US TSYS: RISK-ON GAINS MOMENTUM, NEW HIGHS FOR EMINIS

US TSY SUMMARY: Risk-on theme gained momentum for the second consecutive session

as markets continue to discount pandemic risk from spd of Covid-19 virus. Rates

traded weaker vs. equities making new all-time highs (eminis 3377.5 in late

trade), gold eased 1.55 while WTI crude gained like amount.

- Implied vol under pressure all day, real vol failed to deliver: no substantive

data, nothing substantive from Fed chair as Powell testified to congress for

second day. 

- Decent 10Y auction for a slow day: right on the screw, US Tsy $27B 10Y note

auction (912828Z94) awarded 1.622% rate (1.869% last month) vs. 1.622 WI; 2.58

bid/cover (2.45 previous). Indirects drew 61.32% vs. 55.19%, directs 14.17% vs.

16.11%, and dealers with 23.92% vs. 28.70% prior.

- Dearth of swappable corporate issuance on day after near $24B priced Mon-Tues.

Appr 20,000 FVH Block sales on day weighed on front end.

- The 2-Yr yield is up 1.4bps at 1.4377%, 5-Yr is up 2.3bps at 1.4437%, 10-Yr is

up 2.9bps at 1.6299%, and 30-Yr is up 2.4bps at 2.0903%.

TECHNICALS:

US 10YR FUTURE TECHS: (H0) Weaker Tone Returns  

*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: 130-22+ @ 16:01 GMT, Feb 12

*SUP 1: 130-07   Low Jan 29 and key near-term support

*SUP 2: 129-28+ 50-day EMA

*SUP 3: 129-17+ Low Jan 23

*SUP 4: 129-12   Low Jan 22 

10yr futures traded lower again Wednesday. Sharp losses between Feb 3 and Feb 6

are expected to weigh on price and  the recent recovery between Feb 6 - Feb 10

was viewed as a correction. Last week futures cleared support at 130-30, the Jan

31 low and 130-13+, Jan 29 low signalling scope for a deeper pullback towards

129-28+, an area of support highlighted by the 50-day EMA. Resistance has been

defined at 131-12+.

JGB TECHS: (H0): Weaker Again

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

*RES 2: 153.21 - 100-dma

*RES 1: 153.13 - High Jan 31

*PRICE: 152.59 @ 16:16 GMT, Feb 12

*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 took a further knock Wednesday and re-circled on 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: Risk-on theme gained momentum for the second consecutive

session as rates traded weaker vs. equities making new all-time highs (eminis

3377.5 in late trade), gold eased 1.55 while WTI crude gained like amount. Yld

curves mildly steeper for the most part. Update:

* 3M10Y  +1.996, 5.125 (L: 1.331 / H: 5.734)

* 2Y10Y  +1.334, 18.847 (L: 16.764 / H: 19.366)

* 2Y30Y  +0.680, 64.725 (L: 63.168 / H: 65.679)

* 5Y30Y  -0.193, 64.159 (L: 63.872 / H: 65.333); Current futures levels:

* Mar 2-Yr futures down 1.625/32 at 107-30.375 (L: 107-29.875 / H: 107-31.375)

* Mar 5-Yr futures down 5.5/32 at 119-22.75 (L: 119-21.25 / H: 119-26.75)

* Mar 10-Yr futures down 10/32 at 130-22 (L: 130-19.5 / H: 130-30)

* Mar 30-Yr futures down 25/32 at 161-22 (L: 161-15 / H: 162-09)

* Mar Ultra futures down 1-12/32 at 191-8 (L: 190-25 / H: 192-07)

US TSY FUTURES: Late Mar/Jun futures roll update. 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 28,500 from -5.75 to -5.38, -5.62 last; 11% complete

* FVH/FVM appr 36,200 from -12.25 to -11.75, -12.0 last; 7% complete

* TYH/TYM appr 29,400 from 4.0 to 4.5, 4.25 last; 5% complete 

* UXYH/UXYM 1,000 from 10.25 to 10.5, 10.25 last 

* USH/USM appr 7,100 from 30.25 to 30.75, 30.5 last; 9% complete

* WNH/WNM appr 27,600 from -24.25 to -23.25, -23.75 last; 8% complete

US EURODLR FUTURES CLOSE: Second consecutive session weaker trade, futures near

late session lows as markets continue to discount pandemic risk from spd of

Covid-19 virus. Current White pack (Mar'20-Dec'20):

* Mar 20 -0.005 at 98.335

* Jun 20 -0.025 at 98.425

* Sep 20 -0.035 at 98.510

* Dec 20 -0.040 at 98.550

* Red Pack (Mar 21-Dec 21) -0.055 to -0.04

* Green Pack (Mar 22-Dec 22) -0.055 to -0.05

* Blue Pack (Mar 23-Dec 23) -0.055

* Gold Pack (Mar 24-Dec 24) -0.055

US DOLLAR LIBOR: Latest settles

* O/N +0.0029 at 1.5741% (-0.0032/week)

* 1 Month -0.0027 to 1.6501% (-0.0152/wk)

* 3 Month -0.0035 to 1.7037% (-0.0271/wk)

* 6 Month +0.00009 to 1.7254% (-0.0149/wk)

* 1 Year +0.0056 to 1.8127% (-0.0221/wk)

US SWAPS: Spds running directionally wider with higher Tsy ylds all session,

dearth of swappable corp supply adding to move. Latest spd levels:

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

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

Thu 1530   +1.12/+4.25    +1.06/+0.56   +1.00/-4.50    +1.00/-32.00

1300       +1.12/+4.25    +1.19/+0.69   +0.88/-4.62    +0.88/-32.12

1100       +1.44/+4.56    +1.00/+0.50   +0.81/-4.69    +0.75/-32.25

Wed Open   +0.62/+3.75    +0.44/-0.06   +0.12/-5.38    +0.50/-32.50

Tue 1500   -0.44/+3.12    -0.50/-0.50   -0.12/-5.50    -0.38/-33.00

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: $185B

US TSYS: REPO REFERENCE RATES:

* Secured Overnight Financing Rate (SOFR): 1.58%, $1.114T

* Broad General Collateral Rate (BGCR): 1.56%, $427B

* Tri-Party General Collateral Rate (TGCR): 1.56%, $415B

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

13-Feb 0830 08-Feb jobless claims (202k, 210k)

13-Feb 0830 Jan CPI (0.2%, 0.2%)

13-Feb 0830 Jan CPI Ex Food and Energy (0.1%, 0.2%)

13-Feb 1030 07-Feb natural gas stocks w/w

13-Feb 1245 Dallas Fedc Pres Kaplan, economic development forum, Tx, Q&A

13-Feb 1630 12-Feb Fed weekly securities holdings

13-Feb 1730 NY Fed Pres Williams, moderated discussion NY Bnkrs Assn

13-Feb 1130 US Tsy $50B 4W Bill (912796XB0) auction

13-Feb 1130 US Tsy $45B 8W Bill (9127962B4) auction

13-Feb 1300 US Tsy $19B 30Y Bond (912810SL3) auction

PIPELINE: Nothing in the pipeline for Wednesday as yet

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

$11.675B priced Tuesday, near $24B/wk

02/11 $5B *Novartis Capital Corp $1B 5Y +37, $1.25B 7Y +50, $1.5B +10K +62,

$1.25B +30Y +80

02/11 $2.7B *HCA Inc. 10.5NCL 3.5% *Upsized from $1B

02/11 $1.25B *Post Holdings 10.25NC5 4.625%

02/11 $1.1B *DTE Electric $600M 10Y +68, $500M 30Y +90

02/11 $1B *Sysco WNG 10Y +85, 30Y +125

02/11 $300M *Oshkosh WNG 10Y +155

02/11 $325M *Duke Realty 30Y +112

Eurodollar/Tsy options 

Eurodollar options:

* -15,000 Red Sep 78/82/86 put flys, 8.5

* Update, over +50,000 Dec 90/95 call spds, 5.5

* +3,000 Blue Feb 86/87 call spds, 1.0 vs. 98.57/0.20%

* +2,000 Jun 85/86/87 2x5x3 call flys, 0.5 net

* Update, over +20,000 Dec 90/95 call spds, 5.5

Additional first half trade

* +20,000 short Mar 87 calls, 4.5 vs. 98.65/0.31%

* +10,000 Mar 83 calls, 1.5 vs. 98.335/0.25%

* +10,000 Red Mar'21 90/95 call spds .25 over May 83/85 strangles

* -5,000 Apr 83 straddles, 10.0

* Update, screen volume over +62,000 Red Mar 90/95 call spds 8.5-9.0, another

+12k in pit at 8.5

* +5,000 short Apr 83/85 put spds, 2.25

* +5,000 short Jun 83/85/86/87 put condors, 4.0

* +5,000 short Feb 87 calls, 0.5 vs. 98.655

Block, 1000:54ET adds to -20k in pit

* -20,000 Jun 85 calls, 6.5 vs. 98.435/0.45%

* +10,000 Sep 81/82 2x1 put spds, 0.5

* +25,000 Sep 87/90/92 call flys, 1.5 (14k on screen)

* +10,000 Jul 82/83 put spds, 3.25

* 4,000 Jun 81 puts, 0.5

* 3,000 May 85/86/87 call flys. 1.0

* 6,000 Jun 86 calls, 4.25

Update screen trade by the open

* over 42,000 Red Mar 90/95 call spds 8.5-9.0, hear sale

* over +50,000 (27k screen) Dec 85 calls, 2.0

* over +23,000 Jun 86 calls, 4.5

* 10,000 May 82/83 put spds recently

* 11,000 Dec 95 calls, 2.0

* >21,000 Jun 86 calls, 4.5 last

* >25,000 Red Mar 90/95 call spds (5k Blocked earlier)

Tsy options:

Fives over Bonds (FOB) curve play

* 4,000 FVM 122.25 calls 8/64 vs. 1,000 USM 169 calls, 32/64

* +4,000 FVJ 119.5/120.5 strangles, 30/64

* +17,000 TYH 130.5/131.5 call spds, 20/64 mostly on screen, hear still bid

* -2,400 TYH 130/131.5 call over risk reversals, 0.0

* desks note ongoing buyer TYH 129 puts, cab-12

* +3,600 wk2 TY 132/132.75 1x2 call spds, 0.0, paper still bid

* +4,000 TYM 134 calls, 17/64 vs. 131-26.5/0.14%, scale buyer possibly servicer

related

* 1,000 TYH 130.75/131.25 2x1 put spds, 1/64

* 1,000 FVJ 119.5 puts, 11.5/64 vs. 119-23.5

* 1,000 TYJ 131/TYM 134 1x2 call spds, 5/64

Recap screen trade coming into session

* +20,000 FVH 119 puts, 1/64

* >14,000 TYH 130.25 puts, 7/64

* 3,500 TYH 129.25 puts, 1/64

* -6,500 USH 160 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$]