US TSYS: Pandemic Confirmed, Rates Off Despite Equity Rout

US TSY SUMMARY: Extreme vol in rates, almost unsure how to react in face of

renewed rout in equities (emini -120.0 late) as virus panic gained momentum. WHO

confirms COVID-19 officially a pandemic. Markets on edge all day from virus

headlines: emergency health officials meeting (Pres Trump to make annc at

2000ET), travel restrictions, cancellation of large public events (Chicago then

NY's St Patrick's parades cancelled). CDC FAUCI really got things going

w/"`THINGS WILL GET WORSE THAN THEY ARE RIGHT NOW'" Bbg.

- Meanwhile: "*GRASSLEY: SHOULD CONSIDER PAYROLL TAX BUT NO ACTION NEEDED NOW"

Bbg; "*MNUCHIN: MAY PROVIDE OVER $200B OF LIQUIDITY BY TAX PMTS DELAYS" Bbg.

Payroll tax cut, tax pmt delays, aiding cruise ships ineffectual in addressing

the real issue, testing, getting real handle on numbers, helping the sick.

- Tsy futures broken: chatter of a large fund blowing out saw Ultra-bonds

reverse bid/trade over 5-handles lower after the bell, dragging balance of curve

lower even as equities held near lows. The 2-Yr yield is down 1.5bps at 0.5195%,

5-Yr is up 3.6bps at 0.7034%, 10-Yr is up 6.7bps at 0.8695%, and 30-Yr is up

11.2bps at 1.3919%.

TECHNICALS:

US 10YR FUTURE TECHS: (M0) Looking For A 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: 137-31+ @ 10:45 GMT, Mar 11

*SUP 1: 136-15   Low Mar 6  

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

*SUP 3: 134-09   Low Mar 3

*SUP 4: 134-05+ 20-day EMA

Treasuries futures remain below recent highs having staged an impressive

pullback off Monday's 140-24 high. The strong uptrend has been in overbought

territory for some time and perhaps now we can consider the start of a much

needed technical correction. A move below Friday's 136-15 low would suggest

scope for 135-12+, the Mar 5 low. A deeper pullback would open 134-16, the

20-day EMA. Initial resistance is at 139-13+, the bull trigger is 140-24.

TSY FUTURES CLOSE: Tsys continue to trade mixed WNM, TYM weaker on likely forced

liquidations as noted ahead midday, while balance of curve maintains bid as

equities extend lows: DJIA  down 1624.48 points (-6.49%) at 23643.31; S&P E-Mini

Future  down 155.75 points (-5.43%) at 2735.25;  Nasdaq  down 466.8 points

(-5.6%) at 7941.658.

Yld curves steepening out late. Update: 

* 3M10Y  +5.904, 38.105 (L: 7.781 / H: 41.532)

* 2Y10Y  +5.575, 31.659 (L: 20.05 / H: 35.867)

* 2Y30Y  +8.588, 82.418 (L: 67.676 / H: 83.193)

* 5Y30Y  +5.076, 65.926 (L: 56.311 / H: 67.365); Current futures levels:

* Jun 2-Yr futures up 4.875/32 at 110-2.625 (L: 109-26.375 / H: 110-06.62)

* Jun 5-Yr futures up 1.5/32 at 124-11 (L: 123-31.5 / H: 124-24.25)

* Jun 10-Yr futures down 7/32 at 137-13 (L: 137-07 / H: 138-19)

* Jun 30-Yr futures up 26/32 at 180-13 (L: 178-17 / H: 182-19)

* Jun Ultra futures down 1-08/32 at 220-03 (L: 219-09 / H: 225-25)

UPDATED TSY CLOSE: Tsys Ultra-bond gapping lower, aside from chatter of fund

blowing out spurring position unwinds also hearing Mid-East accts selling Tsys

to raise liquidity. Update: 

* 3M10Y  +9.015, 41.216 (L: 7.781 / H: 42.488)

* 2Y10Y  +6.805, 32.889 (L: 20.05 / H: 35.867)

* 2Y30Y  +10.514, 84.344 (L: 67.676 / H: 85.336)

* 5Y30Y  +7.521, 68.371 (L: 56.311 / H: 69.363); Current futures levels:

* Jun 2-Yr futures up 4.25/32 at 110-2 (L: 109-26.375 / H: 110-06.62)

* Jun 5-Yr futures up 0.5/32 at 124-10 (L: 123-31.5 / H: 124-24.25)

* Jun 10-Yr futures down 8.5/32 at 137-11.5 (L: 137-07 / H: 138-19)

* Jun 30-Yr futures up 18/32 at 180-5 (L: 178-17 / H: 182-19)

* Jun Ultra futures down 5-24/32 at 215-19 (L: 215-12 / H: 225-25)

US EURODLR FUTURES CLOSE: Trade mixed after the bell, short end still bid but

off early highs, while Blues-Golds trade weaker, near late lows amid talk of

forced unwinds in Tsys weighing on long end, 5s and 10s as well. Current White

pack (Mar'20-Dec'20): 

* Mar 20 +0.045 at 99.258

* Jun 20 +0.060 at 99.585

* Sep 20 +0.070 at 99.625

* Dec 20 +0.055 at 99.580

* Red Pack (Mar 21-Dec 21) +0.035 to +0.055

* Green Pack (Mar 22-Dec 22) +0.010 to +0.020

* Blue Pack (Mar 23-Dec 23) -0.015 to +0.005

* Gold Pack (Mar 24-Dec 24) -0.035 to -0.02

US DOLLAR LIBOR: Latest settles

* O/N +0.0020 at 1.0840% (+0.0043/week)

* 1 Month -0.0148 to 0.7966% (-0.0660/wk)

* 3 Month -0.0116 to 0.7725% (-0.1235/wk)

* 6 Month -0.0256 to 0.7440% (-0.1357/wk)

* 1 Year -0.0456 to 0.7465% (-0.0991/wk)

US SWAPS: *** Very volatile moves for swap spds as they collapsed sharply across

the curve late morning, just as Tsys were coming off morning highs (amid chatter

of forced unwinds as a fund blows out). Spds currently inverted across the

curve: huge round trip in short end w/2Y mid spd around 19.5 on Monday to near

-6.0 in second half. Intermediate spds off narrows late. Current spd levels:

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

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

1330       -5.44/-2.50    -5.56/-1.31   -4.25/-1.50    -5.00/-48.00

1230       -4.88/-1.94    -6.12/-1.88   -4.88/-2.12    -6.12/-49.12

1100       -3.06/-0.12    -1.19/+3.06   -1.00/+1.75    -3.25/-46.25

1000       +0.38/+3.31    +1.19/+5.44   +0.00/+2.75    -2.12/-45.12

0900       +0.81/+3.75    +1.06/+5.38   -0.25/+2.50    -1.88/-44.88

Wed Open   +0.12/+3.06    +0.88/+5.12   -0.25/+2.50    -1.12/-44.12

Tue 1500   -3.75/+5.00    -2.44/+5.81   -4.00/+4.00    -6.00/-40.50

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

* Daily Effective Fed Funds Rate: 1.09%, volume: $77B

* Daily Overnight Bank Funding Rate: 1.09%, volume: $169B

US TSYS: REPO REFERENCE RATES:

* Secured Overnight Financing Rate (SOFR): 1.11%, $1.264T

* Broad General Collateral Rate (BGCR): 1.10%, $511B

* Tri-Party General Collateral Rate (TGCR): 1.10%, $480B

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

12-Mar 0830 07-Mar jobless claims (216k, 220k)

12-Mar 0830 Feb Final Demand PPI (0.5%, -0.1%)

12-Mar 0830 Feb PPI ex. food and energy (0.5%, 0.1%)

12-Mar 0830 Feb PPI ex. food, energy, trade (0.4%, 0.1%)

12-Mar 1000 Q4 Service Revenue

12-Mar 1030 06-Mar natural gas stocks w/w

12-Mar 1630 11-Mar Fed weekly securities holdings

PIPELINE: IFC priced, otherwise, midweek issuance is nil; $6.2B/wk

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

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

Eurodollar/Tsy options 

Eurodollar options:

Block, 1410:13ET

* 21,500 Mar 81 puts, cab 

Block, 1323:02ET

* 20,000 May 87 puts, .75

Block, 1321:00ET

* 30,000 Jun 93 puts, 5.0

* 25,000 Sep 98/100 call spds, 1.0 at 1300:54ET (over 160k Sep 100 calls bought

in pit/screen on day)

* 10,000 May 96/97 call spds 2.75 over the May 93 puts vs. 99.62/0.45% at

1247:24ET

* 11,500 short Mar 97 calls, 1.0

* 6,500 Apr 97/100 call spds, 1.5

* 5,000 short Mar 98/100 call strip, 0.5

* +2,500 Sep 100 calls1.0

* Block, 10,000 Apr 95/97 call spds, 13.0 at 1153:30ET

* 8,000 Sep 98/100 call spds on screen

* Update, over +80,000 Sep 100 calls, 1.0 this after paper sold 30k Aug par

calls at 0.5

Block, 1121:08-:30

* total 20,000 Apr 95/96/97 call trees, 7.0

Blocks, 1105-1107ET

* total 20,000 Apr 95/97 call spds 13.0

* Block, -12,500 Sep 93 calls 4.5 over Sep 95 straddles vs. 99.635 at 1019:36ET

* +40,000 Sep 100 calls, 1.0 this after paper sold 30k Aug par calls at 0.5 a

few minutes ago

* +5,500 Sep 96 straddles, 21.0

Block, 1004:49ET

* 26,500 Jun 95/97 call spds, 16.0 vs.

* 26,500 short Jun 97/100 call spds, 6.0

* -20,000 Aug 100 calls, 0.5

* 18,800 Green Jun 93 calls on screen

* 5,000 short Jun 97 calls, 5.5

* 8,000 Dec 93/96 put spds, 7.5

* 5,000 Jun 91 calls, 51.0 vs. 99.61/0.90%

* 10,000 short Jun 93 puts, 6.0 vs. 99.58/0.28

* Block, 19,500 Apr 96/97 1x2 call spds 3.25 vs. May 97/96 1:1 call spds, 4.75

vs. 99.60 at 0851ET

* +6,500 Dec 100 calls, 1.0 on screen

May ratio call spd in pit:

* 10,000 May 92 calls, 36.0 vs.

* 15,000 May 95 calls, -15.0

* 10,000 May 96 calls, 6.5

* 5,000 May 97 calls, -2.5

* -5,000 Apr 96 calls, 6.0

* 2,000 Apr 96/97/98 call flys, 2.5

* Update, +20,000 (pit/screen) Jun 93/95/96/98 broken call condors at 3.0; Jun,

short and Green Jun 93/95/96/97 call condors have been bought in good size since

start of month

* +11,000 Mar 93/95 call strips, 1.5

* -10,000 Jul/Sep 97 call spds, 0.5

* +1,000 Jul 92/93/96/97 call condors, 6.0 vs. 99.60/0.10

* 15,000 Jun 93/95/96/98 broken call condors, checking price but Jun, short and

Green Jun 93/95/96/97 call condors have been bought in good size since start of

month

Blocks,

* 2,500 May 92/95/96 2x3x2 broken call flys, 40.0 vs. 99.575 at 0615:19ET

* 16,000 Green Jun 87/92 put spds 5.0 over the Green Jun 96 calls vs. 99.335 at

0604:39ET

Tsy options:

Block, 1345:22ET

* 8,000 TYM 138 calls, 2-19/64 vs. 137-30/0.50%

* +12,000 TYK 113.5 puts, 1.5/64

* 4,800 TYM 130.5 puts, 16/64 vs. 3,000 TYM 132 puts, 16/64

* -5,000 TUM 110.75 calls, 9/64

* -4,000 TUM 110.75 calls, 9/64

* 2,000 FVJ 120/125 call spds, 4-10.5/64

* -2,000 TYM 134.5/130.5 strangles, 2-2/64

* -1,000 TYM/TYK 138 straddle spds, 57- to 56/64

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

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