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Free AccessUS TSYS: Doubt Cast On Moderna Vaccine In Late Trade
US TSY SUMMARY: Tsys bounced to new session highs after the bell Tuesday, late
risk-off after headlines re: Moderna (helped spurred Mon's risk-on move) cast
doubt on efficacy of vaccine. Equities sold off (ESM0 -31.0 at 2917.0 are still
higher for the week, while Tsys marched higher, yld curves reversing earlier
steepening.
- Otherwise, limited data elicited little react in Tsys despite U.S. building
permits for privately-owned housing units dropped -20.8% in April to 1.074M,
lowest lvl since Mar'14. Details of Fed chair Powell's testimony to Senate
Banking Committee released late Mon, while sit-down webcast w/Tsy Sec Mnuchin
did little to move mkts.
- Equities did add to Mon's rally after WMT gaine +3.1% on Q1 revs' of $134.62B,
note Japan and China eq mkts back to pre-Covid levels.
- Two-way deal- and option-tied hedges added to decent pick-up in Jun/Sep
futures roll volume.
- The 2-Yr yield is down 1.2bps at 0.1652%, 5-Yr is down 3.5bps at 0.3351%,
10-Yr is down 3.4bps at 0.6915%, and 30-Yr is down 2.1bps at 1.4154%.
TECHNICALS:
US 10YR FUTURE TECHS: (M0) Still Caught In A Range
*RES 4: 141-26 0.764 projection of Feb 6 - Mar 9 rally from Mar 19 low
*RES 3: 140-24 High Mar 9 and key contract high
*RES 2: 140-00 Round number resistance
*RES 1: 139-21/22 High May 15 / High Apr 21 and key resistance
*PRICE: 138-27 @ 18:55 BST, May 19
*SUP 1: 138-08+/06 Low May 06 / Low Apr 15
*SUP 2: 137-23+ 50-day EMA
*SUP 3: 137-16 Low Apr 7 and key near-term support
*SUP 4: 136-29+ Low Mar 24
10yr futures pulled back yesterday following a failure Friday to top key
resistance at 139-22, Apr 21 high. The pullback has left price trading within
the range that has developed over the past few weeks. The underlying theme is
bullish, however futures need to clear 139-22, Apr 21 high to confirm a
resumption of the uptrend and target 140-00 and beyond. On the downside,
clearance of 138-08+, May 6 low would be bearish and expose 137-16.
JGB TECHS: (M0): Still Holding Above Supports
*RES 3: 154.56 - High Mar 13
*RES 2: 153.50 - High Mar 16
*RES 1: 153.06 - High Mar 31 and key resistance
*PRICE: 152.25 @ 20:18 BST, May 19
*SUP 1: 152.15 - Low May 12
*SUP 2: 151.86 - Low Apr 9
*SUP 3: 151.59 - Low Mar 26
The (very) gradual recovery off the May 12 low stalled at Monday's high of
152.51. Price though remains above key support at 152.15, May 12 low. A break if
seen, would concern bulls and expose the 152.00 handle and support at 151.86,
Apr 9 low. An ability to hold above supports and more importantly a break of
153.06, Mar 31 high is required to confirm a bullish cycle and allow for a
recovery towards 153.30, Mar 16 high.
TSY FUTURES CLOSE: Tsys bounced to new session highs after the bell. Update:
* 3M10Y -4.693, 56.438 (L: 56 / H: 61.406)
* 2Y10Y -1.819, 52.425 (L: 52.108 / H: 56.44)
* 2Y30Y -0.306, 125.017 (L: 123.686 / H: 128.439)
* 5Y30Y +1.758, 108.068 (L: 105.592 / H: 109.11); Current futures levels:
* Jun 2-Yr futures up 1.125/32 at 110-8 (L: 110-06.75 / H: 110-08)
* Jun 5-Yr futures up 7/32 at 125-19.25 (L: 125-12.5 / H: 125-19.5)
* Jun 10-Yr futures up 13/32 at 139-0 (L: 138-18.5 / H: 139-00.5)
* Jun 30-Yr futures up 27/32 at 179-0 (L: 177-26 / H: 179-02)
* Jun Ultra futures up 47/32 at 219-18 (L: 217-18 / H: 219-25)
US TSYS/SUPPLY: Tsy bill/note/bond auction schedule. Note, $20B 20Y note auction
on May 20, current WI is 1.225% / 1.210%.
DATE TIME AMOUNT SECURITY (CUSIP)/ANNC
-------------------------------------------------
20 May 1130ET $40B 105D Bill (9127963X5)
20 May 1130ET $40B 154D Bill (9127964K2)
20 May 1300ET $20B 20Y Note (912810SR0)
21 May 1130ET $80B 4W Bill (9127962W8)
21 May 1130ET $70B 8W Bill (9127963F4)
21 May 1300ET $12B 10Y TIPS Reopen (912828Z37)
US TSY FUTURES: Late session roll update, long way to go ahead first notice on
May 29. Jun futures expire in mid-late June (10s, 30s and Ultras on 6/19; 2s &
5s 6/30). Percentage completion should pick up rapidly soon.
* TUM/TUU appr 55,700 from -4.38 to -4.12, -4.38 last; <8% complete
* FVM/FVU appr 68,400 from 5.25 to 6.0, 5.5 last; <15% complete
* TYM/TYU appr 92,400 from 8.25 to 9.25, 9.0 last; <8% complete
* UXYM/UXYU 13,900 from -10.0 to -9.0, -9.5 last; <5% complete
* USM/USU 3,600 from 1-16.75 to 1-17, 1-17 last; <4% complete
* WNM/WNU 24,600 from 1-17.5 to 1-18, 1-18 last; <9% complete
US EURODLR FUTURES CLOSE: Firmer, at/near session highs after the bell,
recovering appr half of Mon's move. Current White pack levels:
* Jun 20 +0.017 at 99.687
* Sep 20 +0.025 at 99.720
* Dec 20 +0.020 at 99.700
* Mar 21 +0.020 at 99.780
* Red Pack (Jun 21-Mar 22) +0.015 to +0.020
* Green Pack (Jun 22-Mar 23) +0.015 to +0.035
* Blue Pack (Jun 23-Mar 24) +0.040 to +0.050
* Gold Pack (Jun 24-Mar 25) +0.050
US DOLLAR LIBOR:
* O/N +0.0006 at 0.0604% (-0.0016/wk)
* 1 Month +0.0001 to 0.1709% (-0.0015/wk)
* 3 Month -0.0025 to 0.3741% (-0.0063/wk)
* 6 Month -0.0377 to 0.5904% (-0.0685/wk)
* 1 Year +0.0036 to 0.7219% (-0.0335/wk)
US SWAPS: Running mildly tighter for the most part, limited flow with some
two-way deal-tied hedging keeping levels anchored. Late spd levels:
Time(ET) 2Y Swap/Mid 5Y Swap/Mid 10Y Swap/Mid 30Y Swap/Mid
Tue 1600 +0.00/+9.00 -0.12/+3.38 -0.50/-2.12 -0.12/-47.75
1300 +0.12/+9.12 +0.19/+3.69 -0.19/-1.81 -0.06/-47.69
1100 +0.06/+9.06 -0.12/+3.38 -0.62/-2.25 -0.25/-47.88
0930 +0.47/+9.45 +0.00/+3.50 -0.38/-2.00 -0.12/-47.75
Tue Open +0.88/+9.88 +0.25/+3.75 +0.00/-1.62 +0.25/-47.38
Mon 1500 -0.88/+9.25 -0.50/+3.25 +0.12/-1.88 -0.38/-47.38
STIR: Federal Reserve Bank of New York EFFR for prior session:
* Daily Effective Fed Funds Rate: 0.05%, volume: $93B
* Daily Overnight Bank Funding Rate: 0.05%, volume: $225B
US TSYS: REPO REFERENCE RATES (rate, volume levels reflect prior session):
* Secured Overnight Financing Rate (SOFR): 0.04%, $1.130T
* Broad General Collateral Rate (BGCR): 0.03%, $473B
* Tri-Party General Collateral Rate (TGCR): 0.03%, $450B
FED: RECAP NY Fed operational purchase for Tuesday
* Tsy 0-2.25Y, $9.500B accepted of $29.871B submitted
-
NY Fed operational purchases schedule for Wednesday ($6.0B)
* 1010-1030ET: Tsy 4.5Y-7Y, appr $4.5B
* 1100-1120ET: TIPS 7.5Y-30Y, appr $1.5B
OUTLOOK: *** US Data/speaker calendar (prior, estimate):
20-May 0700 15-May MBA Mortgage Applications (0.3%, --)
20-May 1000 Q1 Service Revenue (1.3%, --)
20-May 1000 Atl Fed Bostic, Covid-19 response
20-May 1030 15-May crude oil stocks ex. SPR w/w
20-May 1130 US Tsys $40B 105D Bill (9127963X5) auction
20-May 1130 US Tsys $40B 154D Bill (9127964K2) auction
20-May 1200 StL Fed Pres Bullard on economy and Covid-19
20-May 1300 US Tsy $20B 20Y Note (912810SR0) auction
20-May 1400 Apr FOMC minutes release
PIPELINE: Most issuers launched, waiting for Rentenbank
Date $MM Issuer/Rating/Desc/Maturity/Yld; Priced *; Launch #
05/19 $3.5B #JP Morgan $2B 4NC3 fix/FRN +130, $1.5B 8NC7 fix/FRN +165
05/19 $3B #Abu Dhabi $1B each 5Y +135, 10Y +150, 30Y 3.25%
05/19 $2B Rentenbank 5Y Global +21
05/19 $1.6B #RBS $600M 4NC3 +215, $$1B 8NC7 +255
05/19 $1.5B *Quebec 10Y +67
05/19 $1.5B *Kingdom of Belgium 10Y +36
05/19 $1.5B #Five Corners Funding Trust 10Y +215
05/19 $1.5B #Scentre Management $750M each +5Y +340, 10Y +370
05/19 $500M #Kentucky Utilities 30Y +190
05/19 $600M #Arizona Public Service WNG 30Y +195
Eurodollar/Tsy options
Eurodollar options
* +4,000 Sep 95/96/98/100 call condors, 10.5 vs. 99.735/0.10%
* 15,000 Green Jun 95 puts, 1.0
* 6,000 Green Sep 98/100 call spds
* 2,000 Green Dec 85/86 put spds
* 2,500 Blue Sep 92/93/96 broken put trees
* 9,000 Blue Jul 67/98 3x2 call spds
* +7,200 Green Jun 96 puts, 3.0
* 5,000 short Jul 100/100.5 call spds
Tsy options:
* +6,000 TYN 136/137 put spds, 8/64
* little over +8,000 TYN 140/141 call spds, 8/64
* 1,000 TYU 138.5/140/140.5 broken call trees, 4/64
* 2,000 USN 174/180 call over risk reversals, 3- to 6/64 earlier
* +3,000 TYN 142 calls, 5/64, more offered
* -4,000 FVM 125.25/125.5/125.75/126 call condors, 10/64
Recap overnight trade,
* 10,900 TYM 137 puts 1/64
* 11,200 TYM 138 puts, 4/64
* 7,800 TYM 139.5 calls, 4/64
* 5,700 TYN 139.5 calls, 22/64
* 2,000 FVN, FVQ and FVU 125.5/126/126.25 call flys
* Overnight Block, 2,000 USN 176/178 put spds, 59/64
Reminder, June Tsy opts expire Friday, large number 10- and 5yr options coming
off. Options 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's) are auto-exercised.
ATM/OI recap, FINAL levels coming into session according to CME Group data:
* Calls Puts Total Nearest-the-Money Strike Totals
* Jun 30yr 255,454 419,966 675,420 178.00 w/ 28,115 (5,746c, 22,369P)
* 178.50 w/ 4,336 (2,036c, 2,300P)
* 179.00 w/ 13,173 (2,005c, 11,168P)
* Jun 10yr 1,136,254 1,659,148 2,795,402 138.75 w/ 18,156 (7,783c, 10,373p)
* 139.00 w/ 98,380 (56,817c, 41,563p)
* 139.25 w/ 27,266 (17,595c, 9,671p)
* Jun 5yr 680,785 1,278,851 1,959,636 125.25 w/ 41,485 (22,698c, 18,787p)
* 125.50 w/ 52,103 (34,608c, 17,495p)
* 125.75 w/ 27,099 (23,123c, 3,976p)
* Jun 2yr 229,794 318,034 547,828 110.12 w/ 67,495 (39,621c, 27,874p)
* 110.25 w/ 72,011 (65,649c, 6,542p)
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
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of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.