US TSYS: Virus Data Drives De-Risking Ahead Weekend

US TSY SUMMARY: Growing virus-count data (AZ, TX and FL) continue to drive a

decidedly risk-off tone for the second half of the week, rebound in US$

contributed to further selling in equities (ESU0 -65.5 by the FUI close). 

- Position squaring and month end flow on more modest volumes (TYU< 850k) ahead

the weekend and next week's shortened holiday trade, not to mention non-farm

payrolls for June scheduled for Thu (+3.0M est vs. +2.509M May)

- After an orderly open, rated gapped to new session highs after latest Florida

virus count shows +7.8% vs. 4.1% 7 day avg, then again around midmorning after

Arizona reported 5.4% (+3,428) increase in COVID cases. 

- Ratio 5s/10s flattener Block: 

* -5,600 FVU 125-21.5 sell through 125-22.25 post-time bid; vs.

* +6,725 TYU 139-08.5 buy through 139-08 post-time offer

- Serial July Treasury options expire Friday, generating two-way flow on modest

pin risk in 5s and 10s.

- The 2-Yr yield is down 2bps at 0.1661%, 5-Yr is down 3.5bps at 0.2973%, 10-Yr

is down 4.9bps at 0.6364%, and 30-Yr is down 6.4bps at 1.3701%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Bullish Weekly Close   

*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: 139-06   High Jun 26

*PRICE: 139-05 @ 16:16 BST, Jun 26

*SUP 1: 138-07   Low Jun 16 and key near-term support

*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 pierced the top end of the recent range Friday, putting markets on

track to register a very bullish weekly close. 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. Bears would be encouraged by a

break of support at 138-07, Jun 10 low.

TSY FUTURES CLOSE: Well bid, near midday highs by the bell on moderate volumes

(TYU<850K). Risk-off momentum gain largely tied to virus headline gains in TX,

AZ and FL. Yld curves flatter all session. Update: 

* 3M10Y  -4.75, 49.608 (L: 48.79 / H: 53.541)

* 2Y10Y  -2.792, 47.001 (L: 46.543 / H: 49.66)

* 2Y30Y  -4.074, 120.402 (L: 120.14 / H: 124.339)

* 5Y30Y  -2.781, 107.166 (L: 106.953 / H: 110.025); Current futures levels:

* Sep 2-Yr futures up 1/32 at 110-12.375 (L: 110-11 / H: 110-12.75)

* Sep 5-Yr futures up 4/32 at 125-21.25 (L: 125-16.25 / H: 125-22.75)

* Sep 10-Yr futures up 8.5/32 at 139-5.5 (L: 138-26.5 / H: 139-08.5)

* Sep 30-Yr futures up 26/32 at 179-1 (L: 177-29 / H: 179-08)

* Sep Ultra futures up 1-26/32 at 219-28 (L: 217-10 / H: 220-01)

MONTH-END EXTENSIONS: UPDATED Bloomberg-Barclays US month-end index extension;

forecast summary compared to the avg increase for prior year and the same time

in 2019. TIPS 0.00Y; Govt inflation-linked, -0.04.

*........................EST.....1Y Avg Incr..Last Year

*US Tsys.................0.09........0.09........0.06

*Agencies................0.06........0.03........0.08

*Credit..................0.09........0.11........0.09

*Govt/Credit.............0.09........0.10........0.07

*MBS.....................0.08........0.06........0.05

*Aggregate...............0.09........0.09........0.06

*Long Govt/Credit........0.12........0.09........0.04

*Interm Credit...........0.10........0.09........0.08

*Interm Govt.............0.07........0.08........0.06

*Interm Govt/Cred........0.08........0.08........0.07

*High Yield..............0.09........0.11........0.06

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

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC  AWARDED

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

29 Jun  1130ET   $54B    13W Bill     (9127962J7)

29 Jun  1130ET   $51B    26W Bill     (912796TY5)

30 Jun  1130ET   $35B    42D Bill     (912796TD1)

30 Jun  1130ET   $35B   119D Bill     (9127962T5)

02 Jul  1130ET   TBA     4W Bill      30 Jun Annc 

02 Jul  1130ET   TBA     8W Bill      30 Jun Annc

US EURODLR FUTURES CLOSE: Bid across the strip, hugging moderate session highs.

Current White pack levels:

* Sep 20 +0.015 at 99.730

* Dec 20 +0.015 at 99.695

* Mar 21 +0.010 at 99.785

* Jun 21 +0.010 at 99.805

* Red Pack (Sep 21-Jun 22) +0.010 to +0.015

* Green Pack (Sep 22-Jun 23) +0.020 to +0.025

* Blue Pack (Sep 23-Jun 24) +0.030 to +0.035

* Gold Pack (Sep 24-Jun 25) +0.035 to +0.040

US DOLLAR LIBOR: Latest settles

* O/N -0.0045 at 0.0711% (-0.0041/wk)

* 1 Month -0.0054 to 0.1782% (-0.0118/wk)

* 3 Month +0.0018 to 0.3078% (+0.0026/wk)

* 6 Month -0.0032 to 0.3614% (-0.0529/wk)

* 1 Year -0.0041 to 0.5663% (-0.0094/wk)

US SWAPS: Spds running mixed by the bell, 10-30s reverse early move to

marginally tighter by the bell. Modest early flow: some light carry-over rate

receiving in the long end after spd curve steepeners overnight. No deal-tied

flow as accts square up ahead weekend and next week's shortened holiday trade.

Current levels:

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

Fri 1500  +0.25/+6.88    +0.12/+3.88    -0.06/-1.06    -0.50/-49.00

1330      +0.81/+7.44    +0.50/+4.25    +0.12/-0.88    +0.00/-48.50

1130      +0.62/+7.25    +0.38/+4.12    +0.06/-0.94    +0.19/-48.31

0900      +0.44/+7.06    +0.12/+3.88    +0.25/-0.75    +0.12/-48.38

Fri Open  +0.25/+6.88    +0.00/+3.75    +0.06/-0.94    +0.00/-48.50

Fri 0730  +0.31/+6.94    -0.19/+3.56    +0.00/-1.00    -0.25/-48.75

Thu 1500  +0.75/+6.62    +0.38/+3.62    +0.19/-0.81    -0.50/-48.50

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

* Daily Effective Fed Funds Rate: 0.08% volume: $79B

* Daily Overnight Bank Funding Rate: 0.08%, volume: $182B

US TSYS: REPO REFERENCE RATES 

* Secured Overnight Financing Rate (SOFR): 0.09%, $984B

* Broad General Collateral Rate (BGCR): 0.06%, $419B

* Tri-Party General Collateral Rate (TGCR): 0.06%, $386B

FED: NY Fed operational purchase

* Tsy 2.25Y-4.5Y, $8.801B accepted of $30.733B submitted

Next week's schedule:

* Mon 06/29 1010-1030ET: Tsy 20Y-30Y, appr $1.750B

* Tue 06/30 1010-1030ET: TIPS 1Y-7.5Y, appr $2.425B

* Wed 07/01 1100-1120ET: Tsy 7Y-20Y, appr $3.625B

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

29-Jun 1000 May NAR pending home sales index (-21.8%, 18.9%)

29-Jun 1030 Jun Dallas Fed manufacturing index (-49.2, -29.5)

29-Jun 1100 SF Fed Pres Daly on college attainment

29-Jun 1130 US Tsy $54B 13W Bill auction (9127962J7)

29-Jun 1130 US Tsy $51B 26W Bill auction (912796TY5)

29-Jun 1500 NY Fed Pres Williams, moderator at NY eco-club event

PIPELINE: *** Whopping $1.383T for first half of year, setting record high.

Issuance has tapered off heading into month-end with $16.5B this wk, $163.35B

total/month.

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

06/26 Nothing on tap early Friday

-

$2B Priced Thursday, $16.5B total/wk

06/25 $2B *Intuit $500M each 3Y +45, 5Y +65, 7Y +85, 10Y +100

Eurodollar/Tsy options

EURODLR OPTIONS, consistently better call trade on net:

* some 14,000 Green Sep 97/98 1x2 call spds, 0.0

* Green July 97 call volume up to 11,300

* 2,000 Dec 97/98/100 call trees

* Scale buyer over 7,700 short Sep 100 calls

* just over 12,500 Dec 100.12 calls, 1.0

* 4,300 Green Jul 97 calls earlier

* 7,750 Nov 95/96/97 call flys, 4.5

* near 5,000 Dec 93/95/96 call flys, 1.25

* 1,500 Green Mar 93/95 put spds vs. Blue Mar 92/93 put spd

* Update, near +8,000 Mar 100/100.12 call spds, 1.0

* +5,000 Mar 100/100.12 call spds, 1.0

* near 11,000 Nov 96 calls, 9.0 last

* +3,000 Sep 87/90 put spds, 2.0

* 6,000 Sep 95 puts, 0.5

* 2,000 long Green Sep 87/90 put spds, checking price

* 2,500 Nov 95/96/97 call flys

* over 4,000 Sep 98/100 call spds

* near -12,000 Sep 90/92/93/95 put condors, 0.0 coming into the session

* Earlier Block, 10,000 Sep 96 puts, 1.5 at 0806:45ET

TSY OPTIONS: Early trade highlights

* Update, appr 10,000 TYU 137/138 put spds, 14/64 (ongoing, appr +30k on wk)

* +2,500 TYU 140.5/142 call spds, 11/64

* -2,000 TYU 137 puts, 14/64

* 1,000 TYQ 139 calls, 35/64

* -1,000 FVU 126.5 calls, 5.5/64

* +1,000 FVU 125.5 puts fom 17- 17.5

* buyers USQ 178/179/180 and USU 178/180/182 call flys

--

Reminder, July serial ops expire today. Pin-risk relatively subdued across the

curve in late trade. Options 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's)

auto-exercised. According to CME Group data:

*             Calls      Puts      Total   Nearest-the-Money Strike Totals

* Jul 30yr   160,963   180,327    341,290  178.50 w/ 9,511 (4,708c, 4,803P)

*                                          179.00 w/ 16,583 (7,754c, 8,829P)

*                                          179.50 w/ 7,106 (6,090c, 1,016P)

* Jul 10yr   609,429   643,084  1,252,513  139.00 w/ 106,674 (85,445c, 21,229p)

*                                          139.25 w/ 19,185 (18,043c, 1,142p)

*                                          139.50 w/ 70,895 (69,914c, 981P)

* Jul 5yr    180,226   260,916    441,142  125.50 w/ 27,934 (18,470c, 9,464p)

*                                          125.75 w/ 19,944 (16,893c, 3,051p)

*                                          126.00 w/ 16,017 (15,955c, 62p)

* Jul 2yr     18,551    29,770     48,321  110.38 w/ 16,308 (11,102c, 5,206p)

*                                          110.50 w/ 1,082 (1,081c, 1p)

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

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