US TSYS: Liquidity Gone Wild, Is It Enough?

US TSY SUMMARY: Massive liquidity/stimulus measures to stem negative impact on

COVID-19 on global economies did manage to spur buyers of equities Tuesday,

while Tsys came under heavy risk-off unwind selling. Yld curves bear steepened.

- Tsy Sec Mnuchin Proposes USD1 Trillion Stimulus; Fed annc reintroduction of

Commercial Paper Funding Facility. BoE: GBP330b of business loan guarantees, a

program worth 15% of GDP in one of strongest global responses to pandemic.

- June ultra-bond futures Block sale earlier: -2,500 WNM 216-00 sell through

218-01 post time bid. Crazy wide sell through? Well, the Ultra-bond had fallen

through the final 18-handle circuit breaker after the close (205-06)-- breakers

off -- fell to 204-14 low before drawing modest bid since, 206-06 last -17

handles.

- Absent since last week, Corporate debt issuers out in force, two jumbos

w/$8.5B Exxon Mobil 6-part and $6.5B Pepsi 5-parter spurred hedging across the

curve.

- The 2-Yr yield is up 13.3bps at 0.4925%, 5-Yr is up 25.3bps at 0.7434%, 10-Yr

is up 36bps at 1.0784%, and 30-Yr is up 40bps at 1.6844%.

TECHNICALS:

US 10YR FUTURE TECHS: (M0) Scope For A Deeper Correction? 

*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: 136-27 @ 16:11 GMT, Mar 17

*SUP 1: 135-25+ Low Mar 13  

*SUP 2: 135-13   20-day EMA

*SUP 3: 134-09   Low Mar 3

*SUP 4: 133-14   Low Feb 28

10yr futures remain volatile and continue to trade below last week's 140-24

high. The strong uptrend has been in overbought territory for some time and we

continue to focus on the potential for a much needed technical correction. Key

support for now lies at Friday's 135-25+ low. A break would allow for a deeper

pullback opening 135-13, 20-day EMA and potentially the 50-day EMA at 132-30+.

Initial firm resistance is at 139-13+, the Mar 10 high. 

     AUSSIE 3-YR TECHS: (M0) Still Trading Below The Mar 9 High 

*RES 4: 99.778 - 1.382 projection of Dec 31 - Feb 3 rally from Feb 6 low (cont)

*RES 3: 99.719 - 1.236 projection of Dec 31 - Feb 3 rally from Feb 6 low (cont)

*RES 2: 99.750 - High Mar 19 and the bull trigger

*RES 1: 99.680 - High Mar 13

*PRICE: 99.585 @ 15:41 GMT Mar 17

*SUP 1: 99.440 - Low Mar 16

*SUP 2: 99.300 - Recent low (cont)

*SUP 3: 99.225 - Low Feb 6 and 13 (cont)

*SUP 4: 99.180 - Low Jan 10, 14 and 15 (cont)

Aussie 3yr remains below the Mar 9 low. The recent pullback in price action is

considered corrective. This theme is seen likely to persist for now, unless

futures are able to trade above resistance at 99-680, Mar 13 high. A break of

the Mar 16 low would trigger deeper short-term losses and open the 99.300 level,

a recent low of the continuation chart. On the upside, clearance of 99-680 would

instead expose the key bull trigger at 99.75.

     AUSSIE 10-YR TECHS: (M0) Corrective Mode 

*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: 98.9900 @ 15:47 GMT, Mar 17

*SUP 1: 98.8775 - Low Mar 16

*SUP 2: 98.7848 - 61.8% retracement of the Jan 2 - Mar 10 rally (cont)

*SUP 3: 98.7150 - Low Jan 14

Aussie 10yr remains in a short-term downtrend as the correction that has

unfolded off the Mar 10 high of 99.4850 appears likely to extend. A break of the

Mar 16 low of 98.8775 would pave the way for weakness towards 98.7848 (cont),

76.4% retracement of the rally between Jan 1 and Mar 10. 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): Still In Retreat Mode

*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: 152.09 @ 15:52 GMT, Mar 17

*SUP 1: 151.52 - Low Mar 16

*SUP 2: 150.98 - Low Nov 29, 2018 (cont) 

*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 is likely to persist with scope

seen for a break of the recent 151.52 low to open 150.98 next, low Dec 23

(cont). The 151.52 area also marks a key support area and if breached would

highlight a stronger bearish theme and open the psychological 150.00 handle

further out. On the upside, initial resistance is seen at 153.50, Mar 16 high.

TSY FUTURES CLOSE: Seeing mild bounce off session lows into the closing bell,

curves bear steepening with long end hitting three circuit breakers (total of 15

handles in WNM late) on the way down. Yld curves sharply steeper. Latest levels

* 3M10Y  +29.557, 78.841 (L: 45.971 / H: 84.21)

* 2Y10Y  +18.53, 53.765 (L: 35.509 / H: 56.465)

* 2Y30Y  +22.493, 114.322 (L: 92.643 / H: 117.9)

* 5Y30Y  +14.809, 93.86 (L: 79.53 / H: 97.483); Current futures levels:

* Jun 2-Yr futures down 7.375/32 at 109-28.625 (L: 109-25 / H: 110-04.5)

* Jun 5-Yr futures down 26.75/32 at 123-31.25 (L: 123-25 / H: 124-28.75)

* Jun 10-Yr futures down 2-01/32 at 135-29.5 (L: 135-22 / H: 138-04)

* Jun 30-Yr futures down 7-24/32 at 173-10 (L: 172-11 / H: 181-19)

* Jun Ultra futures down 14-01/32 at 209-05 (L: 207-19 / H: 224-20)

RECAP NY Fed operational purchases schedule for today 

* Tsy 7-20Y, $3.001B accepted of $9.747B submitted

* Tsy 4.5-7Y, $5.001B accepted of $19.244B submitted

* Tsy 2.25-4.5Y, $10.001B accepted of $16.746B submitted

* Tsy 0-2.25Y, $15.001B accepted of $35.802B submitted

* TIPS 1-7.5Y, $3.001B accepted of $12.800B submitted

* Tsy 20-30Y, $4.001B accepted of $8.259B submitted

US EURODLR FUTURES CLOSE: Sharply lower, near late session lows after the bell,

heavy volume (over 1M futures between EDH-EDU) on volatile session. Current

White pack (Jun'20-Mar'21): 

* Jun 20 -0.095 at 99.520

* Sep 20 -0.075 at 99.60

* Dec 20 -0.090 at 99.540

* Mar 21 -0.095 at 99.560

* Red Pack (Jun 21-Mar 22) -0.13 to -0.11

* Green Pack (Jun 22-Mar 23) -0.145 to -0.14

* Blue Pack (Jun 23-Mar 24) -0.155 to -0.14

* Gold Pack (Jun 24-Mar 25) -0.195 to -0.17

US DOLLAR LIBOR: Latest settles

* O/N +0.0189 at 0.2581% (-0.8267/week)

* 1 Month +0.1384 to 0.7500% (-0.0501/wk)

* 3 Month +0.1625 to 1.0519% (+0.2087/wk)

* 6 Month +0.0693 to 0.9130% (+0.0917/wk)

* 1 Year +0.0424 to 0.8618% (+0.0402/wk)

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

* Daily Effective Fed Funds Rate: 0.25% vs. 1.10% Mon, volume: $80B

* Daily Overnight Bank Funding Rate: 0.15% vs. 1.10% Mon, volume: $186B

US TSYS: REPO REFERENCE RATES:

* Secured Overnight Financing Rate (SOFR): 0.26% vs. 1.10% Mon, $1.306T

* Broad General Collateral Rate (BGCR): 0.23% vs. 1.08% Mon, $502B

* Tri-Party General Collateral Rate (TGCR): 0.23% vs. 1.08% Mon, $467B

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

18-Mar 0700 13-Mar MBA Mortgage Applications (55.4%, --)

18-Mar 0830 Feb housing starts (1.567m, 1.500m)

18-Mar 0830 Feb building permits (1.550m, 1.500m)

18-Mar 1030 13-Mar crude oil stocks ex. SPR w/w

PIPELINE: *** Exxon launched, outpaces Pepsi jumbo

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

03/17 $8.5 #Exxon Mobil Corp $1.5B 5Y +225, $1B 7Y +230, $2B 10Y +240, $1.25B

20Y +250, $2.75B 30Y +260

03/17 $6.5B #PepsiCo $1.5B 5Y +160, $500M 7Y +180, $1.5B 10Y +180, $750M 20Y

+190, $1.5B 30Y +200, $750M 40Y +230

03/17 $3.5B #Verizon $750M 7Y +215, $1.5B 10Y +225, $1.25B 30Y +250

03/17 $1B #Progressive $500M 10Y +225, $00M 30Y +245 

03/17 $800M #Oncor Electric Delivery $400M each 10Y +175, 30Y +205

03/17 $465M #Union Electric WNG 10Y +220

03/17 $575M* #Consumers Energy 31Y +200 *upsized

03/17 $Benchmark Bank of America 31NC30 fix/FRN +275a

03/17 $Benchmark Entergy 5Y +275a, 10Y +287.5a

Eurodollar/Tsy options 

Eurodollar options:

* 9,000 May 90/93 call spds

Scale buyer continues

* over 45,000 short Apr 88/92 call spds, 1.0

* over 8,000 Apr 90/91 put spds

* and Apr 90/92 2x1 put spd follows

Block, 1129:41ET,

* 10,000 Jun/Sep 96/97 call spd spd, 2.0 net, Sep ove

* 30,000 Jul 96/97 1x2 call spds

* 10,000 Sep 85/87/90/92 call condors, 0.75

* Additional trade in Sep 92 calls pushes total volume >41k

Block, 1009:48ET, another 12.5k on screen

* 10,000 Sep 92/95 call spds, 22.5

Block, 1009:48ET

* 10,000 Apr 93/96 call spds 10.0 over short Apr 95/97 call spd

Block, 0918:21ET

* 10,000 Jun 95/97 1x2 call spds, 11.5

* near 10,000 Mar'12 96/98/100.12 call flys

* +20,000 Jul 95 puts, 5.0 vs. 99.66

* 7,500 Jun 90/95 3x2 put spds earlier 8.0

Block, 0857-0858ET

* +20,000 Jul 97/100 call spds, 3.75 vs. 99.68/0.28%

Block, 0825:21ET

* -32,500 Jun 96/98 call spds vs. short Jun 97/98 call spds, 5.5 cr for

conditional bull curve flattener

Tsy options:

* Update, +9,000 TYK 134.5/135.5/136.5/137 broken put condors, 1/64, wings over

* Update to FVM 125/125.5/126.25/126.75 call condors from earlier, over 45,000

sold from 5.5- to 6.5/64

* +5,000 FVK 127/127.5 call spds, 1/64 earlier

* Update to FVM 125/125.5/126.25/126.75 call condors from earlier, over 40,000

sold from 6- to 6.5/64

* near +10,000 FVM 113.75 puts, 2.5- to 3/64

* +6,000 FVM 114.75 puts, 2.5- 3/64

* -2,000 FVM 125.5 calls 18- to 16/64

Standout overnight trades in 5Y options

* 24,200 FVM 125/125.5/126.25/126.75 call condors from 6- to 6.5

* 9,000 FVM 126.5/127 call spds, 2.5

* 5,500 FVM 119/119.75/123 put trees, 1.5/64

* 4,000 FVJ 119.5 puts, 1.5/64

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

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