US 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$]