US TSYS: Tsy Yld Curves Back Steeper On Inside Range Day

US TSY SUMMARY: Tsy futures were steady/mixed after the bell, an inside range

session w/ long end underperforming all day. Muted volumes with TYU only adding

appr 500k more since the opening NY level of 400k.

- Holding near bottom overnight range into the NY open after the late Monday vol

induced by WH advisor Navarro comment on China trade deal "over" followed by

retraction. 

- Yld curves modestly steeper w/long end underperforming. Volume pick-up during

early London hours as two-way turned better selling in belly-long end,

pre-auction short sets and deal-tied hedging in the mix.

Rates bounced off lows post PMI (miss vs. estimate but marked improvement from

prior month) but maintained range w/ futures back near earlier session highs.

- Tsy 2Y note auction stopped through, US Tsy $46B 2Y Note auction (912828ZX1)

awarded a 0.193% rate (0.178% last month) vs. 0.195% WI, bid/cover 3.53 vs. 2.68

previous.

- The 2-Yr yield is down 0.2bps at 0.1898%, 5-Yr is down 1.1bps at 0.3283%,

10-Yr is up 0.3bps at 0.7118%, and 30-Yr is up 3bps at 1.4944%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Consolidating, Still Looking For A Break Higher   

*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: 138-20+ @ 16:06 BST, Jun 23

*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 started the week unchanged and continue to consolidate. 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 3-YR TECHS: (U0) Floor in For Now 

*RES 3: 100.00 - Handle Psychological Resistance

*RES 3: 99.840 - Range projection on a break of 99.780

*RES 1: 99.780 - High Apr 01 and bull trigger 

*PRICE: 99.705 @ 16:07 BST Jun 23

*SUP 1: 99.690 - Low Mar 27 / Jun 05

*SUP 2: 99.645 - Low Mar 20

*SUP 3: 99.628 - 100-dma

The short-end of the Aussie bond market holds in the middle of the recent range.

The contract continues to trade within a range that has been in place since

peaking at 99.780 on Apr 1. A break of this resistance is required to confirm a

resumption of the broader uptrend and open 99.840, the range projection and the

100.00 psychological level further out. The base of the range expanded lower at

the futures roll, now sitting at 99.695 and marks the key near-term support.

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 @ 16:08 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. 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: 152.13 @ 16:12 BST, Jun 23

*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. 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: Steady/mixed after the bell, an inside range session w/ long

end underperforming all day. Muted volumes with TYU only adding appr 500k more

since the opening NY level of 400k. Yld curves mildly steeper. Update: 

* 3M10Y  +0.838, 56.224 (L: 51.25 / H: 57.364)

* 2Y10Y  +0.689, 52.005 (L: 48.563 / H: 53.69)

* 2Y30Y  +3.076, 130.127 (L: 123.866 / H: 130.867)

* 5Y30Y  +3.839, 116.319 (L: 110.787 / H: 116.807); Current futures levels:

* Sep 2-Yr futures steady at 110-10.75 (L: 110-10.375 / H: 110-11.125)

* Sep 5-Yr futures up 0.75/32 at 125-15 (L: 125-12.25 / H: 125-16.75)

* Sep 10-Yr futures steady at 138-22.5 (L: 138-16.5 / H: 138-29)

* Sep 30-Yr futures down 15/32 at 176-26 (L: 176-16 / H: 177-30)

* Sep Ultra futures down 1-8/32 at 214-28 (L: 214-14 / H: 217-11) 

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)

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

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

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

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 modest late week volumes, Blues

outperforming. Current White pack levels:

* Sep 20 steady at 99.710

* Dec 20 steady at 99.680

* Mar 21 -0.005 at 99.765

* Jun 21 -0.005 at 99.785

* Red Pack (Sep 21-Jun 22) -0.01 to steady

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

* Blue Pack (Sep 23-Jun 24) +0.005 to +0.010

* Gold Pack (Sep 24-Jun 25) -0.01 to steady

US DOLLAR LIBOR: Latest settles

* O/N +0.0012 at 0.0711% (-0.0041/wk)

* 1 Month -0.0002 to 0.1845% (-0.0055/wk)

* 3 Month +0.0002 to 0.2968% (-0.0083/wk)

* 6 Month -0.0118 to 0.3826% (-0.0318/wk)

* 1 Year -0.0083 to 0.5653% (-0.0103/wk)

US SWAPS: Spds running mildly mixed after the bell, reversing much of prior

session's steepening amid light swap-tied flow. Current levels:

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

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

1300      +0.12/+6.12    +0.25/+4.00    -0.06/-1.56    -0.62/-49.12

1015      +0.38/+6.38    +0.44/+4.19    +0.25/-1.25    +0.00/-48.50

0900      +0.25/+6.25    +0.31/+4.06    +0.50/-1.00    +0.00/-48.50

Tue Open  +0.12/+6.12    +0.25/+4.00    +0.75/-0.75    +0.50/-48.00

Mon 1500  -0.56/+6.00    -0.06/+3.69    +0.56/-1.62    +0.38/-49.25

Mon Open  -0.31/+6.25    -0.25/+3.50    +0.19/-2.00    +0.12/-49.50

Monday recap: Spds running mixed after the bell, spd curve steeper with long end

bouncing off narrows late. Incoming swappable corp supply weighed on shorts to

intermediates.

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

* Daily Effective Fed Funds Rate: 0.08% volume: $76B

* Daily Overnight Bank Funding Rate: 0.08%, volume: $189B

US TSYS: REPO REFERENCE RATES 

* Secured Overnight Financing Rate (SOFR): 0.08%, $1.024T

* Broad General Collateral Rate (BGCR): 0.06%, $421B

* Tri-Party General Collateral Rate (TGCR): 0.06%, $402B

FED: NY Fed operational purchase

* Tsy 4.5Y-7Y, $6.001B accepted of $20.659B submitted

Next scheduled operation:

* Wed 1010-1030ET: TIPs 7.5Y-30Y, appr $1.225B

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

24-Jun 0700 19-Jun MBA Mortgage Applications (8.0%, --)

24-Jun 0900 Apr FHFA Home Price Index (0.1%, 0.3%)

24-Jun 1030 19-Jun crude oil stocks ex. SPR w/w

24-Jun 1230 Chi Fed Pres Evans on economy

24-Jun 1130 US Tsy $30B 105D Bill auction (9127964H9)

24-Jun 1130 US Tsy $35B 154D Bill auction (9127964U0)

24-Jun 1300 US Tsy $20B 2Y Note FRN auction (912828ZK9)

24-Jun 1300 US Tsy $47B 5Y Note auction (912828ZW3)

24-Jun 1500 StL Fed Pres Bullard on economy, Covid-19 response

PIPELINE: $4.95B to price Tuesday

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

06/23 $1.25B #Svenska Handelsbanken 3Y +53

06/23 $1.1B #Niagara Mohawk Power Corp $100M 0Y +125, $500M 30Y +155

06/23 $1B #Arch Capital 30Y +215

06/23 $1B *MuniFin WNG 3Y +16

06/23 $600M #CNH Industrial Capital 3Y +195

Eurodollar/Tsy options

EURODLR OPTIONS: 

* +6,500 long Green Sep'22 87/90 put spds, 2.0, opener

Coming into the session --

* 5,000 Green Dec/Green Mar 97/98/100 1x3x2 call fly strip, still looking to add

to >60,000 positioning for near zero policy to buoy late 2021/early 2022 sector

of curve

* 3,000 Blue Sep 92/93/95 put trees

TSY OPTIONS:

* +12,000 TYU 134 puts, 5/64

* +2,600 TYQ 136.5/137.5 put spds, 9/64

* Update, over 5,000 TYQ 137.5/138.5 put spds, 19/64

* -4,000 TYQ 137.5 puts, 15/64, additional vs. TYQ 138.5 puts at 36- to 37/64

* TYQ/TYU 140 call spds trading 12/64

* BLOCK, -10,000 TYQ 136.5/137.5/138.5 put trees, 11/64 vs. 138-20/0.10% at

0924:23ET

* -7,500 TYQ 137 puts, 11/64

* two-way TUU 110.5 calls

* -1,750 USU 166 puts, 17/64

Vol sales into morning strength

* TYN and TYU 138.5 straddles at 29- and 1-44 respectively

* TYQ 137.5/139.5 strangles w/ TYU 138/139 strangle, 1-51 total

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

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