US TSYS: Risk-Off Unwinds After Close, Early Asset Allocation?

US TSY SUMMARY: Risk-appetite reemerged around the FI market close, Tsys

mixed/extending lows after the bell as equities regained footing (DJI +300.0,

SPX +21.0, NDX +108.0). Apparently not headline driven -- possible reversal tied

to month-end and/or re-allocation flow ahead shortened pre-holiday trade next

week.

- Markets had traded higher all day, if on an inside range after initial rally:

Tsy futures marked new session highs post data then just as quickly reverse to

pre-open lows, fast chop/two-way trade with levels rebounding back near highs

again, continuing claims going in right direction, weekly not so much. Virus

headlines (AZ cases +3056 vs. 1795; TX halts new re-open phases) remained

supportive of rates.

- Three for three -- US Tsy $41B 7Y Note auction (912828ZV5) stops 5bp through 

w/ 0.511% awarded rate (0.553% last month) vs. 0.516% WI; 2.49 bid/cover vs.

2.55 prior.

- The 2-Yr yield is down 0.6bps at 0.1818%, 5-Yr is up 0.9bps at 0.3241%, 10-Yr

is down 0.7bps at 0.6724%, and 30-Yr is down 1.3bps at 1.4165%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Firmer But Still In A Range   

*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: 139-02 / 03   High Jun 25 / 11

*PRICE: 138-30 @ 16:02 BST, Jun 25

*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 hold close to the upper end of the recent range. The outlook

remains bullish though. 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.

TSY FUTURES CLOSE: Bid on an inside range day, futures off early morning highs

by the bell, yld curves mildly flatter on moderate volumes. Update: 

* 3M10Y  -0.073, 53.373 (L: 48.182 / H: 53.373)

* 2Y10Y  +0.261, 49.2 (L: 47.233 / H: 49.2)

* 2Y30Y  -0.335, 123.611 (L: 121.705 / H: 124.076)

* 5Y30Y  -1.937, 109.259 (L: 108.193 / H: 111.29); Current futures levels:

* Sep 2-Yr futures up 0.375/32 at 110-11.375 (L: 110-10.75 / H: 110-11.62)

* Sep 5-Yr futures up 0.25/32 at 125-17.25 (L: 125-15.75 / H: 125-19.25)

* Sep 10-Yr futures up 0.5/32 at 138-28.5 (L: 138-27.5 / H: 139-02)

* Sep 30-Yr futures up 9/32 at 178-5 (L: 178-01 / H: 178-20)

* Sep Ultra futures up 30/32 at 217-29 (L: 217-17 / H: 218-28)

MONTH-END EXTENSIONS: PRELIM Bloomberg-Barclays US month-end index extension;

forecast summary compared to the avg increase for prior year and the same time

in 2019. TIPS 0.01Y; Govt inflation-linked, -0.04.

*........................EST.....1Y Avg Incr..Last Year

*US Tsys.................0.08........0.09........0.06

*Agencies................0.07........0.03........0.08

*Credit..................0.09........0.11........0.09

*Govt/Credit.............0.08........0.10........0.07

*MBS.....................0.06........0.06........0.05

*Aggregate...............0.08........0.09........0.06

*Long Govt/Credit........0.12........0.09........0.04

*Interm Credit...........0.09........0.09........0.08

*Interm Govt.............0.06........0.08........0.06

*Interm Govt/Cred........0.08........0.08........0.07

*High Yield..............0.08........0.11........0.06

US TSYS/SUPPLY: US Tsy bill/note auctions for week. Note bill sizes continue to

recede: 105- and 154D bills at $30- and 35B resp vs. $35- and $40B; 4- and 8W

bills at $50B each vs. $60- and $55B resp prior.

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)   0.125%

23 Jun  1130ET   $40B   119D Bill     (9127962S7)   0.155%

23 Jun  1300ET   $20B   273D Bill     (9127962F5)   0.180%

23 Jun  1300ET   $46B    2Y Note      (912828ZX1)   0.193%

24 Jun  1130ET   $30B   105D Bill     (9127964H9)   0.150%

24 Jun  1130ET   $35B   154D Bill     (9127964U0)   0.165%

24 Jun  1300ET   $20B   2Y Note FRN   (912828ZK9)   0.080%

24 Jun  1300ET   $47B    5Y Note      (912828ZW3)   0.330%

25 Jun  1130ET   $50B    4W Bill      (9127963G2)   0.110%

25 Jun  1130ET   $50B    8W Bill      (9127963Q0)   0.140%

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

US EURODLR FUTURES CLOSE: Off better levels for much of the session, futures

holding largely steady in the wings to marginally higher in Reds-Greens by the

bell. Current White pack levels:

* Sep 20 steady at 99.715

* Dec 20 steady at 99.680

* Mar 21 +0.010 at 99.775

* Jun 21 +0.010 at 99.795

* Red Pack (Sep 21-Jun 22) +0.005 to +0.010

* Green Pack (Sep 22-Jun 23) steady to +0.005

* Blue Pack (Sep 23-Jun 24) steady

* Gold Pack (Sep 24-Jun 25) steady

US DOLLAR LIBOR: Latest settles

* O/N +0.0014 at 0.0756% (+0.0004/wk)

* 1 Month +0.0041 to 0.1836% (-0.0064/wk)

* 3 Month +0.0222 to 0.3060% (+0.0008/wk)

* 6 Month -0.0147 to 0.3646% (-0.0497/wk)

* 1 Year +0.0066 to 0.5704% (-0.0053/wk)

US SWAPS: Mostly wider after the bell, holding narrow range all session, again

on lighter flow after some real$ receiving in 10s early on. Current levels:

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

Thu 1500  +0.75/+6.62    +0.38/+3.62    +0.19/-0.81    -0.50/-48.50

1145      +1.00/+6.88    +0.50/+3.75    -0.12/-1.12    -0.75/-48.75

1000      +0.88/+6.75    +0.56/+3.81    -0.12/-1.12    -0.25/-48.25

Thu Open  +1.00/+6.88    +0.38/+3.62    +0.12/-0.88    -0.06/-48.06

Thu 0745  +1.00/+6.88    +0.38/+3.62    +0.12/-0.88    -0.06/-48.06

Wed 1500  +0.25/+6.00    +0.38/+4.50    +0.25/-1.00    +0.50/-48.25

Wed Open  +0.00/+5.75    +0.12/+4.25    +0.50/-0.75    +0.62/-48.12

Wednesday recap: Spds running mildly wider after the bell, holding to narrow

range all session, light flow/hedging volumes and irrespective of Tsy yld curve

reversal to flatter profile.

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

* Daily Effective Fed Funds Rate: 0.08% volume: $74B

* Daily Overnight Bank Funding Rate: 0.08%, volume: $178B

US TSYS: REPO REFERENCE RATES 

* Secured Overnight Financing Rate (SOFR): 0.08%, $1.015T

* Broad General Collateral Rate (BGCR): 0.06%, $425B

* Tri-Party General Collateral Rate (TGCR): 0.06%, $400B

FED: NY Fed operational purchase

* Tsy 20Y-30Y, $1.731B accepted of $4.241B submitted

NY Fed operational purchases schedule for next couple weeks

* Fri 06/26 1100-1120ET: Tsy 2.25Y-4.5Y, appr $8.825B

* Mon 06/29 1010-1030ET: Tsy 20Y-30Y, appr $1.750B

* Tue 06/30 1010-1030ET: TIPS 1Y-7.5Y, appr $2.425B

* Wed 07/01 1100-1120ET: Tsy 7Y-20Y, appr $3.625B

* Mon 07/06 1100-1120ET: Tsy 0Y-2.25Y, appr $12.825B

* Tue 07/07 1010-1030ET: Tsy 20Y-30Y, appr $1.750B

* Wed 07/08 1010-1030ET: Tsy 4.5Y-7Y, appr $6.025B

* Thu 07/09 1010-1030ET: TIPS 7.5Y-30Y, appr $1.225B

* Mon 07/13 1010-1030ET: Tsy 20Y-30Y, appr $1.750B

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

26-Jun 0830 May personal income (10.5%, -6.0%)

26-Jun 0830 May current dollar PCE (-13.6%, 9.0%)

26-Jun 0830 May total PCE price index (-0.5%, 0.0%

26-Jun 0830 May core PCE price index (-0.4%, 0.0%)

26-Jun 1000 Jun Michigan sentiment index (f) (78.9, 79.2)

26-Jun 1100 Q2 St. Louis Fed Real GDP Nowcast

26-Jun 1115 Q2 NY Fed GDP Nowcast

PIPELINE: Intuit 4pt the sole issuer on day

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

06/25 $2B #Intuit $500M each 3Y +45, 5Y +65, 7Y +85, 10Y +100

-

$5.1B Priced Wednesday

06/24 $1.6B *Total Capital Int $800M each 21Y +155, 40Y +195

06/24 $1B *Xylem Inc Green $500M each +7Y +150, 10Y +165

06/24 $1B *ING 6NC5 Green +110

06/24 $1B *CoStar 10Y +212.5

06/24 $500M *Kimberly Clark de Mexico 10Y +175

Eurodollar/Tsy options

EURODLR OPTIONS: 

* -5,800 Dec 80/81 put spds, 0.0

* +2,500 Blue Jul/Blue Aug 96/97 2x3 call spd strip, 7.0

* 2,000 short Dec 96/97 put spds vs. short Dec 97 calls

* Sep 83/85 ratio call spds drawing some interest as well earlier

Block, 1034:07ET,

* +10,000 Mar 95/100.38 strangles, 3.5 total vs. 99.75/0.10%

* appr 24,000 Green Sep 92 puts, 0.5

* Update, total +5,000 Blue Jul 96/97 2x3 call spds, 3.5

* Update, total 15,000 Green Jul 97 calls, 3.0

Pre-data trade

* +15,000 Green Jul 97 calls, 3.0

* 2,500 Sep 93/95 put spds

* 1,200 Blue Jul 96/97 2x3 call spds

* 4,500 Green Jul 97 calls, 3.0

Overnight trade

* over -16,000 Green Sep 92 puts, 0.5

* -5,000 short Sep 95 puts, 0.5 around 99.82

TSY OPTIONS:

* +5,800 TYU 136.5 puts, 13/64 vs. 138-23.5

* +5,000 FVU 124.25 puts, 4/64 vs. 125-17

* appr 5,000 TYN 139.25/139.5 call spds, 1/64

* +5,000 TYQ 140.5/141.5 call spds 5/64 earlier

* +1,000 TYQ 139 puts, 37/64

Moderate amount of two-way squaring ahead of Fri's July expiration, including

* over 4,000 TYN 138.5 combos

Overnight trade,

* -15,000 TYQ 140 calls 13/64

* +12,000 TYU 137/138 put spds, 15/64

* +6,500 TYQ 140/141 call spds 2/64 over TYN 139 calls

Note, Wed's large (>50k) TYN 139/139.5 call spd sale from 5- to 3/64 was

apparently a roll-down in strikes (139c OI +47k, 139.5c OI -35k). Odd to see a

roll-down for modest uptake in premium ahead of Friday's expiration instead of a

roll to longer expiration.

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

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