US TSYS: Risk-Off Unwinds Even As Eqs Loose Bid

US TSY SUMMARY: Weaker after the bell -- lower half of range but off session

lows on moderate volumes (TYU>1.0M) while yld curves recovered fair portion of

prior session's flattening. 

- Rates opened weaker, no react to import/export prices data' as they scaled

back from Thu's broad risk-off rally as equities recovered some losses in early

trade. Friday's dead cat bounce in equities after Thu's 5-5-6% drop showed signs

of loosing said bounce in the second half Friday. Incidentally, Sep Ultra-bond

fell 3 handles earlier (215-19) triggering 2 minute circuit breaker. Yld curves

steeper/off highs. 

- Much like midmorning set-up, rates rebounded off lows as equities trim gains,

apparently in reaction to virus case number rise in Florida, N Carolina and

Arizona. Also CDC conf headline: "CDC SAYS IF CASES GO UP AGAIN DRAMATICALLY,

MORE MITIGATION EFFORTS LIKE WHAT WERE IMPLEMENTED BACK IN MARCH MAY BE NEEDED

AGAIN" Rtrs, occurred as equities started down-turn. The 2-Yr yield is down 1bps

at 0.187%, 5-Yr is down 0.5bps at 0.3183%, 10-Yr is up 2.1bps at 0.6903%, and

30-Yr is up 3.6bps at 1.4375%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Focus Remains On Key Resistance  

*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+ Jun 1 high  

*RES 1: 139-03   High Jun 11 

*PRICE: 138-27+ @ 16:15 BST, Jun 12

*SUP 1: 137-22   Low Jun 10 

*SUP 2: 136-22   Low Jun 5 and the bear trigger 

*SUP 3: 136-20   Low Mar 25

*SUP 4: 136-10+ 2.000 projection of Apr 21 - May 6 swing from May 15 high

10yr futures strengthened over the week despite an inside session Friday, to

maintain a positive tone. The focus is on 139-07+, Jun 1 high with the 50-dma

breached. A break will erase the 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 the balance,

prices must break support at 136-22, the May 6 low.

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: 99.0925 @ 16:20 BST, Jun 12

*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 held the upper end of the recent range into the Friday

close, firming the bounce from the Jun08 low. 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: 152.12 @ 16:23 BST, Jun 12

*SUP 1: 151.06 - Low Mar 24

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

*SUP 3: 150.46 - 1.0% 10-dma envelope

JGBs rallied well over the week, with 10y futures headed into the Friday close

near the best levels but just shy of the 50-dma at 152.27. 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: Weaker after the bell -- lower half of range but off session

lows. Moderate volumes (TYU>1.0M) while yld curves recovered fair portion of

prior session's flattening. Update: 

* 3M10Y  +6.422, 53.488 (L: 47.3 / H: 54.276)

* 2Y10Y  +4.282, 50.919 (L: 45.784 / H: 51.925)

* 2Y30Y  +5.788, 125.718 (L: 118.945 / H: 127.383)

* 5Y30Y  +4.289, 112.025 (L: 107.24 / H: 113.416); Current futures levels:

* Sep 2-Yr futures down 0.375/32 at 110-11 (L: 110-09.625 / H: 110-11.6)

* Sep 5-Yr futures down 3.25/32 at 125-15.75 (L: 125-13.25 / H: 125-18.)

* Sep 10-Yr futures down 10.5/32 at 138-23 (L: 138-18 / H: 138-31)

* Sep 30-Yr futures down 1-06/32 at 177-5 (L: 176-22 / H: 178-09)

* Sep Ultra futures down 2-08/32 at 216-11 (L: 215-19 / H: 219-00)

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

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

15 Jun  1130ET   $60B    13W Bill     (9127962G3)

15 Jun  1130ET   $54B    26W Bill     (9127963K3)

16 Jun  1130ET   $50B    42D Bill     (912796WY1)

16 Jun  1130ET   $40B   119D Bill     (9127962R9)

16 Jun  1300ET   $34B    52W Bill     (9127963H0)

17 Jun  1300ET   $17B  20Y Bill R/O   (912810SR0)

18 Jun  1130ET   TBA     4W Bill      16 Jun Annc

18 Jun  1130ET   TBA     8W Bill      16 Jun Annc

18 Jun  1300ET   $15B   5Y TIPS R/O   (912828ZJ2)

US EURODLR FUTURES CLOSE: Weaker across the strip after the bell, mid- to lower

half session range. Current White pack levels:

* Jun 20 -0.008 at 99.675

* Sep 20 -0.015 at 99.695

* Dec 20 -0.015 at 99.670

* Mar 21 -0.010 at 99.760

* Red Pack (Jun 21-Mar 22) -0.01 to -0.005

* Green Pack (Jun 22-Mar 23) -0.02 to -0.015

* Blue Pack (Jun 23-Mar 24) -0.035 to -0.025

* Gold Pack (Jun 24-Mar 25) -0.05 to -0.04

US DOLLAR LIBOR: Latest settles

* O/N +0.0006 at 0.0661% (+0.0035/wk)

* 1 Month +0.0103 to 0.1951% (+0.0149/wk)

* 3 Month +0.0075 to 0.3208% (+0.0080/wk)

* 6 Month +0.0123 to 0.4320% (-0.0493/wk)

* 1 Year -0.0112 to 0.5934% (-0.0406/wk)

US SWAPS: Spds see-sawed to mostly tighter by the close. After marginally mixed

open, 10Y leads narrowing all session amid modest carry-over receiving from fast

and real$ in belly to long end from overnight. Current levels:

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

Fri 1500  -0.06/+7.66    +0.25/+5.00    -0.62/-0.75    -0.38/-48.00

1200      +0.34/+8.06    +0.25/+5.00    -0.50/-0.62    +0.19/-47.44

0900      -0.16/+7.56    +0.00/+4.75    -0.62/-0.75    +0.25/-47.38

Fri Open  +0.16/+7.88    +0.12/+4.88    -0.50/-0.62    +0.00/-47.62

Thu 1500  -1.25/+8.00    -1.00/+5.25    -0.38/-0.38    -1.62/-47.38

Thursday recap: Spds directionally tighter across the board after the bell, near

lows on relative narrow range, prospect of long slog near zero rates until 2020

contributing. No deal-tied flow on day, some light carry-over real$ rate

receiving in the belly noted.

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

* Daily Effective Fed Funds Rate: 0.08% volume: $55B

* Daily Overnight Bank Funding Rate: 0.07%, volume: $165B

US TSYS: REPO REFERENCE RATES 

* Secured Overnight Financing Rate (SOFR): 0.08%, $1.009T

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

* Tri-Party General Collateral Rate (TGCR): 0.06%, $405B

FED: As noted late Thursday, the NY Fed plans to purchase appr $80B Tsy

securities over the monthly period from 6/12/20 to 7/13/20. Below covers next

week:

NY Fed operational purchases schedule for Monday

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

* 1100-1120ET: TIPS 1Y-7.5Y, appr $2.425B

NY Fed operational purchases schedule for Wednesday

* 0930-0950ET: Tsy 2.25Y-4.5Y, appr $4.425B

NY Fed operational purchases schedule for Thursday

* 1010-1030ET: Tsy 7Y-20Y, appr $3.625B

NY Fed operational purchases schedule for Friday

* 1010-1030ET: Tsy 0Y-2.25Y, appr $12.825B

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

15-Jun 0830 Jun Empire Manufacturing Index (-48.5, -28.8)

15-Jun 1100 Dallas Fed Pres Kaplan, eco-impact of Covid-19

15-Jun 1130 US Tsy $60B 13W Bill auction (9127962G3)

15-Jun 1130 US Tsy $54B 26W Bill auction (9127963K3)

15-Jun 1230 SF Fed Pres Daly on inclusivity and eco-recovery

15-Jun 1600 Apr net TICS flows ($112.6B, --)

15-Jun 1600 Apr long term TICS flows ($349.9B, --)

PIPELINE: Upsized Swedish Export Credit priced

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

06/12 $600M *Swedish Export Credit 3Y tap +21

06/12 $500M #Bemis 10Y +195

06/12 $400M Black Hills WNG 10Y +225a

-

06/11 No new issuance Thursday; $29.85B total on wk

Eurodollar/Tsy options

EURODLR OPTIONS: Reminder: June quarterly futures and options expire Friday.

Technically, futures and front June options expire Monday morning at 6:00 am ET

while Red through Purple midcurves expire at 5:00 pm ET Friday. Prelim open

interest figures for Thu's session, according to CME Group Data:

-- Jun quarterly OI: 9,466,292 (3,718,789 calls, 5,747,503 puts);

-- Jun 1yr midcurve (Red) OI: 1,945,756 (751,940 calls, 1,193,816 puts);

-- Jun 2yr midcurve (Green) OI: 1,322,266 (456,499 calls, 865,767 puts);

-- Jun 3yr midcurve (Blue) OI: 495,082 (198,431 calls, 296,651 puts);

-- Jun 4yr midcurve (Gold) OI: 15,975 (11,859 calls, 4,116 puts);

Whopping total of 13,245,371 options coming off the sheets

--

* Update, 6,000 Blue Jul 95/96/97 1x2x2 call trees

* 5,350 Red Dec'21 98 calls, 12.5

* 4,000 Green Mar 92 puts, 4.5

* 2,000 Blue Aug 92/93 put spds vs. Blue Aug 97/98 call spds

* 2,500 Blue Sep 93/98 strangles

* -2,500 Blue Dec 91/92 put spds vs. Blue Dec 98/100 call spds, 1.0 net

* 3,000 Sep 95/96/97 put flys

TSY OPTIONS: volumes scarce since midday may heat up if underlying rebounds to

the plus side as equities have reverse gains/trading lower. Implied vol firming

up.

* Update, over -3,500 FVU 125.25/125.75 strangles from 37- to 36.5/64

* 2,200 FVQ 125.25/125.75 1x2 call spds, 2/64 net

* 2,000 TYQ 138.5/139.5 1x2 call spds

* +4,600 TYN 138.5 calls, 33- to 34/64

* +2,000 TYN 138 calls, 24/64

* scaled seller TYQ 138 puts >5,000 from 28- to 30/64 and 

* >2,000 TYQ 138.5 puts at 40/64

* 2,000 FVU 126.75 calls, 6/64 pre-open

* buyer USQ 177 straddles at 4-29/64

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

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