US TSYS: Inside Range Day, Focus On Fed Chair Powell Wed

     US TSY SUMMARY: Relative quiet week opener, awaiting Fed chair Powell

Wednesday morning. Inside range day for Tsys -- weaker but off late lows as rate

lock hedges unwound.

-  Recent blip higher/off lows likely tied to rate-lock unwinds from PayPal and

Walt Disney that between the 2 issued $15B ($4B and $11B resp) in debt across

the curve.

- Small stop through as US Tsy $42B 3Y Note auction (912828ZP8) awarded 0.230%

(0.348% last month) vs. 0.232% WI, bid/cover 2.54 vs. 2.27 previous.

- Still a long way to go before Jun futures expire in mid-late June (10s, 30s

and Ultras on 6/19; 2s & 5s 6/30). Nevertheless, starting to see pick-up in

Jun/Sep futures rolling, first notice on May 29. 

-  Note, support in 2021 Fed funds futures out to Dec'21 mostly/mildly weaker

but holding above 100.00.

- The 2-Yr yield is up 2.2bps at 0.1787%, 5-Yr is up 2.2bps at 0.3559%, 10-Yr is

up 3.5bps at 0.7179%, and 30-Yr is up 4.9bps at 1.4316%.

TECHNICALS:

US 10YR FUTURE TECHS: (M0) Still Within Its 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: 139-16/22  High May 8 / High Apr 22 

*PRICE: 138-27+ @ 16:17 BST, May 11

*SUP 1: 138-08+/06 Low May 06 / Low Apr 15

*SUP 2: 137-16   Low Apr 7 and key near-term support 

*SUP 3: 137-12   50-day EMA

*SUP 4: 136-29+ Low Mar 24

10yr futures are off Friday's 139-16 high. The failure last week to tackle key

resistance at 139-22, Apr 21 high leaves price trading within the range that has

developed over the past few weeks. The underlying theme remains bullish, however

futures need to clear 139-22 to confirm a resumption of the uptrend and target

140-00 and beyond. On the downside, clearance of 138-08+ would be a bearish

development and expose 137-16.

AUSSIE 10-YR TECHS: (M0) Needs to Top 99.20

*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: 99.3600 - High Apr 01

*PRICE: 99.0600 @ 16:22 BST, May 11

*SUP 1: 98.6300 - Low Mar 18

*SUP 2: 98.5700 - Low Jan 2

*SUP 3: 98.1828 - 1.0% 10-dma envelope

Markets started the week on the backfoot, erasing all the progress seen at the

beginning of last week. Bears now eye a slip through 99.02 to mark down the

outlook, opening further losses down to the late March lows of 98.63, but that

seems a way away at present. Any recovery eyes initially a break of resistance

at 99.3600, Mar 12 high. A break above here opens the 99.4850 bull trigger, Mar

10 high.

JGB TECHS: (M0): Testing Support

*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: 152.17 @ 16:27 BST, May 11

*SUP 1: 152.16 - Low Apr 07

*SUP 2: 150.61 - Low Mar 19

*SUP 3: 150.00 - Psychological round number 

Any residual strength continues to fade, returning JGB futures to the middle of

the recent range. Downside impetus picked up on a return back below the 152.44

mark for initial support, which opens 151.52/150.61 as well as the psychological

150.00 handle further out. The first upside target rests at 153.50 initially

ahead of 154.56.

US TSYS/SUPPLY: Balance of this week's Tsy bill/note/bond auction schedule:

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

-------------------------------------------------

12 May  1130ET   $65B    42D Bill     912796UA5

12 May  1130ET   $35B   119D Bill     912796TJ8

12 May  1300ET   $32B    10Y Note     912828ZQ6

13 May  1300ET   $22B    30Y Bond     912810SN9

14 May  1130ET   TBA     4W Bill      12 May Annc

14 May  1130ET   TBA     8W Bill      12 May Annc

TSY FUTURES CLOSE: Tsy futures continued to grind lower after tapping session

highs around midmorning -- levels near bottom of range amid burgeoning corporate

issuance rate lock hedging. Yld curves currently steeper. Update: 

* 3M10Y  +3.901, 60.258 (L: 54.715 / H: 60.832)

* 2Y10Y  +1.650, 53.881 (L: 51.409 / H: 54.4)

* 2Y30Y  +3.000, 125.266 (L: 122.204 / H: 126.726)

* 5Y30Y  +2.836, 107.585 (L: 105.221 / H: 109.004); Current futures levels:

* Jun 2-Yr futures down 1.75/32 at 110-7 (L: 110-06.75 / H: 110-09.375)

* Jun 5-Yr futures down 5.25/32 at 125-14.75 (L: 125-14.25 / H: 125-22.25)

* Jun 10-Yr futures down 9.5/32 at 138-21 (L: 138-19.5 / H: 139-02)

* Jun 30-Yr futures down 1-2/32 at 178-20 (L: 178-15 / H: 179-26)

* Jun Ultra futures down 2-0/32 at 217-29 (L: 217-14 / H: 220-07)

US TSY FUTURES: Still a long way to go before Jun futures expire in mid-late

June (10s, 30s and Ultras on 6/19; 2s & 5s 6/30). Nevertheless, starting to see

pick-up in Jun/Sep futures rolling, first notice on May 29. Session volume and %

complete update:

* TUM/TUU appr 4,300 from -4.75 to -4.38, -4.5 last; <4% complete

* FVM/FVU appr 22,600 from 4.25 to 4.75, 4.5 last; <5% complete

* TYM/TYU appr 10,500 from 7.5 to 8.25, 8.0 last; <4% complete 

* UXYM/UXYU appr 1,100 from -11.75 to -11.25, -11.25 last; <1% complete

* USM/USU appr 1,400 from 1-16.25 to 1-17, 1-16.75 last; <2% complete

* WNM/WNU appr 17,200 from 1-17.75 to 1-18.75, 1-18 last; <1% complete

US EURODLR FUTURES CLOSE: Weaker after the bell, near low end relatively narrow

session range. Note, support in 2021 Fed funds futures out to Dec'21

mostly/mildly weaker but holding above 100.00. Current White pack levels:

* Jun 20 -0.010 at 99.660

* Sep 20 -0.015 at 99.715

* Dec 20 -0.010 at 99.710

* Mar 21 -0.015 at 99.785

* Red Pack (Jun 21-Mar 22) -0.015 to -0.025

* Green Pack (Jun 22-Mar 23) -0.025 to -0.030

* Blue Pack (Jun 23-Mar 24) -0.030

* Gold Pack (Jun 24-Mar 25) -0.030 to -0.035

US DOLLAR LIBOR: Latest settles

* O/N +0.0006 at 0.0616% (+0.0026 last wk)

* 1 Month -0.0071 to 0.1909% (-0.1053 last wk)

* 3 Month -0.0011 to 0.4335% (-0.1062 last wk)

* 6 Month -0.0291 to 0.6589% (-0.0250 last wk)

* 1 Year -0.0172 to 0.7656% (-0.0526 last wk)

US SWAPS: Continued swappable corporate issuance weighing on spds, 5Y back near

inversion again. Latest spread levels:

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

Mon 1600  -1.50/+8.12    -1.12/+0.75    -1.25/-5.25    -1.50/-51.25

Mon Open  +0.38/+10.00   +0.38/+2.25    +0.00/-4.00    -0.25/-50.00

Mon 0700  +0.62/+10.25   +0.12/+2.00    -0.25/-4.25    -0.12/-49.88

Fri 1345  -0.62/+9.69    -1.00/+1.75    -0.50/-4.00    -0.75/-49.75

Friday recap: Spds running tighter across the curve in late Friday trade, modest

deal-tied hedging and two-way positioning ahead the weekend noted. Spds appr

2-4.0 bps tighter vs. prior week's late levels.

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

* Daily Effective Fed Funds Rate: 0.05%, volume: $85B

* Daily Overnight Bank Funding Rate: 0.04%, volume: $200B

US TSYS: REPO REFERENCE RATES (rate, volume levels reflect prior session):

* Secured Overnight Financing Rate (SOFR): 0.06%, $1.142T

* Broad General Collateral Rate (BGCR): 0.05%, $473B

* Tri-Party General Collateral Rate (TGCR): 0.05%, $448B

FED: Final NY Fed operational purchase for Monday

* TIPS 1Y-7.5Y, $1.750B accepted, $4.616B submitted

NY Fed operational purchases schedule for Tuesday

* 1010-1030ET: Tsy 0-2.25Y, appr $11B

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

12-May 0600 Apr NFIB Small Business Index (96.4, 83.0)

12-May 0830 Apr CPI (-0.4%, -0.8%)

12-May 0830 Apr CPI Ex Food and Energy (-0.1%, -0.2%)

12-May 0855 09-May Redbook retail sales m/m

12-May 0900 StL Fed Pres Bullard, eco outlook, OMFIF forum

12-May 0900 Mn Fed Pres Kashkari, eco outlook

12-May 0915 Dal Fed pres Kaplan live interview on CNN Int

12-May 1000 Philly Fed Pres Harker, Covid-19 impact, Delaware CoC

12-May 1000 Fed VC Quarles, Senate Bank Comm testimony, oversight

12 May 1130 US Tsy $65B 42D Bill auction (912796UA5)

12 May 1130 US Tsy $35B 119D Bill auction (912796TJ8)

12-May 1300 US Tsy $32B 10Y Note auction (912828ZQ6)

12-May 1400 Apr Treasury budget balance (-$160.3B, -$737.0B)

12-May 1700 Clev Fed Pres Mester, moderated Q&A, Chicago CFA

PIPELINE: Total $15B double tap of issuance weighed on Tsy futures last few

minutes: $11B Walt Disney 6pt and $4B PayPal 4pt.

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

05/11 $11B #Walt Disney Co 6pt: $1.5B 5Y +145, $1B 7Y +170, $2.5B 10Y +195,

$1.75B 20Y +210, $2.75B 30Y +220 and $1.5B 40Y +240. Back on March 19 Walt

Disney Co issued $6B, breakdown: $1.75B 5Y +270, $500M 7Y +270, $1.25B 10Y +270,

$750M 20Y +275 and $1.75B 30Y +285.

05/11 $4B #PayPal 4pt: $1B each 3Y +115, 5Y +130, 10Y +160, 30Y +185

05/11 $2B #Fiserv 7Y +175, 10Y +200

05/11 $1.5B #Nutrien $500M each 3Y +170, 10Y +225, 30Y +255

05/11 $1.5B *Becton Dickinson $750M each 10Y +210, 30Y +235

05/11 $700M #ITC Holdings 10Y +225

05/11 $550M #Quest Diagnostics WNG 11Y +210

05/11 $350M *Southwestern Public Service 30Y +175

Eurodollar/Tsy options

Eurodollar options

large trade on otherwise quiet week opener

* Update, appr -60,000 Dec 92/95/97 call flys sold on day at 7.0

* 15,000 Sep 97/98 call spds, hear two-way after acct sold some -100k last wk

4.0,

* +17,700 Sep 97/98 1x2 call spds at cab

* Update, appr 15,000 Dec 92/95/97 call flys sold from 8.0 to 7.0 earlier

Block, 0830-0832ET 20k Jun 93/96 2x1 call over combo, 5.5 net vs. 14,200 EDM0

99.65

* 9,000 May 96 calls, 4.0

* 3,000 Jun 93/96 2x1 combo

* 8,500 Sep 100 calls, 2.25 last

* 3,000 Sep 93/95/96 put flys

* 9,750 Dec 92/95/97 call flys

* 5,250 Dec 100 calls, 3.5

Tsy options:

* 13,200 FVU 127/128 call spds, checking premium

ratio 5s/30s steepener

* -4,000 FVN 124.5 vs. +1,000 USN 170 puts, 3/64 net cr

* -3,000 USM 173 puts, 8- to 9/64

* 2,500 USM 174 puts 15- to 12/64

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

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