTIONS:

* 11,700 TYN 135.5 puts, 1/64

* -2,000 TYN 138.25 puts, 14/64

* -2,500 TUU 110/110.25 put spds, 3/64

* +2,500 TYQ 137 puts, 15/64

* 2,000 USQ 177 calls, 1-58- to 1-56/64 earlier, hear buy

* Update, some -4,000 TYU 138.5 straddles from -60t to 1-58/64

* 2,500 FVQ 120.5/124.5 2x1 put spds

* -2,000 TYU 139 calls, 47/64 earlier

* sellers TYU 138.5 straddles, 1-60/64

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

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