US TSYS: Virus Angst Remains, Stems Risk Appetite

US TSY SUMMARY: Early risk-on tone looked to have more legs to run until rush of

negative risk headlines spurred sharp rally in rates by midmorning.

- Rise in Texas covid-related hospitalizations adding to sharp risk-on UNWINDs

last few minutes after virus risk rating in Beijing upgraded and schools closed.

Yld curves have halved steepening in the long end last few minutes. 

- Yld curves had been climbing steeper in early trade -- back near June 5 3+

year highs as long end extended session lows. Sources reported real$ selling

10s, fast$ 2-way in intermediates to long end, bank portfolio selling long end

as well. Deal-tied hedging contributing to early pressure.

- Rates scaled back appr half the initial bounce to trade in relative narrow

range through the second half. "TEXAS VIRUS CASES JUMP 2.9%, EXCEEDING 2.2%

SEVEN-DAY AVERAGE" bbg, spurring fresh round of de-risking (on more modest

scale).

- The 2-Yr yield is up 1bps at 0.1992%, 5-Yr is unchanged at 0.3423%, 10-Yr is

up 2.6bps at 0.7479%, and 30-Yr is up 7.3bps at 1.5342%.

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+ High Jun 1

*RES 1: 139-03+ High Jun 11

*PRICE: 138-18+ @ 16:10 BST, Jun 16

*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 are trading below recent highs. Last week the contract strengthened

and for now maintains a positive tone despite the pullback. The focus is on

139-07+, Jun 1 high. 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: 99.0700 @ 16:12 BST, Jun 16

*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 Monday

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: 152.09 @ 16:12 BST, Jun 16

*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 last week, but have faltered slightly over the first two

sessions this week. Nonetheless, prices remain close to 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: Broadly weaker after the bell -- but well off first half lows

to near middle of range. Rising Covid-19 case counts at home (Tx

hospitalizations +8.3%; Az Arizona cases +6.5% d/d) and abroad (Beijing shutters

schools spurred sharp rebound in rates, equities pared gains. Yld curves nearly

halved broad early morning steepening. Update: 

* 3M10Y  +3.281, 57.888 (L: 54.15 / H: 61.015)

* 2Y10Y  +2.025, 54.708 (L: 53.041 / H: 57.941)

* 2Y30Y  +6.457, 133.231 (L: 129.172 / H: 137.552)

* 5Y30Y  +7.223, 118.915 (L: 113.578 / H: 121.47); Current futures levels:

* Sep 2-Yr futures down 0.875/32 at 110-10.25 (L: 110-09.875 / H: 110-11.25)

* Sep 5-Yr futures down 2.25/32 at 125-13.5 (L: 125-09.75 / H: 125-16)

* Sep 10-Yr futures down 7.5/32 at 138-16 (L: 138-07 / H: 138-22)

* Sep 30-Yr futures down 1-15/32 at 175-27 (L: 174-29 / H: 176-29)

* Sep Ultra futures down 3-09/32 at 213-10 (L: 211-07 / H: 216-03)

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

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

15 Jun  1130ET   $60B    13W Bill     (9127962G3)   0.175%

15 Jun  1130ET   $54B    26W Bill     (9127963K3)   0.185%

16 Jun  1130ET   $50B    42D Bill     (912796WY1)   0.150%

16 Jun  1130ET   $40B   119D Bill     (9127962R9)   0.180%

16 Jun  1300ET   $34B    52W Bill     (9127963H0)   0.200%

17 Jun  1130ET   $35B   105D Bill     (9127964G1)

17 Jun  1130ET   $40B   154D Bill     (9127964T3)

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

18 Jun  1130ET   $60B    4W Bill      (9127963F4)

18 Jun  1130ET   $55B    8W Bill      (9127963P2)

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

US EURODLR FUTURES CLOSE: Weaker across the strip all session, levels running in

upper half decent range after the bell. Decent selling lead quarterly EDU0

earlier. Current White pack levels:

* Sep 20 -0.005 at 99.695

* Dec 20 -0.015 at 99.660

* Mar 21 -0.015 at 99.750

* Jun 21 -0.010 at 99.775

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

* Green Pack (Sep 22-Jun 23) -0.015 to -0.005

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

* Gold Pack (Sep 24-Jun 25) -0.04 to -0.025

US DOLLAR LIBOR: Latest settles

* O/N +0.0018 at 0.0716% (+0.0054/wk)

* 1 Month -0.0001 to 0.1938% (-0.0013/wk)

* 3 Month +0.0088 to 0.3078% (-0.0130/wk)

* 6 Month -0.0011 to 0.4297% (-0.0023/wk)

* 1 Year -0.0052 to 0.5856% (-0.0078/wk)

SWAPS: Spds running tighter across the curve, 5Y lagging wings near lows. surge

in swappable corporate and supra-sov issuance >$20B contributing to move,

back-stopped by introduction of NY Fed ETF via buying <5Y corp bonds starting

today. Current levels:

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

Tue 1500  -1.06/+6.19    -0.06/+4.69    -0.62/-1.75    -1.00/-49.50

1200      +0.38/+7.50    +0.38/+5.12    +0.06/-1.06    +0.19/-48.31

0930      -0.38/+6.88    +0.12/+4.88    +0.00/-1.12    -0.38/-48.88

Tue Open  -0.50/+6.75    +0.12/+4.88    +0.06/-1.06    -0.06/-48.56

Mon 1500  -0.19/+7.00    +0.00/+4.75    -0.12/-1.12    -0.38/-48.62

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

* Daily Effective Fed Funds Rate: 0.08% volume: $52B

* Daily Overnight Bank Funding Rate: 0.07%, volume: $145B

US TSYS: REPO REFERENCE RATES 

* Secured Overnight Financing Rate (SOFR): 0.09%, $1T

* Broad General Collateral Rate (BGCR): 0.07%, $441B

* Tri-Party General Collateral Rate (TGCR): 0.07%, $396B

FED: No NY Fed operational purchases scheduled for Tuesday;

--

NY Fed operational purchases schedule for Wednesday

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

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

17-Jun 0700 12-Jun MBA Mortgage Applications (9.3%, --)

17-Jun 0830 May housing starts (0.891m, 1.100m)

17-Jun 0830 May building permits (1.066m rev, 1.250m)

17-Jun 1030 12-Jun crude oil stocks ex. SPR w/w

17-Jun 1200 Fed Chair Powell, House Fncl Srvcs Comm: Mon-Pol & State of Economy

17-Jun 1300 US Tsy $17B 20Y Bill R/O auction (912810SR0)

17-Jun 1600 Clev Fed Pres Fed Mester on Covid-19 response

PIPELINE: $20.6B Priced or in the works; Still waiting for PG&E

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

06/16 $6B #Bank of America $3B Each 6NC5 +97, 21NC20 +137

06/16 $4.5B #Merck & Co +5Y +50, $1.25B 10Y +80, $1B 20Y +90, $1.25B 30Y +105

06/16 $1.75B #Ford Motors 5Y 5.125%

06/16 $1.5B *New Development Bank 3Y Covid bond +38

06/16 $1.25B #Danske Bank 4NC3 +100

06/16 $1.1B #Borgwarner Inc 7Y +212.5

06/16 $1B *Kommunivest +3Y +19

06/16 $750m #Carrier Global +10Y +195

06/16 $750M *Perrigo Finance 10Y +250

06/16 $600M *PLDT (Philippine Long Distance) $300M each +10Y +180, +30Y +195

06/16 $500M Welltower +10Y +205

06/16 $400M #Guardian Life 5Y +877

06/16 $500m #Principal Life 5y +92

06/19 $Benchmark PG&E 2NC1 fix/FRN, 7Y, 10Y, 20Y, 30Y

Eurodollar/Tsy options

EURODLR OPTIONS:

* 10,000 Blue Sep 95/96/97 call flys, 3.5

* +2,000 Green Oct 96/97/98 call flys, 4.5

* Update, 6,000 Blue Sep 96 calls

* +20,000 Green Aug 93/95 put spds, 1.0 around 99.70ref

* total 6,300 Green Jul/Green Aug/Green Sep 98 call tree on 2x1x1 ratio

* total 5,750 Blue Aug 93 puts

* 2,500 Green Sep 92/95 put spds, 2.0 (chunky selling in lead quarterly EDU0

pre-data, appr 18k at 99.69)

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

* 9,400 short Nov 83/87 put spds

* 3,000 Sep 100.25 calls, cab earlier

Tsy options:

* 9,000 FVN 125.5 calls, 7- to 6.5/64

* +6,000 TYQ 137 puts, 18/64 few minutes ago. vol desk adds TYU 137.5 puts sold

22/64 over the TYQ 137 puts

* 3,300 TYN 138.5/139 1x2 call spds

* +2,600 TYQ 137.5/140.5 put over risk reversals 12/64 vs. 138-18

* -1,000 TYN 137/138 put spds 10/64

* +4,500 TYN 139.5 calls 6/64 earlier

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

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