US TSYS: VIRUS PANDEMIC ANGST TAKES BITE OUT OF RISK APPETITE

US TSY SUMMARY: Rates surged higher on back of renewed virus pandemic angst,

risk-off w/equities tumbling through the session. 

- Containment plans/efforts as case and fatality numbers rise taking bite out of

risk appetite for much of day -- late unwinds/profit taking has rates off highs,

eminis off lows (-94.0 at 3245.0 vs. 3214.25 session low. Real vol delivered

w/VIX as high as 26.31 (23.68 +6.60 late); Gold +13.0 but well off pre-open high

1688.63 +44.0.

- Massive volumes (TYH near 4M) a little deceiving as Mar/Jun rolling kicked

into high gear ahead Fri's first notice. Sources reported fast$ selling short

end, real$ buying 5s, 7s, 10s and 30s, talk of convexity hedging w/big axe

around 1.80% 30YY (1.841% late). Little in way of high-grade corp deal hedging

w/issuers on sidelines due to rise in mkt risk/vol

- Heavy option volume largely focused on upside call buying/rate cut hedging of

two to three rate cuts by year end.

- The 2-Yr yield is down 9.4bps at 1.2599%, 5-Yr is down 10.6bps at 1.2162%,

10-Yr is down 9.1bps at 1.3805%, and 30-Yr is down 7.3bps at 1.8414%.

TECHNICALS:

US 10YR FUTURE TECHS: (H0) Bulls Firmly In Charge

*RES 4: 134-07+ High Jul 6 2016

*RES 3: 133-18+ 1.00 projection of Jan 9 - Feb 3 rally from Feb 6 low

*RES 2: 133-00   Round number resistance

*RES 1: 132-26 Intraday high

*PRICE: 132-23+ @ 16:00 GMT, Feb 24

*SUP 1: 131-29   High Feb 3

*SUP 2: 130-30 Low Feb 19 and 20

*SUP 3: 130-19+ Low Feb 12

*SUP 4: 130-07   Low Jan 29 and key near-term support 

The uptrend in Treasuries was cemented Friday with a break above the early

February and 2020 highs of 131-29 putting bulls solidly in control. Key

resistance at 132-02+ also gave way and Monday, futures have extended their

gains. Moving average studies are in a bull mode reinforcing current trend

conditions although it is worth noting that the trend is close to being

overbought once again. Support is at 131-29, the next objective is 133-00.

JGB TECHS: (H0): Pressuring Top End of Range

*RES 3: 153.55 - High Nov 28 and key resistance

*RES 2: 153.13 - High Jan 31

*RES 1: 153.09 - 100-dma

*PRICE: 152.95 @ 16:08 GMT, Feb 24

*SUP 1: 152.34 - 50-dma

*SUP 2: 151.62 - Contract lows, Dec 20

*SUP 3: 151.11 - 76.4% retracement of August 2018 - September 2019 Rally

JGBs are pressuring the top end of the recent range to start off the week,

maintaining the erratic rally seen in the Thursday/Friday sessions. The 100-dma

sits at 153.09, which acts as a bull trigger going forward. Nonetheless, the

risk of a pullback still looms large at present levels. For bears to recapture

any momentum, a close below the 50-dma is needed, opening 151.62 and the 151.11

mark beyond.

TSY FUTURES CLOSE: Rates surged higher on back of renewed virus pandemic angst,

risk-off w/equities tumbling through the session. Containment plans/efforts as

case and fatality numbers rise taking bite out of risk appetite for much of day

-- late unwinds/profit taking has rates off highs. Yld curves off lows. Update:

* 3M10Y  -9.046, -17.791 (L: -19.972 / H: -13.374)

* 2Y10Y  +0.397, 11.679 (L: 10.053 / H: 16.42)

* 2Y30Y  +2.406, 58.036 (L: 54.815 / H: 58.297)

* 5Y30Y  +3.705, 62.607 (L: 59.121 / H: 62.71); Current futures levels:

* Mar 2-Yr futures up 6/32 at 108-9.625 (L: 108-04.625 / H: 108-10.25)

* Mar 5-Yr futures up 17/32 at 120-26.5 (L: 120-13.25 / H: 120-29.25)

* Mar 10-Yr futures up 27.5/32 at 132-23 (L: 132-03 / H: 132-28.5)

* Mar 30-Yr futures up 1-28/32 at 166-27 (L: 165-15 / H: 167-11)

* Mar Ultra futures up 3-4/32 at 200-15 (L: 198-02 / H: 201-11)

US TSY FUTURES: Late session update, Mar/Jun futures roll >50% ahead Fri's first

notice. March futures don't expire until mid-late March (10s, 30s and Ultras on

3/20, 2s & 5s 3/31). Session volume and % complete update:

* TUH/TUM appr 1,047,300 from -7.0 to -6.25, -6.75 last; 43% complete

* FVH/FVM appr 1,436,900 from -15.0 to -13.5, -14.5 last; 48% complete

* TYH/TYM appr 1,344,000 from 2.75 to 3.75, 3.0 last; 32% complete 

* UXYH/UXYM appr 250,900 from 8.00 to 8.75, 8.25 last; 24% complete

* USH/USM appr 344,300 from 30.75 to 31.5, 31.0 last; 38% complete

* WNH/WNM appr 300,500 from -28.5 to -26.0, -28.5 last; 44% complete

US EURODLR FUTURES CLOSE: Broadly higher but off top end of session range, Reds

outperforming. Current White pack (Mar'20-Dec'20):

* Mar 20 +0.027 at 98.392

* Jun 20 +0.085 at 98.620

* Sep 20 +0.095 at 98.720

* Dec 20 +0.095 at 98.760

* Red Pack (Mar 21-Dec 21) +0.10 to +0.115

* Green Pack (Mar 22-Dec 22) +0.10 to +0.110

* Blue Pack (Mar 23-Dec 23) +0.085 to +0.10

* Gold Pack (Mar 24-Dec 24) +0.090 to +0.095

US DOLLAR LIBOR: Latest settles

* O/N +0.0052 at 1.5755% (-0.0059 last week)

* 1 Month -0.0106 to 1.6161% (-0.0315 last wk)

* 3 Month -0.0326 to 1.6466% (-0.0125 last wk)

* 6 Month -0.0471 to 1.6276% (-0.0352 last wk)

* 1 Year -0.0939 to 1.6347% (-0.0697 last wk)

US SWAPS: 

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

* Daily Effective Fed Funds Rate: 1.58%, volume: $65B

* Daily Overnight Bank Funding Rate: 1.58%, volume: $163B

US TSYS: REPO REFERENCE RATES:

* Secured Overnight Financing Rate (SOFR): 1.58%, $1.099T

* Broad General Collateral Rate (BGCR): 1.56%, $442B

* Tri-Party General Collateral Rate (TGCR): 1.56%, $430B

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

25-Feb 0830 Feb Philadelphia Fed Nonmfg Index (13.4, 13.4)

25-Feb 0855 22-Feb Redbook retail sales m/m

25-Feb 0900 Dec FHFA Home Price Index (0.2%, 0.4%)

25-Feb 0900 Q4 FHFA Quarterly Home Prices

25-Feb 0900 Dec Case-Shiller Home Price Index (218.1, 218.1)

25-Feb 0945 Dal Fed Pres Kaplan, KC Real Estate Trends Symposium

25-Feb 1000 Feb Conf Board confidence (131.6, 132.1)

25-Feb 1000 Feb Richmond Fed Mfg Index (20, 10)

25-Feb 1030 Feb Dallas Fed services index (13.5, --)

25-Feb 1130 US Tsy $26B 52W Bill 912796XE4) auction

25-Feb 1300 US Tsy $40B 2Y Note (912828ZA1) auction

25-Feb 1500 Fed VC Clarida, eco outlook/mon-pol NABE conference, DC

PIPELINE: Nothing new for Monday; week estimate $25-30B

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

$500M priced Friday; Amgen, Otis jumbos made up near third $35.85B total last

week, 

02/21 $500M *Grainger 5Y +60

-

$3.25B priced Thursday

02/20 $1.5B *PNC Bank $500M 3NC2 +35, $1B 3NC2 FRN +32.5

02/20 $1B *Council Of Europe Development Bank (COE) WNG 5Y +8

02/20 $750M *Citrix 10Y +185

-

$11.7B priced Wednesday

02/19 $5.3B #Otis Worldwide Corp jumbo: $500M 3NC1 +45, $1.3B 5Y +65, $500M 7Y

+80, $1.5B 10Y +100, $750M 20Y +110, $750M 30Y +135

02/19 $1.25B *BP Capital Markets AM 30Y +107

02/19 $1B *Tennessee Gas Pipeline 10Y +135

02/19 $1B *Halliburton 10Y +135

02/19 $750M *KLA Corp 30Y +130

02/19 $600M *Omnicon 10Y +92

02/19 $300M *FNB Corp 3Y +83

02/19 $1.5B *JP Morgan perp NC5 4.0%

Eurodollar/Tsy options 

Eurodollar options:

* Update, over -80,000 (pit/screen) Dec 93/96/97/100 call condor, 2.25 legged

* -4,000 short Mar 81/82/90/91 call condors, 9.75

* +3,000 Apr 86 straddles 2.0 over short Mar 88

* Block, total 20,000 Jun 92/95 call spds, 17.0 (1302-1303ET)

* -30,000 Dec 93/96/97/100 call condor, 2.25 legged

* +/-15,000 Sep 90 calls 10.0

* -4,000 Red Mar 82/83 2x1 put spds, cab

* +2,500 Blue Sep 86 puts, 12.5

* Update, total -2,000 Red pack 90 straddle strip, 250.5

* +5,000 short Apr 92/95 call spd with 93/95 call spd, 4.0 total

* +5,000 Sep 81/83 put spds vs Sep 90/91 call spd, 0.0 net package

* +5,000 Jun 82/83/85 put flys, 3.25

* -1,000 Red pack 90 straddle strip, 250.5

ongoing upside call spd buyer funded by put sale

* +25,000 Apr 85/86 call spds, 6.5 vs. 12,500 Apr 85 puts, 4.0 adds to 45k

Blocks ahead the open

* 4,000 Mar 83/85 call spds, 3.0 on screen

* +4,000 Red Jun 82 puts, 5.0

* -2,500 short Mar 88 straddles, 18.0

* +35,000 Mar 85 calls, 2.0-1.75 (screen volume >55k)

* +12,500 May 92 calls, 1.25

* +10,000 Jun 92 calls, 1.5

* +4,000 Jul 82/83 put spds, 1.75

* -5,000 Sep 81 puts, cab

ongoing buyer hedging two 25bp cuts by year end

* ongoing buyer near +100,000 (mostly pit) Dec 81/82/83 put flys, 2.0

* -15,000 Dec 92/95/97/100 call condors, 3.0

* -15,000 Dec 93/96/97/100 call condors, 2.5

* -5,000 Sep 87/88/90/92 call condors, 0.5

* +6,000 short Apr/Green Mar 90 call spds, 3.5 net debit Red/Green steepener

Block, 0850:04ET,

* 10,000 Apr 88/91 call spds, 2.0 net

* +10,000 Apr 88 calls, 3.0

* +5,000 Jun 92 calls, 1.25

* +5,000 Sep 86/87/88 call flys, 1.0

* -5,000 Dec 83/85 call spds, 8.0

* -5,000 short Apr 82/83/88/90 call condors, 7.75

Adding to the heavy overnight volume over 900k by the bell, salient trade,

Blocks include:

* Block, +50,000 May 87/88 call spds, 2.5 vs. 98.585/0.10%

* Block, +25,000 Jun 85/86 call spds, 6.5 vs. 12,500 Apr 85 puts, 4.0

* Block, +45,000 Apr 85/86 call spds, 6.0-6.5 vs. 22,500 Apr 85 puts, 4.0

* Block, +26,910 Dec 95/100 1x2 call spds, 2.5

* 25,000 Dec 81/82/83 put flys

* 6,750 short Sep 82/83/85 put trees

Tsy options:

* -20,000 TYK 134/135 call spds, 14/64

* 5,000 USK 169/171 call spds, 14/64

* -7,000 FVJ 120.75/FVK 121.5 call spds, 16/64

* 2,500 TYK 130.5 puts, 19/64 vs. 132-22

* +3,400 TYM 136 calls, 25/64 earlier

* +5,000 TYM 138 calls, 12/64

Update Block volumes

* total +30,000 FVJ 121.5 calls, 25.5-27.5

Additional midcurve block

* 26,400 wk4 TY 134/135 call spds, 4/64 vs. 132-19 (0919:59ET)

09:32 02/24 EST US TSY OPTIONS: Latest Block, 0924:50ET,

* 10,000 FVJ 121.5 calls, 27.5

* +30,000 TYJ 132.5/133.5 call spds on screen, 25/64

Some highlight screen trade by the open

* 43,000 TYK 129.5 puts, 10/64

* 30,000 FVJ 119.5 puts, 3.5/64

* +26,000 USJ 157 puts, 7- to 8/64

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

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