US TSYS: Collateral Harm To Markets From Negative Oil?

US TSY SUMMARY: Risk-off returned as markets continued to digest knock-on

effects of oil volatility after May WTI traded negative the prior session. Lead

quarterly Jun futures fell to 6.5 low after opening at 21.32 (13.38 -7.05 in

late trade) Tue.

- Tsys had traded off highs on back of Trump "ordering" funds to help oil and

gas companies (whether that bailout can/will happen is another question while

equities bounced off lows). Bonds retraced appr third of sell-off move after new

home sales data.

- Choppy trade amid improved (but still below avg) volumes. Tsys pared gains on

heels of latest 20-30Y NY Fed op purchase, Tsys extending session lows (but

remain well off overnight lows). New all-time 5YY low of 0.2991%.

- Bonds were on a downward trajectory from noon on but rebounded late as

headline: "U.S. COVID-19 CASES RISE 5.7%, BIGGEST JUMP SINCE APRIL 10".

Separately, no mkt react, but surprise 50bps rate cut from Mexico CB to 6.0%.

* The 2-Yr yield is down 0bps at 0.2014%, 5-Yr is down 0.8bps at 0.334%, 10-Yr

is down 3.8bps at 0.5675%, and 30-Yr is down 5.3bps at 1.1632%.

TECHNICALS:

US 10YR FUTURE TECHS: (M0) Approaching 140-00  

*RES 4: 141-26   0.764 projection of Feb 2 - 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: 139-22   Intraday high

*PRICE: 139-19+ @ 16:05 BST, Apr 21

*SUP 1: 138-17   Low Apr 17

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

*SUP 3: 136-29+ Low Mar 24

*SUP 4: 136-05+  50-day EMA

10yr futures are firmer Tuesday and likely to extend gains, with a bullish theme

still in place. On Apr 7, prices found support at 137-16. This was also the area

where the 20-day EMA intersected on Apr 7 and the subsequent recovery is a

bullish development, reinforcing the underlying positive outlook. Key S/T

support is 137-16, Apr 7 low. While it holds, the focus is on 140-00 and the

contract high of 140-24 from Mar 9. Initial support lies at 138-17, Apr 17 low.

AUSSIE 10-YR TECHS: (M0) Needs to Find Firmer Footing

*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: 99.2050 @ 16:06 BST, Apr 21

*SUP 1: 98.6300 - Low Mar 18

*SUP 2: 98.5700 - Low Jan 2

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

Having flatlined for the past week or so, Aussie 10yr futures picked up slightly

across the past two sessions to inch back toward the April highs of 99.36. This

retains the broadly neutral outlook after recent acute intraday volatility and

negates the pre-existing downtrend and any further 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): Still Stable

*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: 152.29 @ 16:08 BST, Apr 21

*SUP 1: 150.70 - 1.0% 10-dma envelope

*SUP 2: 150.61 - Low Mar 19

*SUP 3: 150.00 - Psychological round number 

JGB futures remain within the recent range, doing little to alter the technical

outlook. A break north of the Mar 16 high at 153.50 will be needed to switch the

outlook more positive. Downside pressure was recently cemented with the break of

the recent 151.52 low, which opens 150.61 next as well as the psychological

150.00 handle further out. On the upside, initial resistance is seen at 153.50,

Mar 16 high.

MONTH-END EXTENSIONS: *** Preliminary Bloomberg-Barclays US month-end index

extension. Not a surprise, note significant changes to forecast summary compared

to the avg increase for prior year and the same time in 2019. TIPS 0.12Y; Govt

inflation-linked, 0.20.

*........................EST.....1Y Avg Incr..Last Year

*US Tsys.................0.14........0.08........0.07

*Agencies................0.04........0.10........0.08

*Credit..................0.19........0.09........0.04

*Govt/Credit.............0.18........0.08........0.05

*MBS.....................0.03........0.06........0.05

*Aggregate...............0.08........0.08........0.06

*Long Govt/Credit........0.04........0.09........0.06

*Interm Credit...........0.19........0.08........0.06

*Interm Govt.............0.11........0.08........0.07

*Interm Govt/Cred........0.14........0.08........0.06

*High Yield..............0.08........0.06........0.06

TSY FUTURES CLOSE: Mostly higher, levels near session lows after the bell but

still well off overnight lows, yld curves flatter/near middle session range.

Update: 

* 3M10Y  -3.100, 47.011 (L: 40.462 / H: 47.507)

* 2Y10Y  -2.620, 37.348 (L: 34.357 / H: 41.137)

* 2Y30Y  -4.597, 96.479 (L: 92.66 / H: 101.407)

* 5Y30Y  -4.177, 82.942 (L: 81.152 / H: 87.073); Current futures levels:

* Jun 2-Yr futures down 0.125/32 at 110-6.375 (L: 110-05.875 / H: 110-07.625)

* Jun 5-Yr futures up 2/32 at 125-17 (L: 125-14.25 / H: 125-23.25)

* Jun 10-Yr futures up 7.5/32 at 139-11 (L: 139-02.5 / H: 139-22)

* Jun 30-Yr futures up 1-10/32 at 182-3 (L: 180-28 / H: 183-01)

* Jun Ultra futures up 2-23/32 at 229-05 (L: 226-19 / H: 231-10)

US EURODLR FUTURES CLOSE: Whites mixed after the bell, lead quarterly EDM0

outperforming, levels progressively better bid out the strip. Update:

* Jun 20 +0.020 at 99.515

* Sep 20 +0.005 at 99.635

* Dec 20 -0.005 at 99.630

* Mar 21 -0.005 at 99.70

* Red Pack (Jun 21-Mar 22) +0.005 to +0.020

* Green Pack (Jun 22-Mar 23) +0.025

* Blue Pack (Jun 23-Mar 24) +0.025 to +0.035

* Gold Pack (Jun 24-Mar 25) +0.040 to +0.050

US DOLLAR LIBOR: Latest settles

* O/N -0.0015 at 0.0631% (-0.0039/wk)

* 1 Month -0.0427 to 0.6246% (-0.0481/wk)

* 3 Month -0.0546 to 1.0430% (-0.0659/wk)

* 6 Month -0.0516 to 1.0242% (-0.0782/wk)

* 1 Year +0.0043 to 0.9865% (+0.0046/wk)

US SWAPS: Spds running mixed after the bell, spd curve reversing the week opener

flattening amid modest two-way deal-tied flow in shorts to intermediates, prop

rate paying long end. Latest spd levels

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

Tue 1500  -1.38/+20.50   -0.75/+11.00   +0.50/+7.00    +1.25/-37.00

1200      -0.38/+21.50   -0.12/+11.62   +1.56/+8.06    +1.25/-37.00

0945      +0.19/+22.06   +0.25/+12.00   +1.00/+7.50    +1.50/-36.75

Tue Open  +0.12/+22.00   +0.31/+12.06   +1.00/+7.50    +1.50/-36.75

Mon 1545  +1.00/+22.00   +0.25/+12.00   -0.19/+6.81    -1.00/-37.88

Monday recap: Spds running mixed after the bell, spd curve flatter w/short end

wider/off highs vs. long end on late session narrows. Modest 2-way deal-tied

flow in the mix.

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

* Daily Effective Fed Funds Rate: 0.05%, volume: $106B

* Daily Overnight Bank Funding Rate: 0.05%, volume: $284B

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

* Secured Overnight Financing Rate (SOFR): 0.02%, $1.158T

* Broad General Collateral Rate (BGCR): 0.01%, $484B

* Tri-Party General Collateral Rate (TGCR): 0.01%, $460B

FED: REDCAP NY Fed operational purchases for Tuesday ($16B)

* Tsy 20Y-30Y, $5.000B accepted, $10.745B submitted

* Tsy 4.5Y-7Y, $11.000B accepted, $24.191B submitted

--

NY Fed operational purchases schedule for Wednesday ($7B)

* 1010-1030ET: Tsy 7Y-20Y, appr $3.5B

* 1100-1120ET: TIPS 1Y-7.5Y, appr $3.5B

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

22-Apr 0700 17-Apr MBA Mortgage Applications (7.3%, --)

22-Apr 0900 Feb FHFA Home Price Index (0.3%, 0.3%)

22-Apr 1030 17-Apr crude oil stocks ex. SPR w/w

22-Apr 1130 US Tsy $30B 103D Bill auction (9127963M9)

22-Apr 1130 US Tsy $30B 154D Bill auction (9127964A4)

PIPELINE: $13.1B to price Tuesday, ADP lead w/$4.5B 5Y issuance

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

04/21 $3B #VF Corp 4pt $1B 2Y +185, $750M 5Y +210, $500M 7Y +235, $750M 10Y +240

04/21 $2.95B *NRW (North Rhine-Westphalia) $1.2B 18M +18, $1.75B 3Y +28

04/21 $4.5B #ADB 5Y +23

04/21 $1.25B #Micron 3Y +225

04/21 $900M #Hyatt 2pt $450M each 5Y 5.375%, 10Y 5.75% 

04/21 $500M *Kroger 10Y +165

Eurodollar/Tsy options

Eurodollar options:

* -5,000 Jun 93 puts, 5.0

Block 1331:10ET, * 16,000 Jun 92 puts, 3.25

Block 1153:57ET, with another 12,000 on screen seconds after

* 10,000 Sep 98/100 call spds, 0.75

Block 1141:30ET, * 12,469 Dec 100 calls, 2.5; Screen trade just prior

* total +10,500 short Jul/Green Jul 96/97/98 call fly strip 9.0

* -2,500 Green Jun 93/95/96/97 call condors, 4.0

Block 1112:46ET, * 14,997 May 96/97 call spds 1.0 over May 93 puts vs.

99.50/.35%

* Update, total 6,000 May 96/97 call spds 1.0 over May 93 puts

Block 0957:00ET, * 15,500 Jun/Sep 91 put spds 0.75 net

* 9,000 Jun 96 calls, 3.0

Limited overnight trade

* 5,400 May 95 puts, 6.0

* +5,000 Green May 97/98 1x2 call spds, 1.5

* +2,500 Green Sep 87/90 put spds, 1.0

* 1,250 Jun 91/92/93/95 put condors

* 1,000 Red Dec'21 96/97/98 call flys

Tsy options:

* +2,000 USM 191/196 call spds, 24-25

2- and 5Y put interest

* just over 22,000 FVM 118.5 puts, 2/64

* 10,000 FVM 122.5/123.5/124.75 put trees

* 11,000 TUM 109.62 puts, 2/64

* 2,000 TUM 109.75/110.12 3x1 put spds after 8,000 TUM 109.75 puts trade

outright

Limited overnight trade

* +4,000 TYM 142 calls, 17/64

* 4,000 TYK 140/140.25 call spds, 4/64

* -2,000 USM 189 calls 4/64 over USM 175/178 put spd, late Mon evening Block

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

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