US TSYS: FOMC ANNC SURPRISE IOER CUT 5BP TO 2.35%

US TSY SUMMARY: After gap-bid post FOMC, Tsys at/near session lows after

extending lows(!) during Fed chair Powell's press conf, US$ off lows. Yield

curves crushed after brief widening post FOMC.

- Swap spds wider after the bell, spds surged as Tsys reversed off highs. Move

occurred as Fed chair Powell clarified IOER adjustment is technical, not mon/pol

related, talking up moderating econ environment and commitment to "transitory

factors at work" with core infl in recent months added to move.

- Earlier gains after largest miss in ISM mfg vs. exp in >10yr. Pre/post data

flow included real- and fast$ buyers in 3s, prop and fast$ short covering post

data, forward rollers in 5s and 7s, bank and real$ buying 30s, two-way curve

Blocks: 2s/ultra-10s steepener Block after recent 2s10s flattener.

- On tap for Thursday: Challenger layoff plans; weekly claims; non-farm

productivity and unit labor costs; ISM-NY current conditions; factory new

orders; Fed weekly securities holdings. The 2-Yr yield is up 4bps at 2.3064%,

5-Yr is up 2.5bps at 2.3033%, 10-Yr is up 0.2bps at 2.5035%, and 30-Yr is down

1.9bps at 2.91%

US TSY FUTURES CLOSE: After gap-bid post FOMC, Tsys at/near session lows after

extending lows(!) during Fed chair Powell's press conf, US$ off lows. Yield

curves meanwhile mostly flatter after brief widening, Update:

* 3M10Y  +1.502, 9.153 (L: 4.355 / H: 9.873)

* 2Y10Y  -3.114, 20.254 (L: 20.14 / H: 24.986)

* 2Y30Y  -5.003, 61.068 (L: 60.586 / H: 68.726)

* 5Y30Y  -3.417, 61.469 (L: 60.713 / H: 67.453)

Current futures levels:

* Jun 2-Yr futures (TU) down 2.625/32  at 106-13.5 (L: 106-12.875 / H: 106-20)

* Jun 5-Yr futures (FV) down 4.25/32  at 115-16.25 (L: 115-14.75 / H: 115-30.75)

* Jun 10-Yr futures (TY) down 3.5/32  at 123-18 (L: 123-15.5 / H: 124-04)

* Jun 30-Yr futures (US) up 6/32  at 147-21 (L: 147-17 / H: 148-12)

* Jun Ultra futures (WN) up 24/32  at 165-1 (L: 164-15 / H: 165-30)

US EURODLR FUTURES CLOSE: At/near session lows after the bell -- well off post

FOMC highs. Tail end of Whites through Reds underperforming on heavy volume

(EDZ9 leads w/>540k). Current White pack (Jun'19-Mar'20):

* Jun 19 -0.005 at 97.450

* Sep 19 -0.030 at 97.505

* Dec 19 -0.050 at 97.510

* Mar 20 -0.055 at 97.615

* Red Pack (Jun 20-Mar 21) -0.065 to -0.06

* Green Pack (Jun 21-Mar 22) -0.05 to -0.035

* Blue Pack (Jun 22-Mar 23) -0.025 to -0.015

* Gold Pack (Sep 22-Jun 23) -0.015 to -0.01

US DOLLAR LIBOR: Latest settles

* O/N +0.0127 at 2.3918% (-0.0082/wk)

* 1 Month +0.0027 to 2.4832% (+0.0001/wk)

* 3 Month -0.0001 to 2.5755% (-0.0072/wk)

* 6 Month -0.0105 to 2.6115% (-0.0042/wk)

* 1 Year -0.0065 at 2.7103% (-0.0072/wk)

US TSYS: REPO REFERENCE RATES: (rate, volume) 

* Secured Overnight Financing Rate (SOFR): 2.76%, $1.084T

* Broad General Collateral Rate (BGCR): 2.75%, $492B

* Tri-Party General Collateral Rate (TGCR): 2.75%, $461B

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

02-May 0730 Apr challenger layoff plans (0.4%, --)

02-May 0830 27-Apr jobless claims (230k, 210k)

02-May 0830 Q1 non-farm productivity (p) (1.9%, 1.8%)

02-May 0830 Q1 unit labor costs (p) (2.0%, 1.8%)

02-May 0945 Apr ISM-NY current conditions (66.9, --)

02-May 1000 Mar factory new orders (-0.5%, 1.5%)

02-May 1000 Mar factory orders ex transport (0.3%, --)

02-May 1030 26-Apr natural gas stocks w/w

02-May 1630 01-May Fed weekly securities holdings

US SWAPS: Spds wider after the bell -- most well off post-Powell conf levels

(30Y holding wides) when spds surged as Tsys reversed off highs. Move occurred

as Fed chair Powell clarifies IOER adjustment is technical, not monpol related,

and as he talks up moderating econ environment and commitment to "transitory

factors at work" with core inflation in recent months. Latest spd levels:

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

Wed 3:30    +0.25/11.56   +0.44/4.88     +0.62/-0.50   +1.50/-21.94

2:00        +1.38/12.69   +1.44/5.88     +0.94/-0.19   +1.19/-22.25

12:00       +0.38/11.69   +0.69/5.12     +0.69/-0.44   +1.06/-22.38

Wed Open    +0.25/11.56   +0.19/4.62     +0.25/-0.88   +0.56/-22.88

Tue 3:00    +1.00/11.38   +0.88/4.12     +0.19/-1.38   +0.31/-23.69

Tuesday recap: Spds on wides by the bell amid better rate paying and deal-tied

flow, some receiver unwinds and two-way fly trade in fronts to intermediates --

squaring up ahead Wed's FOMC.

PIPELINE: CNA launched

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

05/01 $500M #CNA Fncl WNG 10Y +143

05/01 $500M NWB WNG 1.5Y L+1a

Potential issuers this month:

05/?  $1.25B MGM China 5NC2, 7NC3

05/?  Bristol-Myers

05/?  IBM

-

$8.3B priced Tuesday, $13.85B/wk

04/30 $3.5B *Boeing 5-part: 

----  $600M 3Y +52, $650M 7Y +75, $600M tap 10Y +85, $850M 15Y +112,$800M  30Y

+107

04/30 $2B *Barclays 6NC5 +165

04/30 $1.25B *Ford Motor Cr 10Y +260

04/30 $750M *Aon Corp 10Y +125

04/30 $300M *Textron WNG 10Y +140

04/30 $500M *Northern Trust WNG 10Y +65

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* +20,000 short Sep/Green Sep 81 call spds, 0.0/short Sep over

* +50,000 Green Jul 72/75 put spds, 1.0

* +15,000 Red Jun 68/70 put spds, 0.5

* 5,000 short May 77/78 strangles, 5.0

* -10,000 Jun 75/76 1x2 call spds, 1.0

* 10,000 short May 75/76 2x1 put spds, 0.5

* 4,000 long Red Jun20 72/73 put spds, 2.5 vs. 97.78

* +30,000 Aug 77/78 call strip vs. Jul 77/Sep 80 call strip, 1.5 net DB

* 27,000 Jul/Aug 77 call spds, 1.5

* 27,000 Aug 78/Sep 80 call spds, 0.0

* 4,000 short Aug 76/77/78 put flys, 2.0

* 27,000 short Jun 75/76/77 put flys, 3.0 vs. 18,000 short Jun 78 calls

* 5,000 Jun 76/77 call spds, cab

* 5,000 Sep 77/78 call spds, 1.5

* over +55,000 Sep 72 puts, 0.5, 31k in pit vs. 97.52/0.10%, open interest

329,541 coming into session

* 5,500 Red Jun20 71/73/76 2x3x1, 1.0 net/wings over

* 3,000 Sep 71/72 2x1 put spds, 0.0

* +20,000 Jun 76 calls, 0.5 vs. 97.44/0.10%

BLOCK, 1238:33ET,

* 9,004 TYM 123.5 calls, 39/64

* 9,506 TYN 124.5 calls, 31/64

* -7,600 USM 152 calls, 7/64 on screen

* 4,500 FVM 114.75/115 put spds, 15/64 in pit

* -7,000 wk1 TY 124 calls, 12

* +4,000 wk1 TY 123.5 puts, 6/64

* -9,500 wk1 FV 115.75/116 call spds, 5.5

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

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