US TSYS: NEW ALL-TIME 10- AND 30Y YLDS AS VIRUS ANGST SPREADS

US TSY SUMMARY: Day two of the risk-off show, fear of virus pandemic leaves no

profit unturned. The session didn't start that way, with equities recovering

slightly after Mon's rout in early trade. Early risk appetite brief as Tsys

powered higher on back of a second consecutive 2.5% decline in equities, 10- and

30Y ylds falling to new all-time lows (10YY 1.3055%; 30YY 1.7852%).

- FED'S CLARIDA: TOO SOON TO SPECULATE ON COVID-19 IMPACT, doesn't stop

speculators from paring risk

- Massive futures volumes (TYH>5.4M) as Mar/Jun rolling kicked into high gear.

US Tsy $40B 2Y note auction was expected to place strong, but rally stymied

hopes as note tailed 0.016, awarded a 1.188% rate (1.440% last month) vs. 1.172%

WI, bid/cover 2.45 vs. 2.65 previous.

- Early rate sales evaporated, sources noted real$ and bank selling 10s-30s

early turned two-way into late morning. Contributing to latest surge higher in

rates, 30YY move below 1.790% (1.7852% low) spurred some convexity acct buying

in long end. The 2-Yr yield is down 3.9bps at 1.2084%, 5-Yr is down 5.1bps at

1.1591%, 10-Yr is down 4.3bps at 1.3271%, and 30-Yr is down 3.7bps at 1.7977%.

TECHNICALS:

US 10YR FUTURE TECHS: (H0) Powers Through Handle Resistance 

*RES 4: 134-07+ High Jul 6 2016

*RES 3: 134-03+ 2.0% 10-dma envelope

*RES 2: 133-18+ 1.00 projection of Jan 9 - Feb 3 rally from Feb 6 low

*RES 1: 133-06   Intraday high

*PRICE: 133-05+ @ 16:20 GMT, Feb 25

*SUP 1: 131-29   High Feb 3

*SUP 2: 130-30   Low Feb 19 and 20

*SUP 3: 130-19+ Low Feb 12

*SUP 4: 130-07   Low Jan 29 and key near-term support 

The uptrend in Treasuries firmed further Tuesday, with a fresh high print today

at 133-06. Recent gains have resulted in a break of the early February and 2020

highs of 131-29 putting bulls solidly in control and confirming a resumption of

the uptrend. Key resistance at 132-02+ has also been cleared. MA studies are in

a bull mode reinforcing current trend conditions although it is worth noting

that the trend is overbought. Support is at 131-29, the next objective is

133-18+.

AUSSIE 10-YR TECHS: (H0) Winding Higher

*RES 3: 99.1700 - High Aug 16

*RES 2: 99.1550 - High Oct 9

*RES 1: 99.1400 - High Feb 24

*PRICE: 99.1200 @ 16:23 GMT, Feb 25

*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

After flatlining for much of last week, Aussie bonds had a decent momentum

injection Thursday, which bid up prices to multi-week highs. This saw near-term

resistance at 99.12 give way, shifting the medium-term outlook shift to

positive, which should firm above the early February highs. To the downside, the

initial focus is on 98.7150, Jan 14 low where a break is required to signal a

fresh round of stronger bearish pressure. 98.8600 is a key downside risk

parameter.

JGB TECHS: (H0): Impressive Gap

*RES 3: 154.37 - 1.0% 10-dma envelope

*RES 2: 154.04 - 61.8% Sep - Dec 2019 Decline

*RES 1: 153.69 - High Feb 25

*PRICE: 153.67 @ 16:24 GMT, Feb 25

*SUP 1: 152.38 - 50-dma

*SUP 2: 151.62 - Contract lows, Dec 20

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

JGBs saw a solid gap higher Tuesday, ripping through all near-term resistance

levels to stage a close  above the 200-dma. This shifts the outlook materially

bullish and upside targets shift to 154.04 and 154.37 above. A close above here

would build a decent base for a challenge on the best levels of 2019. The

200-dma switches to support at 153.48.

TSY FUTURES CLOSE: Well bid -- and moving back toward late session highs after

scaling back over last hour. Yld curves mildly flatter for the most part. 10YY

1.317%, 30YY below 1.80% at 1.790%. Update:

* 3M10Y  -4.005, -22.052 (L: -22.882 / H: -14.141)

* 2Y10Y  +0.26, 11.939 (L: 10.601 / H: 13.462)

* 2Y30Y  +1.201, 59.304 (L: 56.564 / H: 61.381)

* 5Y30Y  +1.959, 64.306 (L: 61.204 / H: 65.617); Current futures levels:

* Mar 2-Yr futures up 4.375/32 at 108-13.125 (L: 108-06.875 / H: 108-14.25)

* Mar 5-Yr futures up 11.5/32 at 121-4.5 (L: 120-19 / H: 121-07.5)

* Mar 10-Yr futures up 18/32 at 133-7 (L: 132-11 / H: 133-10.5)

* Mar 30-Yr futures up 1-8/32 at 167-31 (L: 165-31 / H: 168-05)

* Mar Ultra futures up 1-26/32 at 202-6 (L: 199-01 / H: 202-11)

US TSY FUTURES: Late session Mar/Jun futures roll update. March futures don't

expire until mid-late March (10s, 30s and Ultras on 3/20, 2s & 5s 3/31). Session

volume and % complete update:

* TUH/TUM appr 1,468,700 from -7.38 to -6.5, -7.25 last; 62% complete

* FVH/FVM appr 1,776,000 from -15.25 to -14.0, -15.0 last; 71% complete

* TYH/TYM appr 2,065,100 from 2.75 to 4.0, 3.25 last; 58% complete 

* UXYH/UXYM appr 443,900 from 7.75 to 8.75, 7.75 last; 54% complete

* USH/USM appr 380,300 from 31.0 to 31.75, 31.5 last; 59% complete

* WNH/WNM appr 349,200 from -29.5 to -27.0, -29.0 last; 65% complete

US EURODLR FUTURES CLOSE: Broadly higher but off top end of session range, Reds

outperform for second consecutive session. Current White pack (Mar'20-Dec'20):

* Mar 20 +0.033 at 98.423

* Jun 20 +0.045 at 98.660

* Sep 20 +0.065 at 98.775

* Dec 20 +0.065 at 98.820

* Red Pack (Mar 21-Dec 21) +0.060 to +0.065

* Green Pack (Mar 22-Dec 22) +0.050 to +0.055

* Blue Pack (Mar 23-Dec 23) +0.045 to +0.050

* Gold Pack (Mar 24-Dec 24) +0.045 to +0.050

US DOLLAR LIBOR: Latest settles

* O/N -0.0065 at 1.5690% (-0.0013/week)

* 1 Month -0.0035 to 1.6126% (-0.0141/wk)

* 3 Month -0.0090 to 1.6376% (-0.0416/wk)

* 6 Month +0.0010 to 1.6286% (-0.0461/wk)

* 1 Year +0.0110 to 1.6457% (-0.0829/wk)

US SWAPS: Spds running mostly wider after the bell, off first half highs, 30Y

collapsing late. Spds pared early gains after surge in swap-tied paying/receiver

unwinds around 0900ET in 2s-10s, flow turning more two-way over last hours, some

deal-tied and pre-auction short sets well ahead the 2Y note auction. Latest

levels:

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

Tue 1500   +0.69/+2.00    +1.12/-0.25   +0.50/-6.50    -1.00/-38.50

1345       +0.88/+2.19    +1.25/-0.12   +1.00/-6.00    +0.06/-37.44

1200       +0.62/+1.94    +1.19/-0.19   +0.75/-6.25    +0.31/-37.19

1045       +0.75/+2.06    +1.00/-0.38   +0.75/-6.25    +0.38/-37.12

0900       +1.62/+2.94    +1.19/-0.19   +1.19/-5.69    +1.12/-36.38

Tue Open   -0.25/+1.06    +0.38/-1.00   +0.25/-6.75    +0.12/-37.38

Mon 1500   +0.06/+1.12    +0.38/-1.50   +0.38/-7.00    -0.25/-37.62

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

* Daily Effective Fed Funds Rate: 1.58%, volume: $63B

* Daily Overnight Bank Funding Rate: 1.58%, volume: $172B

US TSYS: REPO REFERENCE RATES:

* Secured Overnight Financing Rate (SOFR): 1.58%, $1.106T

* Broad General Collateral Rate (BGCR): 1.56%, $443B

* Tri-Party General Collateral Rate (TGCR): 1.56%, $428B

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

26-Feb 0700 21-Feb MBA Mortgage Applications (-6.4%, --)

26-Feb 0935 Dal Fed Pres Kaplan, Teacher Manager Conf 

26-Feb 1000 Jan new home sales (0.694m, 0.715m)

26-Feb 1030 21-Feb crude oil stocks ex. SPR w/w

26-Feb 1130 US Tsy $18B 2Y Note FRN R/O (912828Z45) auction

26-Feb 1300 US Tsy $41B 5Y Note (912828ZC7) auction

26-Feb 1300 Minn Fed Pres Kashkari, Fed info conf

PIPELINE: Virus pandemic-induced mkt risk keeping many issuers sidelined after

whopping $106.5B for month so far. Lowering estimate for week to under $20B

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

02/26 $1B Canada Pension Plan Investment Board (CPPIB) WNG 5Y +16a

-

No new issuance Monday-Tuesday

Eurodollar/Tsy options 

Eurodollar options:

Block, 1456:49ET,

* +20,000 Mar 85/Apr 87 call spds, 4.5

* Update, 80,000 Sep 87 calls, 20.0

* +10,000 Mar 85/86 call spds, 1.75

* +10,000 Jun 81/82/83 put flys, 1.5

* 5,000 Jul 86/90 2x3 call spds vs. 10,000 Jul 85 puts, 11.5 net package

* 20,000 Sep 95/97 1x2 call spds on screen

* 8,000 Red Mar 81/82/83 2x3x1 put flys, 0.0

* Update, +25,000 Sep 80/81/82 call flys, .5

* -40,000 Dec 90 calls 11.0 over May 87/88 call spd

* 5,000 Jun 80/81/82 call flys, 1.5

* +25,000 Jun 85 puts, 7.0

* +10,000 Sep 93/97 1x2 call spds, 1.75

* 6,000 Sep 93/96/97 call trees, 1.0

* 2,000 Dec 93/96/97/100 call condors, 2.0

* 5,000 Dec 82/83/85 put flys, 1.5

* Update, over +100,000 May 82/83 put spds, 1.5

* 8,750 Dec 90 calls vs. Mar 87/88 call spds

* 6,500 Sep 80/81/82 put flys, 0.5

around 200,000 flys bought since last Friday

* over +50,000 (pit/screen/Block) Dec 81/82/83 put flys, 2.0

Other early trade

* appr 80,000 May 82/83 put spds on screen

* 10,000 Red Mar'21 95/97/100 call flys on screen

* -10,000 Jun 88 calls, 5.0

* 10,000 Apr 88/91 call spds, 2.25

* +5,000 Apr 87/90 call spds, 3.5

Tsy options:

* +10,000 TYM 128 puts, 6/64 vs. 132-24/0.05%

* 2,000 TYM 129.5/131 put spds, 21/64 vs. 132-19.5

* 1,000 TYJ 131/132 2x1 put spds, 7/64

* Update, appr +7,500 FVM 120/122.5 strangles, 38/64

* Update, appr -12,000 TYM 132.5 straddles from 2-32 to 2-29

FOB synthetic flattener

* -7,240 FVM 123.5 calls, 12.5/64 vs. +1,810 USM 175 calls, 43/64

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

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