US TSYS: COVID-19 RECALC RENEWS PANDEMIC CONCERNS

US TSY SUMMARY: Risk-on tone from first half of the week moderated as China

officials changed method for calculating number of COVID-19 cases and

fatalities. Change caused huge spike in cases (14,840 cases vs. 2,015 day

prior), spooking markets in turn. Comparing data to annual flu fatalities

spurred sellers into strength, until mid-am on chatter made rounds China

underestimating number of cases by several orders of magnitude.

- Rates spiked again after Strong US Tsy $19B 30Y bond auction (912810SL3)

awarded 2.061% (2.341% last month) vs. 2.067% WI; w/ 2.43 bid/cover (2.54

prior). 

- First jumbo corp issuance of year: $9.25B Carrier Global 6-tranche from

3Y-30Y, hedging helped tether Tsys earlier, but initial estimate of $15B caught

some specs offsides, Tsys rallied as hedges lifted. Issuance also weighed on

swap spds, levels on lows late.

- Large -10k Eurodollar Red pack Block sale also weighed on short end. 

- The 2-Yr yield is up 1.4bps at 1.4377%, 5-Yr is up 2.3bps at 1.4437%, 10-Yr is

up 2.9bps at 1.6299%, and 30-Yr is up 2.4bps at 2.0903%.

TECHNICALS:

US 10YR FUTURE TECHS: (H0) Fades the Bounce  

*RES 4: 132-02+ High Oct 3 and Oct 7 and key resistance

*RES 3: 131-29 Feb 3 high

*RES 2: 131-20+ High Feb 4

*RES 1: 131-12+/16+ High Feb 10 / 76.4% of the Feb 3 - Feb 6 decline 

*PRICE: 130-24+ @ 16:50 GMT, Feb 13

*SUP 1: 130-19+ Low Feb 12

*SUP 2: 130-07   Low Jan 29 and key near-term support

*SUP 3: 129-29+ 50-day EMA

*SUP 4: 129-17+ Low Jan 23 

10yr futures faded an early bounce to keep the outlook somewhat negative

Thursday. The technical outlook remains bearish following the sharp losses

between Feb 3 and Feb 6. The recent recovery between Feb 6 - Feb 10 is viewed as

a correction. Scope is seen for a move towards 129-29+, an area of support

highlighted by the 50-day EMA. Resistance has been defined at 131-12+.

     JGB TECHS: (H0): Weaker Again

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

*RES 2: 153.21 - 100-dma

*RES 1: 153.13 - High Jan 31

*PRICE: 152.51 @ 16:56 GMT, Feb 13

*SUP 1: 152.35 - 50-dma

*SUP 2: 151.62 - Contract lows, Dec 20

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

JGBs sustained losses Thursday, re-circling 50-dma support. This keeps this

level top-of-mind for bears. To re-ignite bullish momentum, a break and close

above the 100- and 200-dmas layered just above would shift the outlook nicely

positive, but 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: Firmer after the bell to near middle wide session range on

heavy volume: TYH>2M. Update:

* 3M10Y  -2.112, 3.019 (L: -1.927 / H: 4.899)

* 2Y10Y  -1.722, 17.036 (L: 16.694 / H: 19.115)

* 2Y30Y  -1.985, 62.473 (L: 61.999 / H: 65.459)

* 5Y30Y  -0.840, 62.868 (L: 62.249 / H: 65.042); Current futures levels:

* Mar 2-Yr futures down 0.125/32  at 107-30.25 (L: 107-29.875 / H: 108-01.125)

* Mar 5-Yr futures up 0.75/32  at 119-23.5 (L: 119-21.75 / H: 119-31.5)

* Mar 10-Yr futures up 3/32  at 130-25 (L: 130-20.5 / H: 131-05.5)

* Mar 30-Yr futures up 8/32  at 161-30 (L: 161-20 / H: 162-26)

* Mar Ultra futures up 22/32  at 191-27 (L: 191-04 / H: 193-05)

US TSY FUTURES: Late session Mar/Jun futures roll update. Friday, February 28 is

first notice (June futures take lead quarterly position). 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 42,200 from -5.88 to -5.5, -5.5 last; 11% complete

* FVH/FVM appr 23,300 from -12.5 to -12.0, -12.0 last; 8% complete

* TYH/TYM appr 6,100 from 3.75 to 4.25, 4.25 last; 6% complete 

* UXYH/UXYM appr 2,000 from 10.0 to 10.5, 10.25 last 

* USH/USM appr 1,000 from 30.5; 9% complete

* WNH/WNM appr 19,500 from -24.5 to -23.5, -23.75 last; 11% complete

US EURODLR FUTURES CLOSE: Mildly higher after the bell -- lower half of range

after much stronger open. Large -10,000 Red pack block sale just ahead noon

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

* Mar 20 +0.005 at 98.345

* Jun 20 +0.015 at 98.440

* Sep 20 +0.010 at 98.520

* Dec 20 +0.005 at 98.555

* Red Pack (Mar 21-Dec 21) +0.005 to +0.010

* Green Pack (Mar 22-Dec 22) +0.010 to +0.015

* Blue Pack (Mar 23-Dec 23) +0.015 to +0.020

* Gold Pack (Mar 24-Dec 24) +0.020 to +0.030

US DOLLAR LIBOR: Latest settles

* O/N -0.0007 at 1.5734% (-0.0039/week)

* 1 Month +0.0084 to 1.6585% (-0.0068/wk)

* 3 Month -0.0121 to 1.6916% (-0.0392/wk)

* 6 Month -0.0125 to 1.7129% (-0.0274/wk)

* 1 Year -0.0107 to 1.8020% (-0.0328/wk)

US SWAPS: Directional correlation continues for second day, spds running

directionally tighter with lower Tsy ylds, on lows late as swappable corp supply

resumes ($9.25B Carrier Global six-tranche jumbo, largest of year so far) after

dearth of midweek issuance. Latest spd levels:

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

Thu 1500   -1.47/+3.06    -0.81/+0.06   -0.50/-5.00    -1.00/-32.50

1230       -0.72/+3.81    -0.50/+0.25   -0.31/-4.81    -0.50/-32.00

1000       -0.78/+3.75    -0.19/+0.56   -0.25/-4.75    -0.62/-32.12

Thu Open   -0.38/+4.15    +0.00/+0.75   +0.19/-4.31    -0.12/-31.62

Wed 1530   +1.12/+4.25    +1.06/+0.56   +1.00/-4.50    +1.00/-32.00

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

* Daily Effective Fed Funds Rate: 1.58%, volume: $74B

* Daily Overnight Bank Funding Rate: 1.58%, volume: $181B

US TSYS: REPO REFERENCE RATES:

* Secured Overnight Financing Rate (SOFR): 1.57%, $1.124T

* Broad General Collateral Rate (BGCR): 1.55%, $441B

* Tri-Party General Collateral Rate (TGCR): 1.55%, $424B

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

14-Feb 0830 Jan retail sales (0.3%, 0.3%)

14-Feb 0830 Jan retail sales ex. motor vehicle (0.7%, 0.3%)

14-Feb 0830 Jan retail sales ex. mtr veh, gas (0.5%, 0.3)

14-Feb 0830 Jan imports price index (0.3%, -0.2%)

14-Feb 0830 Jan exports price index (-0.2%, -0.1%)

14-Feb 0915 Jan industrial production (-0.3%, -0.2%)

14-Feb 0915 Jan capacity utilization (77.0%, 76.8%)

14-Feb 1000 Feb Michigan sentiment index (p) (99.8, 99.4)

14-Feb 1000 Dec business inventories (-0.2%, 0.1%)

14-Feb 1100 Q1 St. Louis Fed Real GDP Nowcast

14-Feb 1115 Q1 NY Fed GDP Nowcast (1.32%, --)

14-Feb 1145 Clev Fed Pres Mester payments modernization, Q&A

PIPELINE: *** LAUNCHED: Carrier Global multi-tranche jumbo (as well as Bnk of NZ

and Carlisle). Carrier Global not as large as estimates ($15B) but still largest

for year so far. Practical effect on market, less than expected had specs

running to cover hedges, adding to post 30Y auction gap bid, while Tsy futures

paring gains now. Also note, swap spds have narrowed across the curve on supply.

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

02/13 $9.25B #Carrier Global 6-tranche breakdown: 

----  $500M 3Y +50, $2B 5Y +80, $1.25B 7Y +95, $2B 10Y +110, $1.5B 20Y +130, $2B

30Y +150

02/13 $750M #Bank of New Zealand 5Y +68

02/13 $750M #Carlisle 10Y +128

02/13 $400M #Amphenol WNG 5Y +65

Rolled over to Friday:

02/14 $Benchmark Export Development Canada 3Y +7a

Eurodollar/Tsy options 

Eurodollar options:

* -30,000 Dec 83/87 call over risk reversals, 5.0 net vs. 98.575/0.67

* +20,000 Apr 85/86 call spds, 2.0 vs. 98.44/0.16%

* +25,500 Jul 86/87 call spds, 2.75

* -4,000 Jul/Sep 87 straddle strip, 74.5

Block, 1258:16ET,

* 12,000 short Jun 82/85 put spds, 5.0 vs. 98.675

* 7,500 short Mar 87/90/92 call flys, 2.5

* +6,000 Sep 81/82/83 2x3x1 put flys, 2.75

* 5,000 Jun/short Jun 80 put spds, 0.0

* -5,000 May 82/83 put spds, 3.0

* 2,000 Green Feb 86 puts, 0.5

* 1,000 Jun 83/85/86/87 call condors, 2.75

* +12,000 Apr 85 calls, 4.0 vs. 98.435/0.35%

* 10,000 Mar 82/83 2x1 put spds, 4.0 vs. 98.345/0.40%

* -8,000 Sep 87 calls, 8.0 vs. 98.53/0.30%

* +8,000 Apr 87/90 2x1 call spds 2.0 vs. 98.445/0.18% 2-leg over

* -6,000 Green Jul/Green Sep 83/86 3x2 put spd strip, 26.5-27.0

* +5,000 Apr 85 calls, 4.0

* -3,000 short Feb 86 puts, 1.0

Block, 0911:32ET,

* 15,000 Sep 85/87 call spds, 7.0 (huge OI in the 87 calls: 541k coming into

session)

* -25,000 Jun 86/Blue Jun 90 call spd, 0.0 net conditional bull curve flattener

* 1,000 Green Mar 87/88/90/91 call condors, 2.0

* 2,700 Sep 87/88/90/91 call condors, 1.0

* -5,000 Jun 81/82/83 put flys, 3.25

* 3,000 Mar 82/83 2x1 put spds, 4.0

Block, 0911:32ET,

* 10,000 short Mar 83/85 put spds, 1.0

* near 34,000 short Mar 92 calls, 0.5 on screen

* near 11,000 short Mar 88 calls, 2.5 (largely tied to 1x2 call spd w/EOH 92

calls)

* -5,000 Jun 81/82/83 put flys, 3.25

* 1,400 Apr/May/Jun 83 straddle strip, 40.0 earlier

Block, 0843:49ET,

* 10,000 Mar 82/83 2x1 put spds, 4.0

Overnight trade, Block recap

* Block 20,000 short Mar 85/88 put over risk reversals, 0.0

* 15,000 Jun 81/82/83 2x3x1 put flys

* 8,100 Sep 82/83 put spds vs. short Sep 83 puts

* 7,000 Feb 83 calls, cab

Tsy options:

* +6,000 FVJ 116.5 puts, .5/64

* 5,000 TYJ 132.5/TYM 134.5 call spds, 0.0 net vs. 130-21.5

* +2,500 TYM 134 calls, 16/64

* 3,850 TYK/TYM 127.5/128.5/129/130 put condor spd on screen

* +5,000 TYM 133 calls, 27/64 vs 130-28.5 -- ongoing early morning buyer

(servicer?) goes down in strike after loading up on TYM 134 calls

* sellers TYJ 130.5 straddles, 1-30/64 after buying overnight from 1-30 to 1-31

Salient overnight trade

* >14,000 TYH 130.25 puts, 6/64

* >7,900 TYH 131.25 calls, 13/64

* >9,800 TYJ 133 calls, 12/64

* >12,000 TYJ 129 puts, 9/64 last

* 10,000 USJ 154 puts, 7/64

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

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