US TSYS: More Stimulus Chatter Dampened Tsy Bid

US TSY SUMMARY: Choppy week opener on light volumes (TYU<650 by the close, appr

half a decent summer session volume). US Rates opened well bid along with

equities, Gold and West Texas crude. Little to no react to May Existing Home

Sales -9.7% To 3.91M. 

- Knock-on bid in rates with EGBs while sources cited "less dire" virus count

from Florida and Arizona for support in equities (in addition to weaker US$).

Rate support receded around midmorning amid chatter over next stimulus package

outline (over $1T) added to the risk-on tone as equities make new highs (ESU0

+43.5). 

- Virus headline sensitivity remained in force: Late risk-on unwinding around

time Texas Gov headline: "TEXAS GOVERNOR SAYS VIRUS IS SPREADING AT UNACCEPTABLE

RATE" Bbg. Yld curves mixed after the bell after trading flatter in first half.

- The 2-Yr yield is up 0.4bps at 0.1897%, 5-Yr is up 0.5bps at 0.3314%, 10-Yr is

up 0.8bps at 0.702%, and 30-Yr is up 0.2bps at 1.4602%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Still Looking For A Break Higher   

*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: 138-27+ @ 16:28 BST, Jun 22

*SUP 1: 138-07   Low Jun 16

*SUP 2: 137-22   Low Jun 10

*SUP 3: 136-22   Low Jun 5 and the bear trigger

*SUP 4: 136-20   Low Mar 25 

10yr futures begin the week unchanged and continue to consolidate. The outlook

remains bullish. Attention 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 @ 16:29 BST Jun 22

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

*SUP 2: 99.645 - Low Mar 20

*SUP 3: 99.628 - 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: 99.1100 @ 16:30 BST, Jun 22

*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 started the week right in the middle of the recent range.

This keeps the bounce from the Jun08 low firm for now. 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: 152.20 @ 16:30 BST, Jun 22

*SUP 1: 151.06 - Low Mar 24

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

*SUP 3: 150.54 - 1.0% 10-dma envelope

JGBs rallied well last week, but have faltered into the second half of 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: Steady to mildly weaker after the bell, Sep Ultra-bond

futures outperforming after futures see-sawed off/reversed midmorning session

highs. Low participation week-opener, less than 625k TYU traded by the closing

bell. Yld curves bounced off lows to mostly steeper. Update: 

* 3M10Y  +1.077, 55.235 (L: 50.442 / H: 55.728)

* 2Y10Y  +0.814, 51.025 (L: 48.842 / H: 51.519)

* 2Y30Y  +0.126, 126.787 (L: 124.209 / H: 127.795)

* 5Y30Y  -0.510, 112.493 (L: 111.003 / H: 113.977); Current futures levels:

* Sep 2-Yr futures down 0.125/32 at 110-10.875 (L: 110-10.625 / H: 110-11.5)

* Sep 5-Yr futures down 1.25/32 at 125-14.25 (L: 125-14 / H: 125-18)

* Sep 10-Yr futures down 2/32 at 138-23 (L: 138-21.5 / H: 138-30.5)

* Sep 30-Yr futures steady at 177-9 (L: 177-04 / H: 178-01)

* Sep Ultra futures up 11/32 at 216-5 (L: 215-22 / H: 217-16)

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

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC  AWARDED

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

22 Jun  1130ET   $57B    13W Bill     (9127962H1)   0.155%

22 Jun  1130ET   $54B    26W Bill     (9127963L1)   0.175%

23 Jun  1130ET   $40B    42D Bill     (912796WZ8)

23 Jun  1130ET   $40B   119D Bill     (9127962S7)

23 Jun  1300ET   $20B   273D Bill     (9127962F5)

23 Jun  1300ET   $46B    2Y Note      (912828ZX1)

24 Jun  1300ET   $20B   2Y Note FRN   (912828ZK9)

24 Jun  1300ET   $47B    5Y Note      (912828ZW3)

25 Jun  1300ET   $41B    7Y Note      (912828ZV5)

US EURODLR FUTURES CLOSE: Steady/mixed on modest late week volumes, Whites-Reds

outperforming. Current White pack levels:

* Sep 20 steady at 99.710

* Dec 20 steady at 99.680

* Mar 21 +0.005 at 99.770

* Jun 21 +0.005 at 99.790

* Red Pack (Sep 21-Jun 22) -0.005 to +0.005

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

* Blue Pack (Sep 23-Jun 24) -0.015 to -0.010

* Gold Pack (Sep 24-Jun 25) -0.015 to -0.015

US DOLLAR LIBOR: Latest settles

* O/N -0.0053 at 0.0699% (+0.0089 last wk)

* 1 Month -0.0053 to 0.1847% (-0.0050 last wk)

* 3 Month -0.0085 to 0.2966% (-0.0157 last wk)

* 6 Month -0.0200 to 0.3945% (-0.0175 last wk)

* 1 Year -0.0020 to 0.5737% (-0.0175 last wk)

US SWAPS: Spds running mixed after the bell, spd curve steeper with long end

bouncing off narrows late. Incoming swappable corp supply weighed on shorts to

intermediates. Current levels:

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

Mon 1500  -0.56/+6.00    -0.06/+3.69    +0.56/-1.62    +0.38/-49.25

1230      -0.44/+6.12    -0.25/+3.50    +0.44/-2.12    -0.06/-49.69

1015      -0.38/+6.19    -0.50/+3.25    +0.06/-2.12    -0.06/-49.69

Mon Open  -0.31/+6.25    -0.25/+3.50    +0.19/-2.00    +0.12/-49.50

Mon 0715  -0.12/+6.44    -0.25/+3.50    +0.12/-2.06    -0.12/-49.75

Fri 1500  +0.56/+6.56    +0.31/+3.69    +0.38/-2.00    +0.25/-49.62

Friday recap: Not much to report in swaps, levels running wider across the

curve, near session highs on limited flow after some mild fast$ payer unwinds in

short end. Lack of swappable supply/hedging contributed to move.

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

* Daily Effective Fed Funds Rate: 0.09% volume: $59B

* Daily Overnight Bank Funding Rate: 0.08%, volume: $162B

US TSYS: REPO REFERENCE RATES 

* Secured Overnight Financing Rate (SOFR): 0.09%, $963B

* Broad General Collateral Rate (BGCR): 0.06%, $424B

* Tri-Party General Collateral Rate (TGCR): 0.06%, $396B

FED: NY Fed operational purchase, second round of 20Y-30Y buying on Thu

* Tsy 20Y-30Y, $1.731B accepted of $5.299B submitted

Next scheduled operation:

* Tue 1010-1030ET: Tsy 4.5Y-7Y, appr $6.025B

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

23-Jun 0830 Jun Philadelphia Fed Nonmfg Index (13.4, --)

23-Jun 0855 20-Jun Redbook retail sales m/m

23-Jun 0945 Jun IHS Markit Services Index (flash) (37.5, 48.0)

23-Jun 0945 Jun IHS Markit Mfg Index (flash) (39.8, 51.5)

23-Jun 1000 May new home sales (0.623m, 0.635m)

23-Jun 1000 Jun Richmond Fed Mfg Index (-27, -11)

23 Jun 1130 US Tsy $40B  42D Bill auction (912796WZ8) 

23 Jun 1130 US Tsy $40B 119D Bill auction (9127962S7)

23 Jun 1300 US Tsy $20B 273D Bill auction (9127962F5)  

23-Jun 1300 US Tsy 2Y Note auction (912828ZX1)

PIPELINE: $4.45B To price Monday

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

06/22 $1.3B #Abbott Labs $650M each: +7Y +70, 10Y +85

06/22 $1.1B #Canadian Natural Resources $600M 5Y +175, $500M 10Y +225

06/22 $1B #CLP Power $750M 10Y +160, $250M 30Y +190

06/22 $700M #Femsa 30Y +190

06/22 $350M *Duke Realty 10Y +115

On tap for Tuesday

06/23 $1B MiniFin WNG 3Y+19a

Later in the week:

06/?? American Airlines to issue $1.5B 5Y junk, chatter United may follow

Eurodollar/Tsy options

EURODLR OPTIONS: 

* 1,600 Blue Sep 92/93/95 put trees, 0.0

* 2,000 Blue Mar 100.5 calls

* 1,500 Green Sep 95/96/97 2x3x1 put flys

* Update, over 13,000 short Sep 96/97/98 1x3x2 call flys

* +5,000 Dec 100/100.12/100.25 call trees, 2.0

* 1,000 short Sep 96/97/98 1x3x2 call flys

TSY OPTIONS: 

* -4,000 TYQ 140 calls, 13/64

* +2,000 TYQ 134/137 put spds, 9/64

* 3,000 TYQ 138 puts, 19/64

* Scale buyer >13,000 TYN 139.5 calls, 2- to 3/64

* 1,300 FVN 125.25/125.75 call spds

* +2,500 TYU 136/142 strangles, 20/64

* +1,350 TYU 138/140 strangles, 57/64

* +3,000 USN 178 calls, 41- to 43/64

mostly upside calls, premium softer w/implieds steady to little firmer

* +5,500 TUU 110.5 calls, 3.5/64

* >1,000 TYU 136/137/138 put flys contributing to over 8,500 TYU 137 puts and

near 7,000 TYU 138 puts

* >6,400 TYQ 138 puts, 20/64 last

* >4,300 TYN 139 calls, 10/64 last

* >5,600 TYN 139.5 calls, 2/64 last

* 2,000 FVN 125.5 calls

* 3,000 FVN 126.5 calls

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

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