US TSYS: Virus Pandemic Fear Push Ylds To New Lows, Eqs Crater

US TSY SUMMARY: Virus pandemic fear pushes Tsy ylds to new lows (10YY 0.5284%

late vs. 0.3137% overnight low; 30YY 0.9784% late vs. 0.6987% overnight low) as

equities hit low limit breakers twice early Monday.

- Multiple circuit breakers also triggered in Tsy futures overnight w/WNM well

past top breaker of 237-06: no limit; USM did tap top limit of 191-22 but has

receded. Yld curves bull flattened but are off overnight lows (huge 53.0bp range

in 3M10Y: -12.629, 16.015 (L: -29.46 / H: 24.123).

- A lot of vol for short end swap spds on day: reversed sharply wider levels to

tighter by midday, a huge turn-around in short period of time as Tsys pared

gains. Spds bounce again late as Tsys looked to trade higher again. Earlier,

intermediates to long end extended move wider. Decent two-way flow w/better

paying in 2s and 5s last hour, payer in 10s at 0.54625%, 2s5s10s receiver fly.

- Another surge in Eurodollar futures as mkt priced in more rate cuts from FOMC

(leaning toward another 75bps at the March 17-18 FOMC, or even a second

intermeeting cut in as many weeks if equities continue to crater. 

- The 2-Yr yield is down 11.5bps at 0.3908%, 5-Yr is down 12.6bps at 0.4835%,

10-Yr is down 20.2bps at 0.5608%, and 30-Yr is down 26.1bps at 1.0266%.

TECHNICALS:

US 10YR FUTURE TECHS: (M0) Defying Gravity Still

*RES 4: 142-05+3.382 projection of Jan 9 - Feb 3 rally from Feb 6 low

*RES 3: 141-21  3.236 projection of Jan 9 - Feb 3 rally from Feb 6 low

*RES 2: 140-26  3.00 projection of Jan 9 - Feb 3 rally from Feb 6 low

*RES 1: 140-24  Intraday high

*PRICE: 138-26 @ 16:14 GMT, Mar 9

*SUP 1: 138-15   Intraday low  

*SUP 2: 136-15   Low Mar 6

*SUP 3: 135-12+ Low Mar 5 and key near-term support

*SUP 4: 134-09  Low Mar 3

Treasuries maintain a clear bullish tone with bond markets rallying again

Monday. Futures have registered a fresh high of 140-24 and look set to move

beyond this level. Recent impulsive gains resulted in a breach of 131-30, Feb 3

high. The break confirmed a resumption of the broader uptrend that has been in

place since the Dec lows and bulls have not looked back. The key near-term

support is now seen at 138-15.

AUSSIE 10-YR TECHS: (H0) Still Elevated

*RES 3: 99.5615 - 3.0% Upper Bollinger Band

*RES 2: 99.5000 - Psychological Resistance

*RES 1: 99.4800 - High Mar 06 and Alltime High

*PRICE: 99.3625 @ 16:20 GMT, Mar 9

*SUP 1: 98.7150 - Low Jan 14 and key near-term support 

*SUP 2: 98.5900 - Low Jan 3 

*SUP 3: 98.5700 - Low Jan 2 and primary support

Aussie bonds are firm once again, but moderated in short order as sentiment

settled slightly. Upside targets remain at vol band resistance of 99.5615. To

the downside, the initial focus is on 98.7150, Jan 14 low where a break is

required to signal a fresh round of stronger bearish pressure.

JGB TECHS: (H0): Clears 2019 High

*RES 3: 157.32 - 2.0% 10-dma envelope

*RES 2: 156.00 - Handle Resistance

*RES 1: 155.89 - High Mar 9

*PRICE: 155.60 @ 16:23 GMT, Mar 9

*SUP 1: 152.77 - 50-dma

*SUP 2: 151.62 - Contract lows, Dec 20

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

Markets surged further Monday, taking out the mid-2019 highs in the process and

firming the outlook. This keeps the outlook materially bullish, with momentum

measures also pointed higher. Near-term resistance sits at, initially, 155.89

ahead of the 2.0% 10-dma envelope at 157.32. The 200-dma switches to support at

153.55.

TSY FUTURES CLOSE: Huge range for rate futures, offers scarce as safe-haven

buying tied to COVID-19 spd pushed ylds to new all-time lows (10YY 0.5284% late

vs. 0.3137% overnight low; 30YY 0.9784% late vs. 0.6987% overnight low). Yld

curves bull flattened but were well off early overnight lows. Update: 

* 3M10Y  -12.629, 16.015 (L: -29.46 / H: 24.123)

* 2Y10Y  -7.024, 17.597 (L: 2.091 / H: 21.409)

* 2Y30Y  -14.667, 62.467 (L: 39.934 / H: 70.617)

* 5Y30Y  -13.923, 53.726 (L: 36.328 / H: 60.88); Current futures levels:

* Jun 2-Yr futures up 10.375/32 at 110-5.25 (L: 109-29.375 / H: 110-10.87)

* Jun 5-Yr futures up 21.25/32 at 125-4.25 (L: 124-23.25 / H: 125-28.75)

* Jun 10-Yr futures up 1-4.5/32 at 139-4 (L: 138-15 / H: 140-24)

* Jun 30-Yr futures up 4-28/32 at 184-18 (L: 180-17 / H: 191-22)

* Jun Ultra futures up 6-18/32 at 231-24(L: 227-28 / H: 249-00)

US EURODLR FUTURES CLOSE: Another surge in Eurodollar futures as mkt priced in

more rate cuts from FOMC (leaning toward another 75bps at the March 17-18 FOMC,

or even a second intermeeting cut in as many weeks if equities continue to

crater. Multiple reports out this afternoon (Washington Post, WSJ, Rtrs) that

Pres Trump will meet with his advisors this afternoon to discuss an economic

response to COVID-19. Current White pack (Mar'20-Dec'20): 

* Mar 20 +0.180 at 99.245 vs. 99.31 high

* Jun 20 +0.165 at 99.545 vs. 99.585 high

* Sep 20 +0.105 at 99.575 vs. 99.62 high

* Dec 20 +0.120 at 99.555 vs. 99.615 high

* Red Pack (Mar 21-Dec 21) +0.095 to +0.10

* Green Pack (Mar 22-Dec 22) +0.085 to +0.090

* Blue Pack (Mar 23-Dec 23) +0.095 to +0.115

* Gold Pack (Mar 24-Dec 24) +0.110

US DOLLAR LIBOR: Latest settles

* O/N +0.0014 at 1.0811% (-0.4880 last week)

* 1 Month -0.1377 to 0.7249% (-0.5102 last wk)

* 3 Month -0.1279 to 0.7681% (-0.5667 last wk)

* 6 Month -0.1444 to 0.7354% (-0.4226 last wk)

* 1 Year -0.1021 to 0.7435% (-0.5357 last wk)

US SWAPS: Lot of vol for short end spds on day: reversed sharply wider levels to

tighter by midday, a huge turn-around in short period of time as Tsys pared

gains. Rebounded wider again late as Tsys looked to trade higher again. Earlier,

intermediates to long end extended move wider. Decent two-way flow w/better

paying in 2s and 5s last hour, payer in 10s at 0.54625%, 2s5s10s receiver fly.

Current spd levels:

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

Mon 1500   +1.75/+14.62   -0.50/+12.00  +3.00/+10.75   +2.25/-31.00

1300       -0.75/+12.12   -0.44/+12.06  +3.25/+11.00   +2.75/-30.50

1145       -1.25/+11.62   -0.31/+12.19  +3.31/+11.06   +3.00/-30.25

1000       +5.12/+18.00   +3.62/+16.12  +5.75/+13.5    +5.00/-28.25

Mon Open   +6.62/+19.50   +2.38/+14.88  +3.75/+11.5    +3.00/-30.25

Fri 1500   +6.88/+15.38   +5.12/+11.75  +6.12/+6.75    +4.75/-35.50

Fri Open   +3.25/+11.75   +1.75/+8.38   +3.12/+3.75    +0.50/-39.75

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

* Daily Effective Fed Funds Rate: 1.09%, volume: $79B

* Daily Overnight Bank Funding Rate: 1.08%, volume: $163B

US TSYS: REPO REFERENCE RATES:

* Secured Overnight Financing Rate (SOFR): 1.10%, $1.295T

* Broad General Collateral Rate (BGCR): 1.08%, $490B

* Tri-Party General Collateral Rate (TGCR): 1.08%, $466B

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

10-Mar 0600 Feb NFIB Small Business Index (104.3, 102.9)

10-Mar 0855 07-Mar Redbook retail sales m/m

PIPELINE: Issuers back on the sidelines as market vol spikes w/risk aversion

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

Nothing in the pipeline for Monday

-

No new issuance Friday; $31.75B priced on week, $32.75B for month

-

$8.15B priced Thursday,

03/05 $2.15B *Daimler Finance $1.25B 3Y +120, $450M each: 5Y +155, 10Y +175

03/05 $1.5B *Prudential Financial $500M each 6Y +90, 10Y +120, 20Y +145

03/05 $1.5B *Bank of Montreal 3Y FRN SOFR+68

03/05 $1.25B *Kommunalbanken 5Y +15

03/05 $700M *KeyBank 3Y +65

03/05 $550M *EBRD 3Y FRN SOFR+26

03/05 $500M *Martin Marietta 10Y +170

Eurodollar/Tsy options 

Eurodollar options:

* 30,000 Sep 87 calls, 82.5 vs. 99.57/0.95%, hear sale after paper bought total

+42,000 Apr 87 calls, 81.0 covered earlier

* +35,000 Green Jun 93/95/96/97 call condors, 3.5

* -5,000 short Apr 95 straddles, 24.5

Block, 1227:35ET

* -12,000 Apr 96/Jun 97 call spds, 1.5 vs. 99.55/0.20% Apr over

Block recap

* 20,500 Apr 95 calls, 11.5 vs. 99.55/0.55% at 1132:00ET

* 11,270 Red Mar 82 calls, 129.0 at 1131:54ET

* 10,000 Sep 100 calls, 1.0 at 1127:56

Block, 10,000 Sep 100 calls, 1.0

* 5,000 Jun 92/93/98/100 call condors, 7.5

* 2,500 Sep/Dec 100 call spds, 2.0

* 3,000 short Jun 91/93 2x3 call spds on screen

* Update, total +42,000 Apr 87 calls, 81.0 vs. 99.55/0.98%

* -5,000 short Mar 92/93 call spds, 11.5

* -10,000 Apr 96 calls, 6.0-5.5 vs. 99.55/0.40%

* +9,000 Jun 86 straddles, 32.0 

* +5,000 Apr 90/92 1x2 call spds, 16.0, 2-leg over

* +5,000 Mar 90/91 put spds, 1.75

* +15,000 May 95/97 call spds, 0.5 over Apr 95 calls (5k Blocked earlier, Apr

sold 1.0 over May call spd)

* Jun 82 put volume on screen over 114,000, 0.75 last

Block, 0931:50ET

* -10,000 Jun 93/95 call spds, 9.0

* -5,000 Sep 95/97 call spds, 13.0

* +17,500 short Mar 100 calls, cab on screen

* Red Mar'21 100 calls trade small at 4.0

late overnight Block prints

* +10,000 short May 93/95/96/97 call condors, 3.5 at 0615:02ET

* +5,000 Mar 95/96 call spds, 1.0 at 0550:20ET

* +5,000 Apr 95 calls 1.0 over May 95/97 call spds at 0453:38ET

* +16,000 Mar 93/96/97/100 call condors, 2.5 at 0429:55ET

* +10,000 Apr 96/97 2x3 call spds, 4.5 from 0403-0406ET

Tsy options:

* just over 23,000 FVK 118 puts, 1.5/64

* +4,650 TYK 135/136.5/138 put flys, 18/64

* Update, near 30,000 TYM 132/134 put spds, 12- 13/64

* over -10,000 TYM 138/141 call spds, 1-9/64

* 1,800 TYJ 140.25/TYK 142 call diagonal spd, 9/64

* 2,500 FVM 123.25/124.25/125 put flys, 3/64

* +1,400 USK 178 puts, 2-27/64

* -3,500 USK 173 puts, 1-03 to 1-05/64

* USK 140 straddle 4-38 bid

5Y call package spd:

* 1,900 FVK 125/125.5 call spds 14.5 vs.

* 3,800 FVK 125/126/127/127.5 call condors, 5/64

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

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