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US TSYS: NIRP Gone? FF Bid Evaporating; Fed Chair Wed

US TSY SUMMARY: Tsys extended late session lows heading into the closing bell,
long end leading, yld curves bear steepening on relatively ordered trade even
after the record April job loss of -20.5M that is better est's of -22.0M,
weakest employ/population ratio of 51.3%, while avg hourly earnings jumped 4.7%
as low wage workers disproportionately affected.
- Analysts will look back on today and wonder How did Tsys sell-off and equities
manage to continue to gain despite the record loss in jobs?!? Perhaps a more
striking figure is the employ-to-population ratio: just over 50% of the entire
US population (51.3%) was employed in April (previous = 60%, lows in 1950s were
in 55% area, peaked in 2000 at 64.7%)! 
- Eurodollar futures were weaker, support started to evaporate after noon as
equities remained firm (ESM0 +36 after the FI close, DJIA +375.0). Note, support
in 2021 Fed funds futures strip also evaporated late, FFF1-FFH1 dipping below
100.00 as negative rate chatter cools going into the weekend. The 2-Yr yield is
up 1.6bps at 0.1548%, 5-Yr is up 2.2bps at 0.3274%, 10-Yr is up 4.1bps at
0.6815%, and 30-Yr is up 5.6bps at 1.3852%.
US TSYS/SUPPLY: Recap next week's Tsy bill auction schedule:
DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC
-------------------------------------------------
11 May  1130ET   $63B    13W Bill     912796TD1
11 May  1130ET   $54B    26W Bill     9127962Z1
11 May  1300ET   $42B    3Y Note      912828ZP8
12 May  1130ET   $65B    42D Bill     912796UA5
12 May  1130ET   $35B   119D Bill     912796TJ8
12 May  1300ET   $32B    10Y Note     912828ZQ6
13 May  1300ET   $22B    30Y Bond     912810SN9
TSY FUTURES CLOSE: Weaker across the board, extending lows heading into the
closing bell, yld curves steeper. Update:
* 3M10Y  +4.188, 56.071 (L: 46.939 / H: 56.707)
* 2Y10Y  +2.821, 52.826 (L: 48.555 / H: 54.296)
* 2Y30Y  +4.309, 123.126 (L: 116.915 / H: 125.214)
* 5Y30Y  +3.339, 105.544 (L: 100.625 / H: 107.508); Current futures levels:
* Jun 2-Yr futures down 1.375/32 at 110-8.75 (L: 110-08.25 / H: 110-11.75)
* Jun 5-Yr futures down 4/32 at 125-20.5 (L: 125-19 / H: 125-29)
* Jun 10-Yr futures down 11.5/32 at 138-30 (L: 138-29.5 / H: 139-16)
* Jun 30-Yr futures down 1-15/32 at 179-21 (L: 179-19 / H: 181-24)
* Jun Ultra futures down 2-24/32 at 220-27 (L: 219-22 / H: 223-19)
US EURODLR FUTURES CLOSE: Weaker after the bell, support started to evaporate
after noon as equities remained firm (ESM0 +36 after the FI close, DJIA +375.0).
Note, support in 2021 Fed funds futures strip also evaporated late, FFF1-FFH1
dipping below 100.00 as negative rate chatter cools going into the weekend.
Current White pack levels:
* Jun 20 -0.005 at 99.665
* Sep 20 -0.025 at 99.715
* Dec 20 -0.025 at 99.710
* Mar 21 -0.025 at 99.790
* Red Pack (Jun 21-Mar 22) -0.02 to -0.01
* Green Pack (Jun 22-Mar 23) -0.025 to -0.015
* Blue Pack (Jun 23-Mar 24) -0.03 to -0.015
* Gold Pack (Jun 24-Mar 25) -0.045 to -0.03
FED FUNDS FUTURES: Zero is just another number, not a lower bound when subject
of negative rates raised with a minority of market analysts. The majority of
researchers still do not see rates going negative despite implications of the
ongoing bid in 2021 Fed fund futures strip over 100.0 to as high as 100.060
(+0.010-0.045) that is bleeding over to early 2022, albeit on very light
volumes. More liquid Eurodollar futures in same sector trade +0.030-0.045 from
99.855-.99.85.
- CIBC's Ian Pollick said move "is more likely due to the excess amount of cash
in the market rather than a statement that the market expects the Fed to slash
rates to negative."
* But as Wrightson ICAP noted earlier the "longer the Fed is perceived to
tolerate negative quotes in the futures market, the more widespread the
conviction that overnight rates will indeed turn negative will become. And if
that expectation becomes deeply entrenched, the cost of disappointing the market
later this year will rise."
US DOLLAR LIBOR: REMINDER: There are no settles posted today due to UK bank
holiday, VE Day 75th Anniversary. Thursday settles and net changes for the week
were:
* O/N -0.0015 at 0.0610% (+0.0026/wk)
* 1 Month -0.0236 to 0.1980% (-0.1053/wk)
* 3 Month -0.0130 to 0.4347% (-0.1062/wk)
* 6 Month -0.0064 to 0.6880% (-0.0250/wk)
* 1 Year -0.0154 to 0.7829% (-0.0526/wk)
US SWAPS: Spds running tighter across the curve in late Friday trade, modest
deal-tied hedging and two-way positioning ahead the weekend noted. Spds appr
2-4.0 bps tighter vs. last Friday's levels. Latest spd levels:
1345      -0.62/+9.69    -1.00/+1.75    -0.50/-4.00    -0.75/-49.75
1230      -0.38/+9.94    -1.31/+1.44    -0.62/-4.12    -0.88/-49.88
1030      -1.00/+8.62    -1.44/+1.31    -0.50/-4.00    -1.12/-50.12
0900      -0.56/+9.75    -1.00/+1.75    -0.50/-4.00    -0.88/-49.88
Fri Open  -0.56/+9.75    -0.75/+2.00    -0.25/-3.75    -0.50/-49.50
Fri 0730  -1.06/+9.25    -0.81/+1.94    +0.00/-3.50    -0.44/-49.44
Thu 1600  -1.06/+10.56   +0.00/+2.75    +0.25/-3.50    +0.75/-49.00
Thursday recap: Spds running mixed well after the close, short end extending
move tighter as rate locks get lifted following another heavy day of swappable
corporate issuance. The long end, however, only mildly wider after extending
inversion on Wednesday's outsized refunding focus in longer durations that
include 20Y sector -- while bonds more than erase the midweek sell-off today,
bonds all the way back to late Monday levels, 30YY 1.314%.
STIR: Federal Reserve Bank of New York EFFR for prior session:
* Daily Effective Fed Funds Rate: 0.05%, volume: $92B
* Daily Overnight Bank Funding Rate: 0.04%, volume: $205B
US TSYS: REPO REFERENCE RATES (rate, volume levels reflect prior session):
* Secured Overnight Financing Rate (SOFR): 0.05%, $1.127T
* Broad General Collateral Rate (BGCR): 0.05%, $475B
* Tri-Party General Collateral Rate (TGCR): 0.05%, $452B
FED: Recap NY Fed operational purchase for Friday
* Tsy 2.25Y-4.5Y, $8.000B accepted, $24.045B submitted
- 
NY Fed lowers daily avg Tsy sec buys to $7B next wk from $8B this wk
NY Fed operational purchases schedule for Monday ($4.0B)
* 1010-1030ET: Tsy 20Y-30Y, appr $2.25B
* 1100-1120ET: TIPS 1Y-7.5Y, appr $1.75B
NY Fed operational purchases schedule for Tuesday ($11B)
* 1010-1030ET: Tsy 0-2.25Y, appr $11B
NY Fed operational purchases schedule for Wednesday ($5.75B)
* 1010-1030ET: Tsy 7Y-20Y, appr $4B
* 1100-1120ET: TIPS 7.5Y-30Y, appr $1.75B
NY Fed operational purchases schedule for Thursday ($7.25B)
* 1010-1030ET: Tsy 20Y-30Y, appr $2.25B
* 1100-1120ET: Tsy 4.5Y-7Y, appr $5B
NY Fed operational purchases schedule for Friday ($8B)
* 1010-1030ET: Tsy 2.25Y-4.5Y, appr $7B
OUTLOOK: *** US Data/speaker calendar (prior, estimate):
11-May 1100 May NY Fed expectations survey
11-May 1130 US Tsy TBA 13W Bill auction (912796TD1)
11-May 1130 US Tsy TBA 26W Bill auction (9127962Z1)
11-May 1230 Chi Fed Pres Evans, Lansing, Mi
11-May 1300 US Tsy $42B 3Y Note auction (912828ZP8)
PIPELINE: $6.1B to price Friday for just over $107B on week/$108.85B month
05/08 $1.5B #US Bancorp 5Y +115
05/08 $1B #Ingredion $600M 10Y +225, $400M 30Y +260 
05/08 $800M #Lincoln National Bank $500M +10Y +275, $300M 30Y +300
05/08 $750M #Public Service Co of Colorado 10Y +125, 30Y +145
05/08 $600M #AvalonBay 10Y +182
05/08 $500M #GATX 10Y +335
05/08 $500M #Verisk WNG 30Y +230
05/08 $450M #First American 10Y +337.5
-
$26.8B Priced Thursday, $101B for the week
05/07 $8B *Chevron $1.2B 3Y +95/$300M 3Y FRN L+90, $2.5B 5Y +125, $1B 7Y +150,
$1.5B 10Y +160, $500M 20Y +165, $1B 30Y +175
05/07 $4B *GM $1B 3Y +525, $2B 5Y +585, $1B 7Y +635
05/07 $4B *IBRD/World Bank 10Y +35
05/07 $2B *Discovery Inc $1B each 10Y +300, 30Y +335
05/07 $1.5B *Citigroup 4NC3 +150
05/07 $1B *HSBC Bank Canada 3Y +72
05/07 $1.25B *Zoetis $750M 10Y +145, $500M 30Y +175
05/07 $1.15B *Newcrest Finance 10Y +325a, 30Y +350a
05/07 $1B *Global Payments, 10Y +230
05/07 $900M *CAF 3Y +220
05/07 $700M *Federal Realty Inv Trust $300M 4Y +265, $400M 10Y +300
05/07 $500M *Vulcan Materials 10Y +290
05/07 $500M *Mohawk Ind 10Y +300
05/07 $300M *Owens Corning WNG 10Y +325
Eurodollar/Tsy options
Eurodollar options
* +7,500 Mar 96/97/98 call flys, 4.0
* 2,000 Mar 97/98/100.12 call flys
* 2,700 Mar 95/97/98 broken call flys on 1x3x2 ratio
* +2,000 Sep 100/100.25 call spds, 2.0
* Dec 1x2 call spd on same strikes trading 0.5
* total volume in the Dec 100 calls near 29k from 3.0 to 5.0
Block, 1033:30ET * 10,000 Dec 96/97 put spds, 5.0 vs. 99.76/0.18%
Block, 1023:00ET * 10,000 Sep 97/100 1x2 call spds, 2.5 net vs. 99.76/0.16%
* 4,500 Mar 96/98 1x2 call spds
* appr 4,000 short Jul 96/98 call spds
* appr -20,000 Mar 97/100 call spds, 8.5 earlier, Mar 100 call volume >32k
* 10,000 Dec 97 calls outright at 9.5
* +4,000 Dec 100 calls, 4.0 vs. 99.75 (Dec 97/100 call spds also trade at 5.5)
* -2,500 Dec 92/95/97 deep call flys
* paper buying short Sep 100.25/short Dec 100.5 call strip 3.5 total
Overnight trade, ongoing Sep call spd sale adds to some -70k Thus
* -30,000 Sep 97/98 call spds, 4.0, -5k more on 1x2 ration for cab
* 4,000 Sep 97/100 call sdps
* 1,500 Sep 98/100 call spds
* 3,000 Jun 98 calls, 0.5
* +10,000 Dec 100.5 calls, 1.0, adds to +25k Thu
* +10,000 short Jun 98/100 call spds, 3.0
* 9,000 short Jul 96/97/98 call flys
* +5,000 short Sep 100/100.25 call spds, 2.0
* +5,000 Green Jun 97/98 call spds, 6.5
* 4,000 Green Jul 97/98 call spds
* 5,000 Jun 95/96 2x1 put spds, 1.25
Tsy options
* -2,000 TUM 110.25 calls from 6- to 6.5/64
* +2,00 TYN 141/142 call spds, 6/64
* -1,000 TYN 138 put puts, 32/64
* small buyer post data TYU 138.5/139 strangles, 2-19/64
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]

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