US TSYS: MODEST RISK-OFF TONE INTO EXTENDED US HOLIDAY WEEKEND

     US TSY SUMMARY: Quiet end to the week, modest risk-off tone into extended

holiday weekend, rates firmer, equities mildly weaker. Markets alert to any new

COVID-19 virus updates.

- Tsy futures decent volume on the post-data chop/gap-range. Long end now

extending past overnight highs. Sources reported prop and fast$ buying

intermediates, real$ buying long end earlier followed by protracted two-way flow

w/better buyers on modest size into midday. Volumes tapered off late.

- Rates were trading sideways last couple hours but coming under mild pressure

after CNBC headline in Bbg: "WHITE HOUSE CONSIDERING TAX INCENTIVE TO BUY

STOCKS: CNBC". Equities were extending lows until the headline crossed,

bounced back to midday levels:

- DJIA  down 53.67 points (-0.18%) at 29417.84

- S&P E-Mini Future  down 2 points (-0.06%) at 3379

- Nasdaq up 9 points (0.1%) at 9742.555

- The 2-Yr yield is down 2bps at 1.4238%, 5-Yr is down 3.1bps at 1.4127%, 10-Yr

is down 3.1bps at 1.5866%, and 30-Yr is down 2.7bps at 2.0434%.

TECHNICALS:

US 10YR FUTURE TECHS: (H0) Trading Below Key Resistance   

*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: 131-02 @ 16:07 GMT, Feb 14

*SUP 1: 130-19+ Low Feb 12

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

*SUP 3: 129-30+ 50-day EMA

*SUP 4: 129-17+ Low Jan 23 

10yr futures played the recent range Friday, keeping the outlook somewhat

negative. From a technical perspective, the 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 and scope is seen for a move towards 129-30+,

an area of support highlighted by the 50-day EMA. Key near-term resistance has

been defined at 131-12+.

AUSSIE 10-YR TECHS: (H0) Plays the Range

*RES 3: 99.1700 - High Aug 16

*RES 2: 99.1550 - High Oct 9

*RES 1: 99.1200 - High Feb 4

*PRICE: 98.9600 @ 16:52 GMT, Feb 14

*SUP 1: 98.7150 - Low Jan 14 and key near-term support 

*SUP 2: 98.5900 - Low Jan 3 

*SUP 3: 98.5700 - Low Jan 2 and primary support

Aussie 10yr futures sat well within the recent range Friday. This keeps the

technical picture broadly unchanged and slightly negative. To the downside, the

initial focus is on 98.7150, Jan 14 low where a break is required to signal a

fresh round of stronger bearish pressure. 98.8600 is a key downside risk

parameter. To the upside, bulls must close above the 99.1200 mark to narrow the

gap with all time highs.

JGB TECHS: (H0): Flatlines

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

*RES 2: 153.21 - 100-dma

*RES 1: 153.13 - High Jan 31

*PRICE: 152.52 @ 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 recent losses again Friday and is still 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, near session highs after range trade

last three hours, moderate volume: TYH>1.2M, yld curves flatter for most part.

Update:

* 3M10Y  -2.277, 0.487 (L: -0.535 / H: 2.534)

* 2Y10Y  -1.175, 15.765 (L: 15.05 / H: 17.062)

* 2Y30Y  -0.948, 61.324 (L: 59.909 / H: 62.83)

* 5Y30Y  +0.078, 62.601 (L: 60.496 / H: 63.391); Current futures levels:

* Mar 2-Yr futures up 1.125/32  at 107-31.25 (L: 107-29.75 / H: 107-31.875)

* Mar 5-Yr futures up 4.5/32  at 119-27.75 (L: 119-22.5 / H: 119-29.5)

* Mar 10-Yr futures up 8.5/32  at 131-1 (L: 130-23.5 / H: 131-04)

* Mar 30-Yr futures up 20/32  at 162-16 (L: 161-26 / H: 162-26)

* Mar Ultra futures up 1-12/32  at 193-3 (L: 191-23 / H: 193-18)

US TSY FUTURES: Mar/Jun futures roll update -- still pretty muted, expect

volumes to surge next week. 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 13,400 from -5.88 to -5.5, -5.75 last; 12% complete

* FVH/FVM appr 18,400 from -12.5 to -12.0, -12.25 last; 9% complete

* TYH/TYM appr 10,300 from 3.75 to 4.25, 3.75 last; 6% complete 

* UXYH/UXYM appr 6,400 from 9.25 to 10.25, 9.75 last 

* USH/USM appr 4,200 from 30.50 to 30.75; 10% complete

* WNH/WNM appr 13,100 from -25.25 to -24.0, -24.5 last; 11% complete

US EURODLR FUTURES CLOSE: Moderately higher after the bell, near session highs

w/short end lagging. Current White pack (Mar'20-Dec'20):

* Mar 20 steady at 98.345

* Jun 20 +0.015 at 98.450

* Sep 20 +0.020 at 98.535

* Dec 20 +0.025 at 98.575

* Red Pack (Mar 21-Dec 21) +0.030 to +0.035

* Green Pack (Mar 22-Dec 22) +0.035 to +0.045

* Blue Pack (Mar 23-Dec 23) +0.045 to +0.050

* Gold Pack (Mar 24-Dec 24) +0.050

US DOLLAR LIBOR: Latest settles

* O/N +0.0027 at 1.5761% (-0.0012/week)

* 1 Month -0.0003 to 1.6582% (-0.0071/wk)

* 3 Month +0.0001 to 1.6917% (-0.0391/wk)

* 6 Month -0.0029 to 1.7100% (-0.0303/wk)

* 1 Year -0.0036 to 1.7983% (-0.0364/wk)

US SWAPS: Running mildly tighter, low end narrow range on decent rate receiving

over last hour in 2s, 3s and 5s, 2s3s10s receiver fly. Latest spd levels:

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

1115       -0.12/+2.75    -0.56/-0.69   -0.56/-5.56    -0.50/-32.75

0945       -0.06/+2.81    -0.38/-0.50   -0.50/-5.50    -0.50/-32.75

Fri Open   +0.00/+2.88    -0.25/-0.38   -0.50/-5.50    -0.44/-32.69

Fri 0715   +0.38/+3.25    -0.25/-0.38   -0.50/-5.50    -0.25/-32.50

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

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

Thursday recap: 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.

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

* Daily Effective Fed Funds Rate: 1.58%, volume: $69B

* Daily Overnight Bank Funding Rate: 1.58%, volume: $170B

US TSYS: REPO REFERENCE RATES:

* Secured Overnight Financing Rate (SOFR): 1.57%, $1.114T

* Broad General Collateral Rate (BGCR): 1.55%, $436B

* Tri-Party General Collateral Rate (TGCR): 1.55%, $420B

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

18-Feb 0830 Feb Empire Manufacturing Index (4.8, 5.0)

18-Feb 1000 Feb NAHB home builder index (75, 75)

18-Feb 1400 MN Fed Pres Kashkari on education amendment proposal

18-Feb 1600 Dec net TICS flows ($73.1B, --)

18-Feb 1600 Dec long term TICS flows ($22.9B, --)

PIPELINE: Slow finish to wk, Thu's Carrier Global was 5x oversubscribed!

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

02/14 $2B #Export Development Canada 3Y +5

-

$11.15B priced Thursday; just over $35B/wk

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

Note on Carrier Global: jumbo issue not as large as estimates ($15B) but still

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

specs scramble to cover shorts, adding to post 30Y auction gap bid, while Tsy

futures pared gains soon after. Also note, swap spds narrowed across the curve

on supply.

Eurodollar/Tsy options 

Eurodollar options:

* +7,000 Sep 87/88/90/92 call condors, 0.0 vs. 98.51/0.05%

* 4,000 Dec 92/95/97 call flys, 1.0

Soon to expire Feb option unwinds, vol sellers in general in light size

* -5,000 Blue Feb 86 puts, 0.5 (Feb options expire today)

* -3,000 Jun 83 puts, 4.0 vs. 98.47/0.10%

* -1,000 Red Jun 87 straddles, 53.0

* -8,000 Jun 83/85 strangles 5.0 over short Jun 90 calls

* 3,000 May 86 call vs. Green Dec 90/92 call spd, 2.25 net debit bull curve

steepener

* 2,500 short Mar 92/97 call spds, 0.5

* +2,500 Apr 83/86 call over risk reversals, 0.5

* 2,000 Sep 87/90/92 call flys, 2.0 vs. 98.57

* 2,000 Jun 87/90/91 1x3x2 call flys, 0.5 net/wings over

* 2,000 short Jun 87/90/91 1x3x2 call flys, 2.5 net/wings over

* +16,000 Jun 85/87 call spds, 4.75/screen

Salient overnight trade, Block recap

* Blocked +22,500 short Jun 83 puts, 2.5 vs. 98.695/0.15%

* 9,300 short Mar 87/90/92 call flys, 2.5

* 2,500 Jun 86/88/91 1x3x2 call flys, 1.25

* 20,000 Apr 85 calls

* 10,000 Apr 82 puts, cab

* 4,000 Jun 82/83 4x5 call spds, 23.5

Tsy options:

* +10,000 TYH 131.5 calls, 8/64

* 1,350 TYJ 129.5/132.5 strangles, 28/64

* Update, +10,000 TYK 132.5 calls 4/64 over TYJ 132 calls

* >-12,000 TYH 130.75 puts, 10/64 pit/screen

* +3,650 TYM 129 puts, 23/64

* -8,000 TYH 130.5/131.5 call spds, 8/64

* -2,500 TYH 130/132 strangles, 4/64

* +8,500 TYH 130/130.25 put spds, 2/64

Salient overnight trade, Block recap

* Block 8,000 TYJ 129.5/130 put spds, 11/64

* Block 5,000 USJ 156/157/158 put trees, 0.0

* 2,500 USH 160.5 puts, 11/64

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

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