US TSYS: The Day After Powell, Ylds Resume Slide Lower

US TSY SUMMARY: Another generally quiet despite another terrible weekly claims

figure of 2.98M, worse than estimated 2.5M but better than the 3.6M 4-wk avg.

Little to no react on data, rates did garner risk-off buying after Trump

expressed possibility of punitive action against China over trade. Nevertheless,

Tsys see-sawed in a relative narrow range for much of the session.

- Tsys receded off midday highs to session lows as equities recovered/trade

higher as financial names outperformed. Note, 30YY at 1.2980% still near 2 week

lows, compared to 1.1272% on April 22, and all-time low of 0.7050% on March 9.

- Eurodollar futures were mildly bid across the strip after after the bell,

short end reversed early losses apparently in react to Credit Suisse research by

Zoltan Poszar suggesting LIBOR/OIS to compress to 10-20bp by the end of June

(due to US$ swap lines and prime MMF inflows).

- Focus turned to April retail sales early Friday: -11.9% est vs. -8.4% revised

for Mar.

- The 2-Yr yield is down 0.4bps at 0.155%, 5-Yr is down 0.8bps at 0.3083%, 10-Yr

is down 2.3bps at 0.6298%, and 30-Yr is down 4.1bps at 1.3043%

TSY FUTURES CLOSE: Firmer across the curve after the bell on moderate volumes

(TYM<1M), off midday highs to near session lows as equities recovered to trade

higher on back of financial share names. Note, 30YY at 1.2980% near 2 week lows,

compared to 1.1272% on April 22, and all-time low of 0.7050% on March 9. Yld

curves flatter but off lows. Update: 

* 3M10Y  -1.638, 50.389 (L: 47.064 / H: 50.966)

* 2Y10Y  -2.116, 46.842 (L: 44.791 / H: 48.386)

* 2Y30Y  -3.921, 114.295 (L: 111.986 / H: 118.237)

* 5Y30Y  -3.443, 99.281 (L: 97.639 / H: 102.862); Current futures levels:

* Jun 2-Yr futures up 0.75/32 at 110-8.875 (L: 110-07.75 / H: 110-09.375)

* Jun 5-Yr futures up 1.5/32 at 125-23.25 (L: 125-20.75 / H: 125-26)

* Jun 10-Yr futures up 4.5/32 at 139-11.5 (L: 139-05 / H: 139-16.5)

* Jun 30-Yr futures up 25/32 at 181-14 (L: 180-12 / H: 182-02)

* Jun Ultra futures up 2-8/32 at 224-14 (L: 221-25 / H: 225-22)

US TSYS/SUPPLY: Next week's Tsy bill/note/bond auction schedule below. Note

return of 20Y note on May 20. To give an idea of where yld for sector running,

current WI is 1.080% / 1.055%.

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

18 May  1130ET   $63B    13W Bill     (912796XF1)

18 May  1130ET   $54B    26W Bill     (9127963A5)

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, 5Y continues to lead volume but

volumes gradually increasing across the curve 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.

* TUM/TUU appr 5,900 from -4.75 to -4.50, -4.62 last; <5% complete

* FVM/FVU appr 25,100 from 4.0 to 4.5, 4.25 last; <8% complete

* TYM/TYU appr 23,800 from 7.0 to 7.5, 7.50 last; <5% complete 

* UXYM/UXYU 6,500 from -12.5 to -11.0, -12.0 last; <2% complete

* USM/USU 3,100 from 1-17 to 1-18.5, 1-17.50 last; <2% complete

* WNM/WNU 12,000 from 1-17.5 to 1-18, 1-18 last; <8% complete

STIR: Deutsche offers four reasons why negative rate pricing may persist:

- 1) Fed hikes very unlikely for foreseeable future: "market participants

believe that negative rates are significantly more likely, or alternatively

driven by a truncation of the upper end of the distribution if the size and

likelihood of future rate increases declines"

- 2) Negative term premia: Cites Fed research that funds rate term premium

estimates may be non-linear and significantly negative over the medium term. 

- 3) Sub-zero rates seen possible: Fed's survey of primary dealers shows some

belief that lower bound is negative, market possibly pricing Fed following

similar path to other central banks that couldn't meet policy objectives 

- 4) (Similar to 3) The Fed may need to provide more accommodation: whether an

approach of outcome-based forward guidance, yield curve control and traditional

QE (all of which Deutsche expects) will be sufficient in this crisis "remains an

open question", particularly if QE does not have as much "bang for the buck" as

it did in the past - meaning "reduced policy space is likely to leave market

participants anticipating the possibility of negative rates down the road.

US EURODLR FUTURES CLOSE: Mildly bid across the strip after after the bell,

short end reversed early losses apparently in react to Credit Suisse research by

Zoltan Poszar suggesting LIBOR/OIS to compress to 10-20bp by the end of June

(due to US$ swap lines and prime MMF inflows). Levels receded slightly in second

half. Current White pack levels:

* Jun 20 +0.005 at 99.665

* Sep 20 +0.010 at 99.710

* Dec 20 +0.005 at 99.695

* Mar 21 +0.010 at 99.780

* Red Pack (Jun 21-Mar 22) steady to +0.005

* Green Pack (Jun 22-Mar 23) +0.005

* Blue Pack (Jun 23-Mar 24) +0.005 to +0.015

* Gold Pack (Jun 24-Mar 25) +0.015 to +0.025

US DOLLAR LIBOR: Latest settles

* O/N +0.0005 at 0.0615% (+0.0004/wk)

* 1 Month -0.0015 to 0.1821% (-0.0158/wk)

* 3 Month -0.0067 to 0.3856% (-0.0489/wk)

* 6 Month -0.0097 to 0.6654% (-0.0225/wk)

* 1 Year -0.0076 to 0.7617% (-0.0211/wk)

US SWAPS: Spds running wider after the bell, off top end of range.

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

Thu 1500  +0.25/+10.25   +0.25/+2.75    +0.75/-3.00    +0.25/-48.25

1345      +0.56/+10.56   +0.38/+2.88    +0.81/-2.94    +0.50/-48.00

1215      +0.69/+10.69   +0.50/+3.00    +1.00/-2.75    +0.62/-47.88

1045      +1.19/+11.19   +0.50/+3.00    +1.50/-2.25    +1.00/-47.50

0930      +0.94/+10.94   +0.38/+2.88    +1.12/-2.62    +0.75/-47.75

Thu Open  +0.88/+10.88   +0.75/+3.25    +1.31/-2.44    +0.75/-47.75

Thu 0700  +0.44/+10.44   +0.25/+2.75    +0.75/-3.00    -0.25/-48.75

Wed 1530  +0.62/+10.44   +0.38/+2.50    +0.00/-3.75    +1.25/-48.50

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

* Daily Effective Fed Funds Rate: 0.05%, volume: $88B

* Daily Overnight Bank Funding Rate: 0.04%, volume: $210B

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

* Secured Overnight Financing Rate (SOFR): 0.04%, $1.085T

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

* Tri-Party General Collateral Rate (TGCR): 0.04%, $445B

FED: Recap NY Fed operational purchase for Thursday,

* Tsy 20Y-30Y, $1.708B accepted, $4.257B submitted, some exclusions

* Tsy 4.5Y-7Y, $5.000B accepted, $12.931B submitted

- 

NY Fed operational purchases schedule for Friday ($8B)

* 1010-1030ET: Tsy 2.25Y-4.5Y, appr $7B

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

15-May 0830 Apr retail sales (-8.4% rev, -11.9%)

15-May 0830 Apr retail sales ex. motor vehicle (-4.2%, -8.5)

15-May 0830 Apr retail sales ex. mtr veh, gas (-2.8% rev, -7.6%)

15-May 0830 May Empire Manufacturing Index (-78.2, -60.0%)

15-May 0915 Apr industrial production (-5.4%, -12.0%)

15-May 0915 Apr capacity utilization (72.7%, 63.8%)

15-May 1000 May Michigan sentiment index (p) (71.8, 68.0)

15-May 1000 Mar business inventories (-0.4%, -0.2%)

15-May 1000 Mar JOLTS quits rate (2.3%, --)

15-May 1000 Mar JOLTS job openings level (6.882m, 5.800m)

15-May 1100 Q2 St. Louis Fed Real GDP Nowcast

15-May 1115 Q2 NY Fed GDP Nowcast

15-May 1600 Mar net TICS flows (-$13.4B, --)

15-May 1600 Mar long term TICS flows ($49.4B, --)

PIPELINE: $12.7B to price on day, pushes week total to near $64B

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

05/14 $3B *Honeywell $1.25B 5Y +105, $1B 10Y +135, $750M 30Y +155

05/14 $1.75B *Ontario 7Y +65

05/14 $1.7B #Boston Scientific $500M 5Y +160, $1.2B 10Y +205

05/14 $1.5B #JFM (Japan Finance Org for Muni's) 5Y +69

05/14 $1B #NatWest 3Y +230

05/14 $1B #Bank of America WNG fix-FRN 4NC3 covid bond +130

05/14 $600M #PPG Industries $300M each 10Y +200a, 30Y +230

05/14 $1B #Bank of America WNG fix-FRN 4NC3 covid bond +130

05/14 $650M Puget Energy 10Y +350

05/14 $500M #Manulife Fncl WNG 7Y +200

Eurodollar/Tsy options

Eurodollar options

* 6,000 Jun 96/97 call spds vs short Jun 98 calls

* 4,000 Dec 97/98/100.12 call flys

* appr 4,000 Sep 96/97 1x2 call spds

going wide in December, or just rolling up strikes

* 6,000 short Dec 95/96/100/100.12 call condors

* +6,000 short Jul 96/97/98 call flys, 5.0 vs. 99.825

* Update, >+50k Jun 93/95 put spds continues to trade

* -27,000 Jul 96/98 call spds, 8.0 vs. 99.685/0.59%

Volume picks up, put spd adds to recent Block

* +23,500 Jun 93/95 put spds, 0.5

* 10,000 Jun 96/97 call spds, 4.25

* Block, 5,000 Jun 93/95 put spds, 0.5 at 0749:55ET

* 8,000 Jun 97 calls, 0.75

* 4,000 Jun 93 puts, cab

* 1,600 May 95/96 1x2 call spds

     Tsy options:

scaled seller OTM calls, nevertheless, implieds running near highs w/underlying

poised to extend as equities continue to ratchet lower (ESM0 -50.0)

* appr -4,000 TYM 140 calls from 9- to 10/64

* 1,500 FVM 125.75/126.5 call spds, 2/64

* +10,000 FVU 127/128 call spds, 6/64

* 19,000 TYM 140.5 calls, 5- to 4/64

* 2,200 TYM 141 calls, 3/64

* 2,000 TYN 144 calls

* 1,000 TYU 138/139/140 call flys

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

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