US TSYS:YLDS RACE TO BOTTOM, MKT GETTING USED TO RISK AVERSION

US TSY SUMMARY: Risk aversion support for rates returns after the midweek

reversal. Tsys more than made up for Wed's sale as virus risk returned, Fri's

monthly jobs data taking a back seat to return of global COVID-19 spd. Tsy

futures seemed reluctant to revisit earlier highs, however, even as equities

continue to extend the late sell-off (emini -105.0). 10YY dipped below 0.90 for

the first time earlier to 0.8976%, 0.9168% last. Yld curves little flatter.

- Short end rates pricing in another 50bp cut at the next FOMC meeting:

Eurodollar futures were well bid across the strip, Whites lagging Reds-Golds. 

- Massive option volume continues amid better upside call buyers hedging

multiple rate cuts through summer (June 100 call buyers late), sellers taking

profits or rolling out and up.

- Swap spds mostly wider, 2Y off highs. Short end surged wider 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.

- The 2-Yr yield is down 11.7bps at 0.5756%, 5-Yr is down 11.6bps at 0.6668%,

10-Yr is down 13.7bps at 0.9152%, and 30-Yr is down 14.5bps at 1.5567%.

TECHNICALS:

US 10YR FUTURE TECHS: (M0) Bulls Still In Charge

*RES 4: 138-02+2.236 projection of Jan 9 - Feb 3 rally from Feb 6 low

*RES 3: 137-07  2.000 projection of Jan 9 - Feb 3 rally from Feb 6 low

*RES 2: 137-00  Round number resistance

*RES 1: 136-23  High Mar 3

*PRICE: 136-17+ @ 11:45 GMT, Mar 5

*SUP 1: 134-09  Low Mar 3

*SUP 2: 133-14  Low Feb 28

*SUP 3: 132-25+20-day EMA

*SUP 4: 131-30  High Feb 3 and former breakout level

Treasuries trend conditions are unchanged and remain bullish. The contract

traded to a fresh high print Tuesday of 136-23. 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.

TSY FUTURES CLOSE: Seem to be reluctant to revisit earlier highs even as

equities continue to extend the late sell-off. 10YY did dip below 0.90 for the

first time earlier to 0.8976%, 0.9168% last. Yld curves flatter but off lows.

Short end rates pricing in another 50bp cut at the next FOMC meeting. Update: 

* 3M10Y  -3.243, 28.898 (L: 22.609 / H: 32.036)

* 2Y10Y  -2.199, 33.169 (L: 32.753 / H: 37.222)

* 2Y30Y  -3.277, 97.071 (L: 96.481 / H: 102.747)

* 5Y30Y  -3.055, 88.581 (L: 87.648 / H: 92.368); Current futures levels:

* Jun 2-Yr futures up 3.625/32 at 109-20.75 (L: 109-13.5 / H: 109-22.22)

* Jun 5-Yr futures up 9.5/32 at 123-28.75 (L: 123-08 / H: 123-31.5)

* Jun 10-Yr futures up 19/32 at 136-19 (L: 135-12.5 / H: 136-23)

* Jun 30-Yr futures up 1-24/32 at 173-28 (L: 170-18 / H: 174-08)

* Jun Ultra futures up 3-14/32 at 211-22 (L: 205-10 / H: 212-15)

US EURODLR FUTURES CLOSE: Well bid across the strip, Whites lagging Reds-Golds

even as short end prices in another rate cut at the March 17-18 FOMC. Current

White pack (Mar'20-Dec'20): 

* Mar 20 +0.052 at 99.067

* Jun 20 +0.050 at 99.340

* Sep 20 +0.035 at 99.415

* Dec 20 +0.050 at 99.395

* Red Pack (Mar 21-Dec 21) +0.055 to +0.060

* Green Pack (Mar 22-Dec 22) +0.060 to +0.065

* Blue Pack (Mar 23-Dec 23) +0.060 to +0.070

* Gold Pack (Mar 24-Dec 24) +0.075 to +0.080

US DOLLAR LIBOR: 

* O/N -0.0056 at 1.0821% (-0.4856/week)

* 1 Month -0.0111 to 1.0051% (-0.5102/wk)

* 3 Month -0.0017 to 0.9989% (-0.4638/wk)

* 6 Month -0.0142 to 0.9746% (-0.4226/wk)

* 1 Year -0.0232 to 0.9443% (-0.4371/wk)

US SWAPS: 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. Current spd levels:

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

1330       +2.00/+7.56    +0.50/+6.50   +0.62/-0.12    -0.81/-41.38

1115       +3.56/+9.12    +1.56/+7.56   +1.06/+0.31    -0.94/-40.50

0930       +2.75/+8.31    +0.38/+6.38   +0.00/-0.75    -1.19/-40.75

Thu Open   +1.25/+6.81    +0.25/+6.25   +0.00/-0.75    -0.94/-40.50

Thu 0700   +1.06/+6.62    +0.31/+6.31   +0.12/-0.62    -0.69/-40.25

Wed 1500   -0.44/+5.75    -0.37/+6.00   +1.00/-0.75    -0.56/-39.62

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

* Daily Effective Fed Funds Rate: 1.09%, volume: $80B

* Daily Overnight Bank Funding Rate: 1.08%, volume: $194B

US TSYS: REPO REFERENCE RATES:

* Secured Overnight Financing Rate (SOFR): 1.23%, $1.261T

* Broad General Collateral Rate (BGCR): 1.22%, $485B

* Tri-Party General Collateral Rate (TGCR): 1.22%, $459B

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

06-Mar 0830 Feb nonfarm payrolls (225k, 175k)

06-Mar 0830 Feb private payrolls (206k, 160k)

06-Mar 0830 Feb unemployment rate (3.6%, 3.6%)

06-Mar 0830 Feb average hourly earnings (0.2%, 0.3%)

06-Mar 0830 Feb average workweek, all workers (34.3hrs, 34.3hrs)

06-Mar 0830 Jan trade balance (-$48.9B, -$46.1B)

06-Mar 0920 Chi Fed Pres Evans, Shadow Open Mkt Comm Meeting, NY

06-Mar 1000 Jan wholesale inventories (-0.2%, -0.2%); sales (-0.7%, --)

06-Mar 1100 Q1 St. Louis Fed Real GDP Nowcast

06-Mar 1115 Q1 NY Fed GDP Nowcast

06-Mar 1120 StL Fed Bullard, Shadow Comm event, NY

06-Mar 1400 NY Fed Pres Williams Shadow Open Mkt Comm Meeting, NY

06-Mar 1500 Jan consumer credit ($22.1B, $16.75B)

06-Mar 1530 KC Fed Pres George Shadow Open Mkt Comm Meeting, NY

07-Mar Federal Reserve enters Blackout period through March 19

PIPELINE: Daimler Finance finally launched

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

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 $1.25B #Kommunalbanken 5Y +15

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

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

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

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

Eurodollar/Tsy options 

Eurodollar options:

large blocks after the bell

* 10,000 Jun 95 calls, 7/64 at 1525:45ET

* 45,000 Sep 90/92/96 broken call flys, 1.0 at 1514-1515ET

* 40,000 Jul 93/96 call spds, 10.0 at 1508-1509ET

* 10,000 Red Jun 100 calls, 3.0

Flurry of chunky Blocks, 1351:00ET package

* 32,500 Sep 83 calls, 106.0

* 25,000 Sep 85 calls, 94.0

* 57,500 Sep 86 calls, 82.0

* 20,000 short May 96/98 call spds 4.5 vs. 99.42/0.18% at 1349:08ET

* 12,500 Jul 85/86 1x2 call spds vs. 54,000 Jul 90 calls at 1346:36ET

* 4,500 Sep/Dec 90/91/93/95 call condor strip, 6.75

* Update 50,000 Sep 87 calls, 69.5 vs. 99.435

* Update -90,000 Aug 95/97 1x2 call spds, 5.0

* -5,000 Sep 86/88/91 put flys, 2.0

* -5,000 Red Mar'21 93/95 strangles, 31.5

* +11,000 Jun 90 puts, 4.0

* +7,000 Red Jun'21 100 calls, 3.0

* +5,000 Sep 97/100 call spds, 2.5, this after Block buy of 10k Jun 97/100 call

spds earlier at 1.0

* Update, appr -115,000 Mar 92 calls, 0.5-0.75

Block, 1242:20ET

* 10,000 Jun 97/100 call spds, 1.0

* -20,000 Mar 92 calls, 0.5

* Update, over +40,000 short Jun 93/95/96/97 call condors, 3.5 on screen

Block,

* 15,000 Red Sep'21/Red Dec'21 90 put spds, 1.0 net at 0956:31ET

Package a couple minutes earlier:

* 10,000 Apr 93/95 call spds, 4.0

* 10,000 Jun 95/97 call spds, 4.0

* vs. 99.31/0.38% at 0954:49ET

Block, 0930:07ET,

* +40,000 Apr/May 87 put strip, 1.5, more bought in pit

* BLOCK 40,750 Jun 95/96/97 1x1x2 call trees, 1.0 net at 0921:56ET

* +10,000 Sep 96/97 1x2 call spds, 1.0

* +10,000 Mar 88/90 put spds, 2.25

* +8,000 Jul 93/96 call spds, 11.5

* Update total 50,000 Aug 95/97 1x2 call spds, 5.0 vs.99.38/0.16%

* 30,000 Aug 95/97 1x2 call spds, 5.0 vs.99.38/0.16%

Update pit/block, 1x2 package is a strip sale, 19.5

* -60,000 Apr 93/95 call spds 4.5 w/

* -120,000 Jun 91/92 call spds 7.5 vs. Jun'20 99.305

Block, 0845:36ET,

* +15,000 Mar 91/92 call spds 1.0

In pit:

* 10,500 Sep 97 calls 2.0 vs. 99.38

* 10,500 short Jul 96/97 call spds, 4.5 vs. 99.38

* +10,000 Jun 96/97 call spds, 1.5

* 10,000 Mar 90 calls, 4.0 vs. 99.005/0.05

Adding to prior block, 1x2 package is a strip sale

* -20,000 Apr 93/95 call spds 4.5 vs.

* -40,000 Jun 91/92 call spds 7.5 vs.

* 8,000 Jun'20 99.305

* +50,000 May 87 puts, 1.0

Block, 0834:37ET,

* 10,000 Apr 93/95 call spds 4.5 vs.

* 20,000 Jun 91/92 call spds 7.5 vs.

* 4,000 Jun'20 99.305

Block, 0808:01-:48ET,

* 50,000 Jun 86/88 call spds .5 over short Jun 87/88 call spds

Block, 0707:13ET,

* 49,750 May 91 puts, 5.5 vs.

* 39,800 May 92 puts, 10.0 vs.

* 2,786 EDM 99.30

Overnight trade, Block recap:

* Block +20,000 Dec 85/90 call spds, 44.5 vs. 99.33/0.18%

* Block +5,000 Green Jun 95/97 call spds, 4.5 vs. 99.27/0.17%

Tsy options:

* +20,000 TYJ 147/147.25 call strip, 2/64 in the pit

* +23,000 TYJ 138/139/140/141 call condors, 8/64 on screen

* Update, 17,000 FVM 125.5/126.5 call spds, 9.5- to 10/64

* 2,250 TUM 110/110.25 1x2 call spds, 1/64

* 1,000 USJ 169/171 put spds, 33/64

Ongoing theme, call condor buyer targets April after

amassing huge position in Jun since yesterday

* 25,000 FVJ 124.75/125.25/125.5/126 call condors on screen

* -2,000 TYM 109.25 puts, 7/64

* -2,500 TUM 109 puts, 3.5/64

* +20,000 TYK 126.5/127.5/129 call trees, 2/64 on screen ahead the bell

* +6,000 TYK 136/138 2x3 call spds, 26/64 on screen

Block, 0638:39ET,

* +10,000 FVM 125/125.5/126.25/127.25 call condors, 2.5/64 (this after buying

just over 115,000 FVM 125/125.5/126.25/126.75 call condors at 3.5/64 through

Wednesday)

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

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