US TSYS: Risk-On As Global Pandemic Restrictions Ease

US TSY SUMMARY: Rates broke lower in late trade, long end leading as equities

continued to surge (ESM0 +115.0, NDX +250.0). 

- Driving risk-on tone all day: easing or plans to ease global virus

restrictions in addition to hopes of fast-tracked vaccine Moderna's efficacy

(FOMO: fear of missing out apparently exacerbating the move). 

- USM0 neared May 6 next low: 178-01. Break through 178-01 brings USM0 back to

April 15 levels. TYM futures have pulled back today 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. Yld curves

on session highs.

- Jun/Sep Tsy futures roll volume has started to accelerate ahead first notice

on May 29, FVM/FVU continues to lead w/appr 103,300.

- The 2-Yr yield is up 3.4bps at 0.1792%, 5-Yr is up 6.7bps at 0.375%, 10-Yr is

up 8.8bps at 0.7306%, and 30-Yr is up 11.4bps at 1.4405%.

TECHNICALS:

US 10YR FUTURE TECHS: (M0) Pulling Away From The Range High  

*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 @ 18:48 BST, May 18

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

*SUP 2: 137-22 50-day EMA

*SUP 3: 137-16   Low Apr 7 and key near-term support

*SUP 4: 136-29+ Low Mar 24

10yr futures have pulled back today 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. 

AUSSIE 3-YR TECHS: (M0) Still Caught In A Range 

*RES 3: 100.000 - Handle Psychological Resistance

*RES 3: 99.840 - Range projection on a break of 99.780

*RES 1: 99.780 - High Apr 01 and bull trigger 

*PRICE: 99.745 @ 18:55 BST May 18

*SUP 1: 99.720 - Low Apr 14 / 15

*SUP 2: 99.714 - 50-dma

*SUP 3: 99.645 - Low Mar 20

The short-end of the Aussie bond market continues to trade close to the top of

its all time but is currently pulling back. The contract continues to trade

within a range in place since peaking at 99.780 on Apr 1. A break of this

resistance is required to confirm a resumption of the broader uptrend and open

99.840, a range projection and the 100.00 psychological level further out. The

base of the range at 99.720, low Apr 14/15 and marks the key near-term support.

TSY FUTURES CLOSE: Broadly weaker, just off late session lows on average volumes

(TYM>1.15M). Driving risk-on tone all day: easing or plans to ease global virus

restrictions in addition to hopes of fast-tracked vaccine Moderna's efficacy.

Yld curves steeper on wide range. Update: 

* 3M10Y  +9.454, 61.275 (L: 48.618 / H: 62.256)

* 2Y10Y  +5.727, 55.099 (L: 49.202 / H: 55.752)

* 2Y30Y  +8.299, 126.053 (L: 117.507 / H: 127.111)

* 5Y30Y  +4.834, 106.52 (L: 101.463 / H: 107.845); Current futures levels:

* Jun 2-Yr futures down 2/32 at 110-7 (L: 110-06.62 / H: 110-09.875)

* Jun 5-Yr futures down 10.5/32 at 125-12.75 (L: 125-11.75 / H: 125-25.5)

* Jun 10-Yr futures down 22.5/32 at 138-20 (L: 138-18 / H: 139-12.5)

* Jun 30-Yr futures down 2-18/32 at 178-12 (L: 178-02 / H: 181-04)

* Jun Ultra futures down 5-2/32 at 218-19 (L: 217-30 / H: 224-02)

US TSYS/SUPPLY: Tsy bill/note/bond auction schedule for this week. Note, $20B

20Y note auction on May 20, current WI is 1.145% / 1.30%.

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

19 May  1130ET   $65B    42D Bill     (912796UB3)

19 May  1130ET   $40B   119D Bill     (9127962G3)

19 May  1300ET   $31B    52W Bill     (9127962Y4)

20 May  1300ET   $20B    20Y Note     (912810SR0)

21 May  1130ET   TBA     4W Bill      19 May Annc

21 May  1130ET   TBA     8W Bill      19 May Annc

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 remains low with 5Y consistently leading.

* TUM/TUU appr 18,900 from -4.75 to -4.12, -4.25 last; <7% complete

* FVM/FVU appr 103,300 from 4.25 to 5.5, 5.25 last; <12% complete

* TYM/TYU appr 65,900 from 7.5 to 8.75, 8.5 last; <6% complete 

* UXYM/UXYU 8,700 from -11.25 to -10.0, -10.0 last; <2% complete

* USM/USU 5,500 from 1-16.75 to 1-17.25, 1-16.75 last; <3% complete

* WNM/WNU 14,700 from 1-17.5 to 1-18.25, 1-17.5 last; <8% complete

US EURODLR FUTURES CLOSE: Broadly weaker across  the strip, at/near lows with

long end leading move. (Fed funds futures weaker as well, 2021 sector -0.020,

FFN1 still at par. Current White pack levels:

* Jun 20 -0.003 at 99.673

* Sep 20 -0.015 at 99.70

* Dec 20 -0.025 at 99.680

* Mar 21 -0.025 at 99.760

* Red Pack (Jun 21-Mar 22) -0.04 to -0.025

* Green Pack (Jun 22-Mar 23) -0.075 to -0.05

* Blue Pack (Jun 23-Mar 24) -0.095 to -0.08

* Gold Pack (Jun 24-Mar 25) -0.105 to -0.10

US DOLLAR LIBOR: 

* O/N -0.0022 at 0.0598% (+0.0009 last wk)

* 1 Month -0.0016 to 0.1707% (-0.0255 last wk)

* 3 Month -0.0038 to 0.3766% (-0.0540 last wk)

* 6 Month -0.0308 to 0.6281% (-0.0289 last wk)

* 1 Year -0.0371 to 0.7182% (-0.0275 last wk)

US SWAPS: Spds mostly tighter, holding narrow range, 10Y resisting move all day.

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

Mon 1500  -0.88/+9.25    -0.50/+3.25    +0.12/-1.88    -0.38/-47.38

1300      -1.12/+9.00    -0.06/+3.69    +0.12/-1.88    -0.25/-47.25

1115      -0.75/+9.38    +0.00/+3.75    +0.19/-1.81    -0.25/-47.25

0945      -0.12/+10.00   +0.25/+4.00    +0.00/-2.00    -0.50/-47.50

Mon Open  +0.06/+10.19   +0.31/+4.06    +0.25/-1.75    +0.00/-47.00

Fri 1500  -0.25/+10.00   +1.00/+3.75    +1.12/-2.00    +1.00/-47.00

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): 0.05%, $1.127T

* Broad General Collateral Rate (BGCR): 0.04%, $471B

* Tri-Party General Collateral Rate (TGCR): 0.04%, $450B

FED: FED: RECAP NY Fed operational purchase for Monday

* Tsy 20Y-30Y, $1.400B accepted of $4.237B submitted, some exclusions

* TIPS 1Y-7.5Y, $1.500B accepted of $2.988B submitted

-

NY Fed operational purchases schedule for Tuesday ($9.5B)

* 0930-0950ET: Tsy 0-2.25Y, appr $9.5B

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

19-May 0830 Apr housing starts (1.216m, 923k)

19-May 0830 Apr building permits (1.350m rev, 1.000m)

19-May 0855 16-May Redbook retail sales m/m

19-May 1000 Fed Chair Powell and Tsy Sec Mnuchin Senate Banking Comm testimony

19-May 1000 Mn Fed Pres Kashkari on economy

19-May 1130 US Tsy $65B 42D Bill (912796UB3) auction

19-May 1130 US Tsy $40B 119D Bill (9127962G3) auction

19-May 1300 US Tsy $31B 52W Bill (9127962Y4) auction

19-May 1400 Boston Fed President Eric Rosengren

PIPELINE: Pfizer 4pt launched, leads w/$4B

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

05/18 $4B #Pfizer Inc $750M 5Y +55, $1B 10Y +100, $1B 20Y +115, $1.25B 30Y +130

05/18 $2.5B *Intercontinental Exch $1.25B each 10Y +145, 30Y +165

05/18 $1.5B #Equinor $750M each +5Y +145, 10Y +170

05/18 $750M #Alcon Finance 10Y +190

05/18 $750M #RELX Capital 10Y +235

05/18 $400M *Evergy Metro WNG 10Y +155

05/18 $400M #Piedmont Natural WNG 30Y +195

05/18 $400M #Duke Energy Ohio WNG 10Y +140

Later in week:

05/19 $1B Kingdom of Belgium 10Y +37a

05/19 $Benchmark Rentenbank 5Y Global

05/19 $Benchmark Quebec 10Y +68a

05/?? $Benchmark HSH Portfoliomanagement investor calls

Eurodollar/Tsy options

Eurodollar options

* -11,650 Jun 96 straddles from 8.0 to 7.5

* near 4,000 TUM 110.25 puts, 1/64

* 2,000 TYM 137/138 put spds

* Update, +12,000 TYM 138.5 puts, from 3- to 6/64

* +6,000 Sep 88/91/93 put flys, cab

* 1,000 Jun 96/97/98 call flys, 5.0

* 1,000 Red Dec'21 95/97/100 call flys, 11.0

Tsy options:

* +3,000 TYM/TYN 139 call spds, 23/64

* +1,000 FVM 126.5calls, 0.5/64

* -2,800 USQ 164 puts, 17/64

* Update, appr -7,500 TYM 138.5 calls from 1-10- to 60/64

* Update, +15,000 TYM 138.5 puts, from 3- to 9/64

* -5,000 TYU 139/140 call spds, 23/64

* -3,600 TYU 138.5/140/141.5 call spds, 19- to 18/64

* near 4,000 TUM 110.25 puts, 1/64

* 2,000 TYM 137/138 put spds

* Update, +12,000 TYM 138.5 puts, from 3- to 6/64

* +10,000 TYN 139.5/141 call spds vs. TYN 138 puts, even net

* 3,000 TYN 138/139 put spds

* 1,250 TYN 139.5/140.5/141 broken call flys

* 2,000 FVN 126.5/127.5 call spds 4.5/64

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

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