US TSYS: Tsys Extend Session Highs Late As Virus Count Climbs

US TSY SUMMARY: Moderate risk-off tone all session, rates traded sideways for

much of the session after initial rally in early trade. No discernable react to

wkly jobless claims falling slightly to 1.508M. Virus count data continues to

provide support (Texas reports 2,947 COVID-19 hospitalizations in last day, up

5.5% (vs. Wed's 11% surge). 

- Tsys well bid after the close, gradually extended late session highs after

California reported virus count +2.6% vs. 2.0% 7-day avg). Yld curves bull

flattening with long end outperforming. 

- StL Fed Pres Bullard comments on economy, sounded like he was trying to strike

a balance: "LIQUIDITY METRICS FROM FINANCIAL MARKETS ENCOURAGING" Bbg while

"MASSIVE BUSINESS FAILURES MAY TRIGGER DEPRESSION RISKS" Bbg.

- 5Y TIPs auction, Fourth consecutive stop: 5Y Tips re-open awarded -0.766%,

2.8bp through WI-.738.

- The 2-Yr yield is down 0.2bps at 0.1933%, 5-Yr is down 1.6bps at 0.3281%,

10-Yr is down 4.3bps at 0.6953%, and 30-Yr is down 6.9bps at 1.4602%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Bullish Focus Still Intact   

*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: 138-24+ @ 16:00 BST, Jun 18

*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 maintains a consolidative tone. The outlook is unchanged and

remains bullish. The focus 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: 99.725 @ 16:01 BST Jun 18

*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: 99.1150 @ 16:01 BST, Jun 18

*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 Thursday

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: 152.05 @ 16:07 BST, Jun 18

*SUP 1: 151.06 - Low Mar 24

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

*SUP 3: 150.41 - 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: Well bid after the close, gradually extending to late session

highs as virus case counts continue to rise (Ca: +2.6% vs. 2.0% 7-day avg). Yld

curves bull flattening with long end outperforming. Update:

* 3M10Y  -2.84, 54.227 (L: 51.017 / H: 56.349)

* 2Y10Y  -3.717, 50.16 (L: 49.503 / H: 53.455)

* 2Y30Y  -6.137, 126.882 (L: 126.282 / H: 132.606)

* 5Y30Y  -4.936, 113.452 (L: 113.051 / H: 118.372); Current futures levels:

* Sep 2-Yr futures up 0.125/32 at 110-10.5 (L: 110-10.125 / H: 110-10.875)

* Sep 5-Yr futures up 1/32 at 125-14.75 (L: 125-12.5 / H: 125-16.75)

* Sep 10-Yr futures up 6/32 at 138-25 (L: 138-16 / H: 138-28)

* Sep 30-Yr futures up 1-03/32 at 177-9 (L: 175-30 / H: 177-15)

* Sep Ultra futures up 2-09/32 at 216-0 (L: 213-04 / H: 216-09)

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

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

22 Jun  1130ET   $57B    13W Bill     (9127962H1)

22 Jun  1130ET   $54B    26W Bill     (9127963L1)

23 Jun  1130ET   $40B    42D Bill     (912796WZ8)

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

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

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

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

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

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

US EURODLR FUTURES CLOSE: Reds-Greens steady/mixed, long end of strip

outperformed all session. Large buyer +20k EDH1 at 99.765 noted in second half;

Block/cross 6,500 Red packs (EDU1-EDM2) at -0.0012 likely swap related. Current

White pack levels:

* Sep 20 +0.005 at 99.705

* Dec 20 +0.010 at 99.680

* Mar 21 +0.010 at 99.770

* Jun 21 +0.005 at 99.785

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

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

* Blue Pack (Sep 23-Jun 24) +0.015 to +0.025

* Gold Pack (Sep 24-Jun 25) +0.035 to +0.055

US DOLLAR LIBOR: Latest settles

* O/N +0.0008 at 0.0763% (+0.0100/wk)

* 1 Month -0.0039 to 0.1900% (-0.0051/wk)

* 3 Month -0.0098 to 0.3063% (-0.0145/wk)

* 6 Month +0.0000 to 0.4247% (-0.0073/wk)

* 1 Year -0.0065 to 0.5773% (-0.0159/wk)

US SWAPS: Spds running mixed by the bell, spd curve steeper all session. Modest

deal-tied flow and large Eurodlr Red pack Block (6.5k EDU1-EDM2 at -0.0012)

likely swap related underpinned short end. Current levels

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

Thu 1530  -0.56/+5.81    -0.12/+3.50    +0.12/-2.56    +0.62/-50.00

1330      -0.44/+5.94    -0.12/+3.50    +0.06/-2.62    +0.50/-50.12

1130      -0.38/+6.00    -0.12/+3.50    +0.06/-2.62    +0.12/-50.50

1015      -0.38/+6.00    -0.12/+3.50    -0.12/-2.81    +0.12/-50.50

Thu Open  +0.00/+6.38    +0.12/+3.75    +0.44/-2.25    +0.31/-50.31

Wed 1500  +0.00/+6.31    -1.12/+3.62    -1.12/-2.88    -1.12/-50.75

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

* Daily Effective Fed Funds Rate: 0.09% volume: $59B

* Daily Overnight Bank Funding Rate: 0.08%, volume: $162B

US TSYS: REPO REFERENCE RATES 

* Secured Overnight Financing Rate (SOFR): 0.09%, $1.012T

* Broad General Collateral Rate (BGCR): 0.07%, $431B

* Tri-Party General Collateral Rate (TGCR): 0.07%, $399B

FED: NY Fed operational purchased Thursday

* Tsy 7Y-20Y, $3.601B accepted of $9.946B submitted

-

NY Fed operational purchase schedule for Friday

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

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

19-Jun 0830 Q1 current account balance (-$109.8B, -$102.9B)

19-Jun 1015 Boston Fed Pres Rosengren on eco-outlook

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

19-Jun 1115 Q2 NY Fed GDP Nowcast

19-Jun 1200 Fed Quarles on stress testing

19-Jun 1300 Fed Chair Powell and Clev Fed Pres Mester remarks Youngstown,

Ohio-area community leaders/business owners

PIPELINE: In times of ZIRP/NIRP, demand for high-grade corp issuance remains

strong. Issuers adding to nearly $56B for wk, June running total already >$140B.

-- T-Mobile finally launched; 

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

06/18 $4B #T-Mobile $1B +5Y +120, $1.25B +7Y +155, $1.75B +10Y +187.5

06/18 $1.5B #Islamic Development Bank 5Y sustainable sukuk +55

06/18 $800M #China Oilfield $500M 5Y +158, $300M 10Y +190

06/18 $400M *Haitong 3Y +195

Notable Canadian issuance:

06/18 C$8B *Canadian Housing Authority (CHT) C$6B 5Y fix, C$2B 5Y FRN

Eurodollar/Tsy options

EURODLR OPTIONS: Flurry better call spd buying

* +22,500 Green Jul 97/98 1x2 call spds

* +5,000 Dec 97/98 1x2 call spds, 1.0

* +5,000 Aug/Sep 97/98 call spd strip, 4.25

* +2,500 Dec 96/97/98/100 call condor, 5.5

12-leg package:

* +5,800 Jun'21/Red Sep'21 97/98/100 1x3x2 call fly strip, 2.0

* 2,000 Nov 93/95/96 put flys

* 1,500 Blue Aug 92/93 put spds vs. Blue Aug 97/98 call spd

* +2,000 Green Aug 93/95/96 put trees, 1.0

* over +8,000 Green Jul 98/100.12 call spds, 1.0

* +4,000 short Jul 96/97 put spds, 1.0

TSY OPTIONS:

* -6,000 TUU 110.12 puts, 2/64

* 10,000 TYN/TYQ 135 put spd, 3/64

* +5,000 FVU 127 calls, 4.5/64

* +2,000 FVQ 125 puts, 7.5/64

* -1,300 TYU 140 calls, 32/64

Small but persistent 10Y vol sellers:

* seller TYU 136/142 strangles, 26/64 and TYQ 138/139 strangles, 61/64

* +7,000 TYN 138 puts, 1/64

* -1,000 TYN 139.25 calls, 9/64

* +1,000 USQ 179/182/183 broken call flys, 42/64

Overnight flow

* 5,000 TYQ 135.5 puts, 5/64

* 1,500 TYQ 137 puts, 14/64

* 1,500 TYN 138.5 puts, 14- 15/64

* >3,800 TYN 136 puts, 1/64

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

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