US TSYS: Fed Likely On Hold At Zero Wednesday

US TSY SUMMARY: Broadly weaker after the bell on light volumes (TYM<770k; USM

<185k), Many sidelined ahead Wed's FOMC annc; risk-off unwinds with equities

near late session highs (ESM0 +46.0); yld curves bear steepening.

- Rates extended lows last midmorning, followed by a brief modest bounce in the

long end. Several factors at play early Monday morning: rush of corporate

issuance in addition to multiple Tsy bill and note auctions (13- and 26W Bills,

2- and 5Y Notes) with rate locks and pre-auction short sets weighing at a time

where market participation is thin/light volumes (TYM less that 400k). Sidebar:

hedging for a failed 2Y auction, some 40,000 Jun 2Y low delta puts bought prior

to the 2Y note auction.

- Spds running tighter across the curve as corporate debt issuers came off the

sidelines Monday as markets traded with a modest risk-on (risk-off unwind) tone,

implied vol weaker with rates drifting near session lows, equities near highs.

Two-way deal-tied flow on the day. 

- The 2-Yr yield is down 0.4bps at 0.2202%, 5-Yr is up 2.9bps at 0.4021%, 10-Yr

is up 5.8bps at 0.6589%, and 30-Yr is up 8.5bps at 1.2546%.

TECHNICALS:

US 10YR FUTURE TECHS: (M0) Consolidating But Remains Bullish  

*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   High Apr 22

*PRICE: 138-21 @ 16:06 BST, Apr 27

*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: 136-19+  50-day EMA

10yr futures edged lower at the halfway point of the US session, but this does

little to alter the short-term outlook, which remains bullish. 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 marks a bullish development. Key short-term

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.

The bull trigger is 139-22.

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

US TSYS/SUPPLY: Recap balance of wk's Tsy bill/note auctions

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

28 Apr  1130ET   $55B    43D Bill     912796TZ2

28 Apr  1130ET   $22B    2Y Note FRN  912828ZK9

28 Apr  1300ET   $35B    7Y Note      912828ZN3

29 Apr  1130ET   $25B   119D Bill     912796XG9

29 Apr  1130ET   $25B   273D Bill     912796UC1

TSY FUTURES CLOSE: Broadly weaker after the bell on light volumes (TYM<770k; USM

<185k), risk-off unwinds with equities near late session highs (ESM0 +46.0); yld

curves bear steepening. Update: 

* 3M10Y  +7.179, 54.547 (L: 44.982 / H: 55.275)

* 2Y10Y  +5.877, 43.099 (L: 37.471 / H: 43.574)

* 2Y30Y  +8.383, 102.484 (L: 94.451 / H: 103.625)

* 5Y30Y  +5.448, 84.904 (L: 79.344 / H: 85.93); Current futures levels:

* Jun 2-Yr futures down 1/32 at 110-4.875 (L: 110-04.25 / H: 110-05.75)

* Jun 5-Yr futures down 6.75/32 at 125-6.25 (L: 125-05.5 / H: 125-11.5)

* Jun 10-Yr futures down 16/32 at 138-19.5 (L: 138-18.5 / H: 139-01.5)

* Jun 30-Yr futures down 1-18/32 at 180-14 (L: 180-08 / H: 182-03)

* Jun Ultra futures down 3-23/32 at 224-23 (L: 224-07 / H: 228-24)

US EURODLR FUTURES CLOSE: Trades steady/mixed in the short end after the bell,

lead quarterly EDM0 near highs since 3M LIBOR set' -0.0464 to 0.8407% (-0.2219

last wk), Reds-Golds on session lows. Update: 

* Jun 20 +0.015 at 99.615

* Sep 20 +0.005 at 99.675

* Dec 20 steady at 99.650

* Mar 21 -0.005 at 99.715

* Red Pack (Jun 21-Mar 22) -0.025 to -0.015

* Green Pack (Jun 22-Mar 23) -0.04 to -0.03

* Blue Pack (Jun 23-Mar 24) -0.045 to -0.04

* Gold Pack (Jun 24-Mar 25) -0.06 to -0.05

US DOLLAR LIBOR: Latest settles

* O/N -0.0007 at 0.0560% (-0.0103 last wk)

* 1 Month -0.0032 to 0.4376% (-0.2318 last wk)

* 3 Month -0.0464 to 0.8407% (-0.2219 last wk)

* 6 Month -0.0291 to 0.8931% (-0.1803 last wk)

* 1 Year -0.0144 to 0.9251% (-0.0423 last wk)

US SWAPS: Spds running tighter across the curve as corporate debt issuers came

off the sidelines Monday as markets traded with a modest risk-on (risk-off

unwind) tone, implied vol weaker with rates drifting near session lows, equities

near highs. Two-way deal-tied flow on the day. Current spd levels:

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

Mon 1600  +0.06/+15.75   -1.50/+6.25    -1.25/+1.75    -1.62/-43.62

1315      -0.06/+15.62   -1.25/+6.50    -1.00/+2.00    -0.62/-42.50

1200      -0.12/+15.56   -1.50/+6.25    -0.94/+2.06    -0.25/-42.12

1000      -1.38/+14.31   -1.94/+5.81    -0.88/+2.00    -0.12/-42.25

Mon Open  -0.19/+15.50   -1.31/+6.31    -0.38/+2.50    +0.25/-41.62 

Fri 1500  -1.06/+16.56   -0.38/+7.50    -0.50/+3.00    -1.75/-41.75

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

* Daily Effective Fed Funds Rate: 0.05%, volume: $99B

* Daily Overnight Bank Funding Rate: 0.04%, volume: $245B

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

* Secured Overnight Financing Rate (SOFR): 0.03%, $1.208T

* Broad General Collateral Rate (BGCR): 0.03%, $502B

* Tri-Party General Collateral Rate (TGCR): 0.03%, $477B

FED: FED: Recap NY Fed operational purchases for Monday

* 7Y-20Y, $5.000B accepted, $13.949B submitted

* TIPS 1Y-7.5Y, $1.802B accepted, $2.837B submitted

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

28-Apr ---- FOMC day 1 of 2

28-Apr 0830 Mar advance goods trade gap (-$59.9B, -$55.0B)

28-Apr 0830 Mar advance wholesale inventories (-0.7%, -0.5%)

28-Apr 0830 Mar advance retail inventories (-0.3%, --)

28-Apr 0855 25-Apr Redbook retail sales m/m (-10.6%, --)

28-Apr 0900 Feb Case-Shiller Home Price Index (218.6, --)

28-Apr 1000 Apr Conference Board confidence (120.0, 87.9)

28-Apr 1000 Apr Richmond Fed Mfg Index (2, -40)

28-Apr 1000 Q1 housing vacancies rate

28-Apr 1030 Apr Dallas Fed services index

28-Apr 1130 $55B 43D Bill auction (912796TZ2)

28-Apr 1130 $22B 2Y Note FRN auction (912828ZK9)

28-Apr 1300 $35B 7Y Note auction (912828ZN3)

PIPELINE: $25.85B to price Monday -- new record high issuance for month at

$311.45B with three more days to go until May.

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

04/27 $5B *Israel dual-listed Formosa bond 3.8% (book >$11B)

04/27 $3.8B #Air Prods&Chems $550M 5Y +110, $650m 7Y +130, $900M 10Y +140, $750M

20Y +145, $950m 30Y +155

04/27 $3B *Biogen $1.5B 10Y +160, $1.5B 30Y +195

04/27 $2.5B #Georgia Pacific $900M 5Y +135, $600M 7Y +155, $1B 10Y +165

04/27 $2.5B #Diageo Capital $750M 5Y +105, $1B 10Y +140, $750M 12Y +155

04/27 $2.35B #Philippines $1B 10Y +180, $1.35B 25Y 2.95%

04/27 $1.5B #Citizens Bank $750M each 5Y +190, 10Y +260

04/27 $1.5B #Emerson Electric $500M each 7Y +125, 10Y +135, 30Y +150

04/27 $1.25B #Blackrock Inc 10Y +128

04/27 $500m *Korea East-West Power 5Y +150

04/27 $500M #Idex WNG 10Y +237.5

04/27 $500M #Snap-On 30Y +190

Eurodollar/Tsy options

Eurodollar options

* -10,000 Jul/short Jul 82/83 put spd spds, 0.5 net debit conditional curve

(Whites/Reds) steepener.

* 6,800 Jul 92/93/95/96 put condors

* 7,500 Mar 92/93/96 put trees

* +8,500 May/Jun 97 call strip, 1.25

* +13,000 Sep 95 puts, 3.0

* Update, 10,250 Dec 96/97/98 call trees, 4.0

* 8,000 Jul 96/97/98 call flys

* 7,500 Dec 96/97/98 call trees

* 2,500 Dec 100/100.12 call spds

* 2,000 Green Jun 100 calls

* -12,000 Green Jul 90 puts, 0.5

* -5,000 Sep 95/96 2x1 put spds, cab

* Update, 10,000 May 96/97 1x2 call spds, 3.0

* Update, 5,000 May 93/96/97 call flys

* Update, total -22,250 Blue Sep 87/90 put spds, 1.5

* Over 18,500 May 96 calls, 4.0 part tied to May 96/97 1x2 call spds and

outright

* 7,500 Jun 93/95 2x1 put spds, 8,200 total, 0.0

* 3,000 Jun 96/97/98 call flys

Tsy options:

* -3,000 TYM 137.5 puts vs. +2,000 TYN 137 puts, 11/64net db on 3x2 spd

* near 8,000  TYM 139.5 calls, 23.64

* Update, 11,000 TYM 137.5/140.5 strangles trade from 28- to 29/64

* -1,000 USM 179 puts, 21- to 22/64

* small put strip buyer +500 TYN 134/135/136 put strip, 38/64

low delta short end put buying spree

* +10,800 TUM 108 puts, 1/64, remains well offered

* +10,000 TUM 107.62 puts, 1/64

* +10,000 TUM 107.5 puts, 1/64

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

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