US TSYS: Whatever Is Necessary

US TSY SUMMARY: New week with worse risk-off tone, with S&P futures nearly

tapping 13% downside circuit breaker in early trade. Knock-on effect to Covid-19

virus spread projected to weigh heavily on world economies. 

- Group of Seven leaders said Monday they will do whatever is necessary to

stabilize the global economy in response to COVID-19, after earlier promises of

coordinated action were followed by national shutdowns and crashing financial

markets.

- Limited data, March Empire State: -21.5 lowest since 2009; Fed mute day after

unprecedented second intermeeting rate cut annc'd Sunday evening to 0.0-0.25%

range.

- US Chicago market makers adjusting to first day full electronic trade with CME

Group trading floor closed until further notice.

- The 2-Yr yield is down 13bps at 0.3599%, 5-Yr is down 22.6bps at 0.4905%,

10-Yr is down 24.2bps at 0.7182%, and 30-Yr is down 24.5bps at 1.2841%. 

TECHNICALS:

US 10YR FUTURE TECHS: (M0) Choppy Sideways Activity 

*RES 4: 141-21   3.236 projection of Jan 9 - Feb 3 rally from Feb 6 low

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

*RES 2: 140-24   High Mar 9 and bull trigger 

*RES 1: 139-13+ High Mar 10 

*PRICE: 137-27 @ 17:41 GMT, Mar 16

*SUP 1: 135-25+ Low Mar 13  

*SUP 2: 135-04   20-day EMA

*SUP 3: 134-09   Low Mar 3

*SUP 4: 133-14   Low Feb 28

10yr futures remain volatile and continue to trade below last week's 140-24

high. The strong uptrend has been in overbought territory for some time and we

continue to focus on the potential for a much needed technical correction. Key

support for now lies at Friday's 135-25+ low. A break would allow for a deeper

pullback opening 135-04, 20-day EMA and potentially the 50-day EMA at 132-24.

Initial firm resistance is at 139-13+, the Mar 10 high. 

     AUSSIE 3-YR TECHS: (M0) Still Trading Below The Mar 9 High 

*RES 4: 99.778 - 1.382 projection of Dec 31 - Feb 3 rally from Feb 6 low (cont)

*RES 3: 99.719 - 1.236 projection of Dec 31 - Feb 3 rally from Feb 6 low (cont)

*RES 2: 99.750 - High Mar 19 and the bull trigger

*RES 1: 99.680 - High Mar 13

*PRICE: 99.565 @ 18:43 GMT Mar 16

*SUP 1: 99.440 - Low Mar 16

*SUP 2: 99.300 - Recent low (cont)

*SUP 3: 99.225 - Low Feb 6 and 13 (cont)

*SUP 4: 99.180 - Low Jan 10, 14 and 15 (cont)

Aussie 3yr remains below the Mar 9 low. The recent pullback in price action is

considered corrective. This theme is seen likely to persist for now, unless

futures are able to trade above resistance at 99-680, Mar 13 high. A break of

the Mar 16 low would trigger deeper short-term losses and open the 99.300 level,

a recent low of the continuation chart. On the upside, clearance of 99-680 would

instead expose the key bull trigger at 99.75.

     AUSSIE 10-YR TECHS: (H0) Corrective Mode 

*RES 3: 99.5598 - 1.236 projection of the Jan 2 -Feb 4 rally from Feb 13 low 

*RES 2: 99.4850 - High Mar 10 and bull trigger 

*RES 1: 99.2600 - High Mar 12

*PRICE: 99.0300 @ 18:45 GMT, Mar 16

*SUP 1: 98.8775 - Low Mar 16

*SUP 2: 98.7848 - 61.8% retracement of the Jan 2 - Mar 10 rally (cont)

*SUP 3: 98.7150 - Low Jan 14

Aussie 10yr remains in a short-term downtrend as the correction that has

unfolded off the Mar 10 high of 99.4850 appears likely to extend. A break of the

Mar 16 low of 98.8775 would pave the way for weakness towards 98.7848 (cont),

76.4% retracement of the rally between Jan 1 and Mar 10. On the upside, a break

of resistance at 99.3600, Mar 12 high is needed to ease the current bearish risk

and open the 99.4850 bull trigger, Mar 10 high. 

     JGB TECHS: (M0): Still In Retreat Mode

*RES 3: 156.02 - High Mar 10 and key resistance 

*RES 2: 154.56 - High Mar 13

*RES 1: 153.50 - High Mar 16

*PRICE: 152.33 @ 18:47 GMT, Mar 16

*SUP 1: 152.52 - Low Mar 16

*SUP 2: 150.98 - Low Nov 29, 2018 (cont) 

*SUP 3: 150.00 - Psychological round number 

JGB futures remain vulnerable following the recent sharp sell-off that began off

the Mar 10 high of 156.02. Downside pressure is likely to persist with scope

seen for a break of the recent 151.52 low to open 150.98 next, low Dec 23

(cont). The 151.52 area also marks a key support area and if breached would

highlight a stronger bearish theme and open the psychological 150.00 handle

further out. On the upside, initial resistance is seen at 153.50, Mar 16 high. 

TSY FUTURES CLOSE: Mostly higher, TUM underperforming/on lows after the bell.

Latest levels

* 3M10Y  -17.181, 49.853 (L: 29.719 / H: 62.387)

* 2Y10Y  -9.619, 36.586 (L: 30.729 / H: 49.169)

* 2Y30Y  -4.779, 98.329 (L: 93.276 / H: 114.452)

* 5Y30Y  +4.519, 85.457 (L: 80.092 / H: 97.308); Current futures levels:

* Jun 2-Yr futures down 0.625/32 at 110-4.5 (L: 110-03.5 / H: 110-19)

* Jun 5-Yr futures up 20/32 at 124-26 (L: 124-18.5 / H: 125-22.25)

* Jun 10-Yr futures up 1-22/32 at 137-31 (L: 136-20 / H: 138-30.5)

* Jun 30-Yr futures up 3-26/32 at 180-15 (L: 177-28 / H: 182-21)

* Jun Ultra futures up 9-07/32 at 221-21 (L: 214-13 / H: 225-13)

Recap NY Fed operational purchases for today,

* 1400-1415ET: TIPS 7.5-30Y, $2.999B accepted of %5.688B submitted

* 1315-1330ET: Tsy 20-30Y, $5.001B accepted of $6.290B submitted

* 1230-1245ET: Tsy 7-20Y, $5.001B accepted of $9.2B submitted

* 1145-1200ET: Tsy 4.5-7Y, $9.001B accepted of $16.748B submitted

* 1100-1115ET: Tsy 2.25-4.5Y, $8.001B accepted of $21.594B submitted

* 1015-1030ET: Tsy 0-2.25Y, $10.1B accepted of $37.853B submitted

US EURODLR FUTURES CLOSE: Well bid across the strip, near top end of range,

Jun'20 near lead quarterly after Mar expired at 99.1106 (3M LIBOR set 0.8894,

+0.0462). Current White pack (Jun'20-Mar'21): 

* Jun 20 +0.115 at 99.615

* Sep 20 +0.060 at 99.680

* Dec 20 +0.040 at 99.630

* Mar 21 +0.055 at 99.660

* Red Pack (Jun 21-Mar 22) +0.085 to +0.150

* Green Pack (Jun 22-Mar 23) +0.165 to +0.200

* Blue Pack (Jun 23-Mar 24) +0.205 to +0.235

* Gold Pack (Jun 24-Mar 25) +0.260 to +0.280

US DOLLAR LIBOR: Latest settles

* O/N -0.8456 at 0.2393% (+0.0052 last week)

* 1 Month -0.1885 to 0.6116% (-0.0625 last wk)

* 3 Month +0.0462 to 0.8894% (-0.0529 last wk)

* 6 Month +0.0224 to 0.8438% (-0.0583 last wk)

* 1 Year -0.0022 to 0.8194% (-0.0239 last wk)

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

* Daily Effective Fed Funds Rate: 1.10%, volume: $65B

* Daily Overnight Bank Funding Rate: 1.10%, volume: $152B

US TSYS: REPO REFERENCE RATES:

* Secured Overnight Financing Rate (SOFR): 1.10%, $1.298T

* Broad General Collateral Rate (BGCR): 1.08%, $502B

* Tri-Party General Collateral Rate (TGCR): 1.08%, $470B

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

17-Mar 0830 Feb retail sales (0.3%, 0.2%)

17-Mar 0830 Feb retail sales ex. motor vehicle (0.3%, 0.1%)

17-Mar 0830 Feb retail sales ex. mtr veh, gas (0.4%, 0.3%)

17-Mar 0830 Mar NY Fed Business Leaders Index

17-Mar 0855 14-Mar Redbook retail sales m/m

17-Mar 0915 Feb industrial production (-0.3%, 0.4%)

17-Mar 0915 Feb capacity utilization (76.8%, 77.1%)

17-Mar 1000 Jan business inventories (0.1%, -0.1%)

17-Mar 1000 Mar NAHB home builder index (74, 73)

17-Mar 1000 Jan JOLTS job openings level (6423k, 6401k)

17-Mar 1000 Jan JOLTS quits rate (2.3%, --)

PIPELINE: Scant $6.2B priced last week ($38.95B on month)

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

03/14 No new issuance since Wednesday

- 

Given current stress tied to Covid-19 virus knock-on affect on markets, some

early chatter over Fed re-implementing an old policy tool: Commercial Paper

Funding Facility, CPFF lent a "liquidity backstop to U.S. issuers of commercial

paper." CPFF started in October 2008 and ran to Feb 2010. Link to Fed board of

govs': 

https://www.federalreserve.gov/monetarypolicy/cpff.htm

Eurodollar/Tsy options 

Eurodollar options:

* +10,000 May 96/97/98/100 call condors, 5.5

Block, 1332:14ET

* 12,491 Jun 100 calls, 0.5

Block, 1313-1342ET

* 30,000 Dec 95/97 call spds, 16.0

* -10,000 Dec 85/97 call spds, 16.0

* Update, near 32,000 Sep 93/97/100 call flys, 25.0

Block, 1125:39ET

* 10,000 Jun 95/97/100 call flys, 12.0

* 20,000 Sep 93/97/100 call flys, 25.0

* 3,500 Sep 93/95 call spds, 10.0

* 2,000 short Jun 91/93 call spds

* 7,500 Sep 83 puts, 0.5

* Update, over 10,000 short May 88 puts, 0.5

* Update, over 25,000 22,000 Apr 92 puts, 2.5

* near 22,000 Apr 92 puts, 2.5

* 15,000 Sep 97 calls, 6.0

Block, 0827:31ET

* 25,750 Apr 87/92 put spds 1.25 over Aug 100 calls

* 10,000 short Sep 90 puts

* 5,000 short Sep 92/93 put spds

* 2,500 Apr 87/92 put spds

Screen trade,

* +5,000 Apr 91 puts, 1.5

* +6,000 Jun 91 puts, 3.0

* 8,000 Jun 93/96/97 call trees

Overnight recap:

* Block, 12,500 Jun 96/98 call spds, 5.5 over short Jun 97/98 call spd

Tsy options:

over 9,000 TYK 134/135.5/137 put flys, 17- to 18/4

* just over 17,000 FVK 112 puts, 1/64

Block, 0816:42ET

* 11,696 TYJ 132.5 calls, 5-25/64 vs. 137-26/0.97%

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

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