US TSYS: Virus Risk Trumps Data; Tsy Yields Zero By June?

US TSY SUMMARY: Hectic end to a hectic week! COVID-19 risk-aversion trumped

better than expected Feb employ data (+273k vs. +175k exp, mild weather widely

cited). 

- Multiple circuit breakers triggered in long end rate futures even before the

opening bell as Tsy ylds fell to new all-time lows (10YY 0.6572%, 30YY 1.1846%)

as offers evaporated in the face of heavy safe haven buying ahead the weekend.

Tsys futures pared back well after the close as equities bounced (emini at

2970.0 after tapping 2900.0 on rate close.

- Eurodollar futures Actually mixed after the bell, tail end of whites through

Greens trading lower/near lows, Blues-Golds outperforming, while short end

higher but well off absurd mid-morning highs as mkt priced in multiple rate

cuts. See MNI Policy story: Ex-Fed Blinder: FOMC To Surprise With Next Cut, main

wire at 1525ET.

- Risk-off and wider LIBOR/OIS in-line with sharply wider swap spds across the

curve this week -- short end at levels not seen in just over a year w/2Y spd

cracking 13.0. Carry-over rate paying, receiver unwinds in 2s-10s this morning,

2s10s and 5s10s spd curve flatteners, light deal tied flow.

- The 2-Yr yield is down 7.5bps at 0.522%, 5-Yr is down 6.5bps at 0.6125%, 10-Yr

is down 14.2bps at 0.7702%, and 30-Yr is down 25.6bps at 1.2851%.

TECHNICALS:

US 10YR FUTURE TECHS: (M0) Runaway Rally

*RES 4: 139-14+2.618 projection of Jan 9 - Feb 3 rally from Feb 6 low

*RES 3: 139-00+2.500 projection of Jan 9 - Feb 3 rally from Feb 6 low

*RES 2: 138-19  2.382 projection of Jan 9 - Feb 3 rally from Feb 6 low

*RES 1: 138-04  Intraday high

*PRICE: 137-19+ @ 11:41 GMT, Mar 6

*SUP 1: 135-12+ Low Mar 5 and key near-term support

*SUP 2: 134-09  Low Mar 3

*SUP 3: 133-14  Low Feb 28

*SUP 4: 132-25+20-day EMA

Treasuries maintain a clear bullish tone with bond markets rallying again today.

Futures have registered a fresh high of 138-04 and look set to move beyond this

level. Last week's impulsive rally 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 135-12+.

AUSSIE 10-YR TECHS: (H0) Still Elevated

*RES 3: 99.5002 - 3.0% Upper Bollinger Band

*RES 2: 99.4362 - 123.6% Fib projection of February Rally

*RES 1: 99.3800 - High Mar 06 and Alltime High

*PRICE: 99.3550 @ 16:30 GMT, Mar 6

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

*SUP 2: 98.5900 - Low Jan 3 

Aussie bonds were firm at the beginning of the week, but swiftly moderated once

more after the RBA and Fed rate cut effect was short-lived. Upside targets

remain at vol band resistance of 99.5002 and Fib projection levels at 99.4362.

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: (M0): Pointed Higher

*RES 3: 155.55 - 1.0% 10-dma envelope

*RES 2: 155.26 - High October  2019

*RES 1: 155.22 - High Mar 6

*PRICE: 155.01 @ 16:33 GMT, Mar 6

*SUP 1: 152.50 - 50-dma

*SUP 2: 151.62 - Contract lows, Dec 20

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

The solid gap higher last week continues to exert influence over prices

resulting in a decent rally Friday. This keeps the outlook materially bullish,

with momentum measures also pointed higher. With the roll completed, markets now

eye levels not seen since October last year as the near-term target. The 200-dma

switches to support at 153.54.

TSY FUTURES CLOSE: Hectic end to a hectic week! COVID-19 risk-aversion trumped

better than expected Feb employ data (+273k vs. +175k exp, mild weather widely

cited). Multiple circuit breakers triggered in long end rate futures even before

the opening bell as Tsy ylds fell to new all-time lows (10YY 0.6572%, 30YY

1.1846%) as offers evaporated in the face of heavy safe haven buying ahead the

weekend. Note: levels below reflect prices well after the close as equities

bounced (emini at 2970.0 after tapping 2900.0 on rate close. Update: 

* 3M10Y  +0.794, 29.372 (L: 11.542 / H: 36.054)

* 2Y10Y  -6.772, 24.106 (L: 19.713 / H: 33.104)

* 2Y30Y  -19.056, 74.888 (L: 68.68 / H: 95.199)

* 5Y30Y  -19.732, 66.392 (L: 62.151 / H: 86.835); Current futures levels:

* Jun 2-Yr futures up 3.625/32 at 109-24.125 (L: 109-19.125 / H: 110-00)

* Jun 5-Yr futures up 10.25/32 at 124-6.25 (L: 123-25.25 / H: 124-25.75)

* Jun 10-Yr futures up 29/32 at 137-14 (L: 136-15 / H: 138-12)

* Jun 30-Yr futures up 4-28/32 at 178-17 (L: 173-24 / H: 180-19)

* Jun Ultra futures up 11-30/32 at 223-00 (L: 211-22 / H: 226-24)

US EURODLR FUTURES CLOSE: Actually mixed after the bell, tail end of whites

through Greens trading lower/near lows, Blues-Golds outperforming, while short

end higher but well off absurd mid-morning highs as mkt priced in multiple rate

cuts. See MNI Policy story: Ex-Fed Blinder: FOMC To Surprise With Next Cut, main

wire at 1525ET. Current White pack (Mar'20-Dec'20): 

* Mar 20 +0.010 at 99.065 vs. 99.23 high

* Jun 20 +0.025 at 99.355 vs. 99.495 high

* Sep 20 +0.025 at 99.435 vs. 99.570 high

* Dec 20 +0.010 at 99.40 vs. 99.54 high

* Red Pack (Mar 21-Dec 21) -0.005 to +0.005

* Green Pack (Mar 22-Dec 22) steady to +0.010

* Blue Pack (Mar 23-Dec 23) +0.020 to +0.040

* Gold Pack (Mar 24-Dec 24) +0.050 to +0.085

US DOLLAR LIBOR: Latest settles

* O/N -0.0024 at 1.0797% (-0.4880/week)

* 1 Month -0.1425 to 0.8626% (-0.5102/wk)

* 3 Month -0.1029 to 0.8960% (-0.5667/wk)

* 6 Month -0.0947 to 0.8798% (-0.4226/wk)

* 1 Year -0.0986 to 0.8457% (-0.5357/wk) 

US SWAPS: Given the breadth of the widening in the last few hours, it appears

there is some forced unwinding of narrowers going on. Risk-off and wider

LIBOR/OIS in-line with wider spds across the curve this week -- short end at

levels not seen in just over a year w/2Y spd cracking 13.0. Carry-over rate

paying, receiver unwinds in 2s-10s this morning, 2s10s and 5s10s spd curve

flatteners, light deal tied flow. Current spd levels:

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

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

1330       +4.00/+12.50   +3.88/+10.50  +5.12/+5.75    +3.75/-36.50

1015       +4.62/+13.12   +3.25/+9.88   +3.75/+4.38    +0.75/-39.50

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

Fri 0745   +4.00/+12.50   +1.75/+8.38   +3.12/+3.75    +0.50/-39.75

Thu 1500   +2.19/+7.75    +0.25/+6.25   +0.56/-0.19    -0.50/-41.06

Thursday recap: Mostly wider after the bell, 2Y off late morning highs. Short

end spds continued to surge wider by midday (10Y dis-inverts back to early 2019

levels), pulling much of the spd curve higher w/the exception of 30Y. Heavy

two-way in 2s-5s amid better rate paying on net, some payer unwinds in the mix,

2s10s spd curve flatteners, decent deal-tied selling as well.

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

* Daily Effective Fed Funds Rate: 1.09%, volume: $78B

* Daily Overnight Bank Funding Rate: 1.08%, volume: $176B

US TSYS: REPO REFERENCE RATES:

* Secured Overnight Financing Rate (SOFR): 1.12%, $1.254T

* Broad General Collateral Rate (BGCR): 1.11%, $497B

* Tri-Party General Collateral Rate (TGCR): 1.11%, $472B

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

07-Mar Federal Reserve enters Blackout period through March 19

09-Mar 1100 Mar NY Fed expectations survey

PIPELINE: $31.75B priced on week, $32.75B for month

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

No new issuance Friday

-

$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:

* 5,500 Jun 93/96/100 call flys, 7.0

* +10,000 Green Jun 93/96 call spds, 10.5

* +10,000 Dec 88/90 call spds, 11.0

Block, 1209:30ET

* 20,000 Mar 87/88 call spds, 11.5

Block, 1132:12ET

* 12,750 short Sep 83 puts, 0.5 vs. 99.51

* 10,000 short Mar 92/93 call spds, 11.0

* +6,000 Mar 92/93 call spds, 1.5

* +20,000 Green Jun 93/96 call spds, 10.5 vs. 99.37/0.22%

* +5,000 short Sep 100/102 call spds, 2.0

* +5,000 Mar 88 puts, 1.25

Block, 1038:30ET

* 10,000 Jun 95/97 call spds, 8.5 vs. 99.40/0.35%

Blocks,

* 145,000 Apr 90 calls, 42.0 (no hedge) at 0920:49ET with more on screen

* 72,500 May/Jun 90 call spds, 0.5 at 0918:33ET

Elsewhere on screen

* over 32,000 Dec 100 calls, 1.5

Block, 0852:4ET

* 10,000 Jun 95/97 1x3 call spds, 3.5

Block, 0849:55ET

* 10,000 short Jun 93/95/96/97 call condors, 3.5 net

Blocks,

* 20,000 May 93 calls, 13.5 vs. 99.375/0.51% at 0742:57

* 6,235 Mar 92/95 2x1 call spds, 4.25 at 0737:46ET

Block, 0729:47ET

* 35,000 short May 96 calls, 8.5 vs. 99.49/0.35%

Blocks,

* 60,000 Mar 91/95 call spds, 6.0 vs. 99.115/0.40% at 0709-0718ET

* 20,000 May 93 calls, 14.0 at 0716ET

* 6,000 May 92 calls 21.0 at 0716ET

* 6,000 May 97 calls, 1.5 at 0716ET

* 20,000 Apr 93/95/96 call trees, 2.0 at 0624-0532ET

* 35,000 Apr 95/96 1x2 call spds, 0.5/2-legs over at 0602-0503ET

* 25,000 Jun 95/97 call spds, 6.0 vs. 99.375 at 0543-0544ET

* 10,000 Jun 93/95/96/97 call condors, 4.0 at 0504-0518ET

Tsy options:

* Update, -20,000 FVK 124.25 puts, 45/64 mostly on screen, 

opener sale (OI only 32 coming into the session)

* 3,000 USK 164 puts, 15/64 vs. 179-04

Scale seller 5Y puts mostly on screen

* -25,000 FVM 124 puts from 44.5- to 44/64

* 3,100 TYK 134.5 puts, 17/64 vs. 137-21

* 2,000 TYK 134 puts, 12/64

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

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