US TSYS: Trump Ends Federal Virus Testing As Cases Surge

US TSY SUMMARY: Strong risk-off tone gained momentum as world trade/tariff angst

returned and virus metrics continued to climb:

- California +7149 vs. +5019 Tue, Florida +5.3% vs. +3.7% 7-day avg, Oklahoma

reported largest single day jump, while Houston ICU capacity fell to one day vs.

11 the prior session. Meanwhile, Pres Trump moved to end Federal funding for

virus testing sites.

- Early two-way flow on net with prop buying intermediates o long end, real$

buying long end, light corp-tied hedging, pre-auction short sets w/ mkts absorb

another bout of Tsy supply including $47B 5Y notes.

- Second decent auction, US Tsy $47B 5Y Note auction (912828ZW3) stops through

w/ award rate of 0.330% (0.334% last month) vs. 0.335% WI; 2.58 bid/cover vs.

2.28 prior. Indirects drew 62.26% vs. 57.34% prior, directs 15.78% vs. 10.83%

prior, dealers 21.96% vs. 31.83% prior.

- The 2-Yr yield is unchanged at 0.1857%, 5-Yr is down 1.4bps at 0.3155%, 10-Yr

is down 3bps at 0.6823%, and 30-Yr is down 4.7bps at 1.4443%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Consolidating   

*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: 138-26 @ 16:11 BST, Jun 24

*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 are broadly unchanged and continue to consolidate within a

relatively tight range. 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 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: 99.0800 @ 16:16 BST, Jun 23

*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. 

     JGB TECHS: (U0): Unchanged at the 50-dma

*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: 152.13 @ 16:17 BST, Jun 24

*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. 

TSY FUTURES CLOSE: Well bid as surge in virus metrics triggered better

safe-haven buying since the open, yld curves flatter but off lows in the short

end as second half buying migrated to short end. Update: 

* 3M10Y  -1.943, 53.774 (L: 51.074 / H: 57.874)

* 2Y10Y  -2.542, 49.463 (L: 48.97 / H: 53.317)

* 2Y30Y  -4.526, 125.466 (L: 125.201 / H: 132.318)

* 5Y30Y  -3.504, 112.52 (L: 111.907 / H: 117.878); Current futures levels:

* Sep 2-Yr futures up 0.125/32 at 110-11 (L: 110-10.25 / H: 110-11.25)

* Sep 5-Yr futures up 1/32 at 125-16.75 (L: 125-12.25 / H: 125-17.5)

* Sep 10-Yr futures up 4/32 at 138-28 (L: 138-17 / H: 138-29)

* Sep 30-Yr futures up 31/32 at 177-29 (L: 176-13 / H: 177-30)

* Sep Ultra futures up 1-30/32  at 217-03 (L: 213-30 / H: 217-05)

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)

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

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

US EURODLR FUTURES CLOSE: Steady/mixed on moderate volumes, Blues-Golds

outperforming. Current White pack levels:

* Sep 20 steady at 99.715

* Dec 20 -0.005 at 99.675

* Mar 21 steady at 99.770

* Jun 21 -0.005 at 99.785

* Red Pack (Sep 21-Jun 22) steady

* Green Pack (Sep 22-Jun 23) +0.005 to +0.010

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

* Gold Pack (Sep 24-Jun 25) +0.015 to +0.020

US DOLLAR LIBOR: Latest settles

* O/N +0.0031 at 0.0742% (-0.0010/wk)

* 1 Month -0.0050 to 0.1795% (-0.0105/wk)

* 3 Month -0.0131 to 0.2867% (-0.0214/wk)

* 6 Month -0.0032 to 0.3794% (-0.0350/wk)

* 1 Year -0.0016 to 0.5637% (-0.0119/wk)

US SWAPS: 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. Current levels:

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

Wed 1545  +0.25/+6.00    +0.38/+4.50    +0.25/-1.00    +0.50/-48.25

1300      +0.38/+6.12    +0.12/+4.25    +0.12/-1.12    +0.44/-48.31

1100      +0.62/+6.38    +0.19/+4.31    +0.38/-0.88    +0.75/-48.00

0900      +0.12/+5.88    +0.19/+4.31    +0.50/-0.75    +0.81/-47.94

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

Wed 0730  +0.00/+5.75    +0.12/+4.25    +0.50/-0.75    +0.62/-48.12

Tue 1500  +0.12/+6.12    +0.38/+4.12    -0.19/-1.69    -0.50/-49.00

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

* Daily Effective Fed Funds Rate: 0.08% volume: $71B

* Daily Overnight Bank Funding Rate: 0.08%, volume: $188B

US TSYS: REPO REFERENCE RATES 

* Secured Overnight Financing Rate (SOFR): 0.07%, $992B

* Broad General Collateral Rate (BGCR): 0.05%, $427B

* Tri-Party General Collateral Rate (TGCR): 0.05%, $404B

FED: NY Fed operational purchase

* TIPS 7.5Y-30Y, $1.21B accepted of $3.674B submitted

Next operation:

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

Next scheduled release will be Friday, June 25 at 1500ET

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

25-Jun 0830 20-Jun jobless claims (1.508M, 1.335M)

25-Jun 0830 May durables new orders (-17.7%, 10.1%); ex trans (-7.7%, 2.2%)

25-Jun 0830 May adv goods trade gap (-$69.7B, -$68.1B)

25-Jun 0830 May adv wholesale inv (0.3%, 0.4%); retail inv (-3.6%, -2.8%)

25-Jun 0830 Q1 GDP (3rd) (-5.0%, -5.0%); Q1 GDP Price Index (1.4%, 1.4%)

25-Jun 0930 Dallas Fed Pres Kaplan, Bretton Woods webinar

25-Jun 1030 19-Jun natural gas stocks w/w

25-Jun 1100 Atl Fed Pres Bostic on economy

25-Jun 1100 Jun Kansas City Fed Mfg Index (-19, -7)

25-Jun 1130 US Tsy $50B 4W Bill auction (9127963G2)

25-Jun 1130 US Tsy $50B 8W Bill auction (9127963Q0)

25-Jun 1300 US Tsy $41B 7Y Note auction (912828ZV5)

25-Jun 1630 24-Jun Fed weekly securities holdings

25-Jun 1630 Fed Brd Dodd-Frank stress test Comp Cap Analysis & Review

PIPELINE: Most issuers have launched

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

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

06/24 $Benchmark Total Capital Int 21Y +165a, 40Y +200a

Eurodollar/Tsy options

EURODLR OPTIONS: 

* 15,000 Sep 98/100 call spds at cab, huge open interest in the two strikes

(>570k and >320k respectively)

* +5,500 Sep 96/97 call spds 9.0 vs. 99.725/0.50%

* Update, total +10,000 Green Sep 100/100.5 call spds, 2.0 vs. 99.735/0.10%

* +5,000 Green Sep 100/100.5 call spds, 2.0 vs. 99.735/0.10%

Salient overnight trade,

* +5,000 Jul 98 calls, cab

* 5,700 Green Sep 95/96/97 put flys vs. Green Dec 92/93/95/96 put condors,

0.0-0.5

* +2,500 short Sep 97 calls, 7.0

TSY OPTIONS:

* -50,000 TYN 139/139.5 call spds, 4- to 3/64

* +3,000 TYQ 139.5/140.5 call spds, 13/64

* -4,000 USN 178/180 call spds, 21/64

* 1,500 USQ 174 puts, 39/64

* 3,000 FVN 125.5 calls, 2/64

* +/-1,750 TYQ 137/140 risk reversals 0.0

* just over 1,000 TUU 110/110.12/110.25/110.5 put condors, 10/64

* USN 177.5 conversion trading small at even

* +1,000 TYN 138.5 straddles, 24/64

* 2,200 FVQ 124.25 puts vs. FVU 121.25/124.25 put spds

* 3,300 TYN 137.25 puts

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

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