US TSYS: Rates Off Lows Late As US Virus Count Rises

US TSY SUMMARY: Quiet end to the week with rates weaker by the bell (but

climbing higher after headline: "U.S. VIRUS CASES RISE 4.4%, ABOVE PAST WEEK'S

AVERAGE OF 2.9%") on light volumes with much of Europe out for May day holiday.

Few minutes prior, Trump annc "FDA HAS APPROVED GILEAD DRUG FOR EMERGENCY USE"

Bbg.

- Modest bid after ISM Mfg index plunged to 41.5 in April, the lowest level

since Apr 2009.

- NY Fed lowers daily avg Tsy sec buys to $8B next wk from $10B this wk

- Eurodollar futures Whites-Greens were modestly weaker/session lows after

volume spike in late trade: w/over 60,000 Dec'20 from 99.67-.665, appr half the

days volume, as well as appr 16,500 Mar'21 from 99.725-.72.

- The 2-Yr yield is up 0.4bps at 0.1998%, 5-Yr is down 0.5bps at 0.3576%, 10-Yr

is down 1.7bps at 0.6228%, and 30-Yr is down 2.7bps at 1.2583%.

TECHNICALS:

US 10YR FUTURE TECHS: (M0) Looking For Gains     

*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: 138-29 @ 16:16 BST, May 1

*SUP 1: 138-17   Low Apr 17 and Low Apr 28 

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

*SUP 3: 136-29+ Low Mar 24

*SUP 4: 136-22+  50-day EMA

10yr futures headed into the close in minor negative territory, consolidating

following a recovery off recent lows. The technical picture is still

highlighting a bullish backdrop. On Apr 7, prices found support at 137-16. This

was also the area where the 20-day EMA intersected on Apr 7. The subsequent

recovery is a positive development and price continues to hold above the 20-day

EMA. The focus is on 140-00 and the contract high of 140-24 from Mar 9. Key S/T

support is 137-16, Apr 7 low.

AUSSIE 10-YR TECHS: (M0) Edging Higher

*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: 99.1300 @ 16:18 BST, May 1

*SUP 1: 98.6300 - Low Mar 18

*SUP 2: 98.5700 - Low Jan 2

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

After a considerable consolidation phase, Aussie 10yr futures initially edged

slightly lower Monday, bottoming out at 99.0350, the lowest level since early

April, but have bounced since. A slip through 99.02 would mark down the outlook,

opening further losses down to the late March lows of 98.63, but that seems a

way away at present. Any 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): Returns South

*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: 152.56 @ 16:20 BST, May 1

*SUP 1: 152.44 - 50% April Rally

*SUP 2: 150.61 - Low Mar 19

*SUP 3: 150.00 - Psychological round number 

All residual strength faded well ahead of the Friday close, returning JGB

futures to the middle of the recent range. This opens a return back toward the

152.44 mark for initial support before the 151.52 low, which opens 150.61 next

as well as the psychological 150.00 handle further out. The first upside target

rests at 153.50 initially ahead of 154.56.

US TSYS/SUPPLY: Recap next week's Treasury bill auction schedule:

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

04 May  1130ET   $60B    13W Bill     912796WZ8

04 May  1130ET   $51B    26W Bill     912796TP4

04 May  1300ET   $30B   105D Bill     9127963P2

05 May  1130ET   $65B    42D Bill     912796SV2

05 May  1130ET   $30B   119D Bill     912796XH7

07 May  1130ET   TBA     4W Bill      05 May Annc

07 May  1130ET   TBA     8W Bill      05 May Annc

TSY FUTURES CLOSE: Mildly weaker at the bell, near middle narrow session range

on light volumes (TYM<725k by the bell) with much of Europe closed for May Day

holiday. Yld curves mostly flatter. Update: 

* 3M10Y  +0.888, 52.612 (L: 46.051 / H: 54.228)

* 2Y10Y  -0.611, 43.563 (L: 40.724 / H: 44.748)

* 2Y30Y  -1.504, 107.22 (L: 104.693 / H: 110.375)

* 5Y30Y  -1.434, 90.65 (L: 90.079 / H: 93.77); Current futures levels:

* Jun 2-Yr futures down 1.25/32 at 110-5.625 (L: 110-05.375 / H: 110-07.25)

* Jun 5-Yr futures down 3.5/32 at 125-12 (L: 125-10.75 / H: 125-18.25)

* Jun 10-Yr futures down 5/32 at 138-29 (L: 138-27 / H: 139-08.5)

* Jun 30-Yr futures down 9/32 at 180-24 (L: 180-08 / H: 181-25)

* Jun Ultra futures up 2/32 at 224-27 (L: 223-16 / H: 226-15)

US EURODLR FUTURES CLOSE: Whites-Greens modestly weaker/session lows after

volume spike in late trade: w/over 60,000 Dec'20 from 99.67-.665, appr half the

days volume, as well as appr 16,500 Mar'21 from 99.725-.72. Golds outperforming.

Update: 

* Jun 20 -0.020 at 99.635

* Sep 20 -0.020 at 99.690

* Dec 20 -0.020 at 99.665

* Mar 21 -0.025 at 99.720

* Red Pack (Jun 21-Mar 22) -0.02 to -0.01

* Green Pack (Jun 22-Mar 23) -0.01 to -0.01

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

* Gold Pack (Jun 24-Mar 25) +0.005 to +0.010

US DOLLAR LIBOR: Latest settles

* O/N +0.0021 at 0.0584% (+0.0017/wk)

* 1 Month -0.0262 to 0.3034% (-0.1074/wk)

* 3 Month -0.1305 to 0.5561% (-0.3310/wk)

* 6 Month -0.0465 to 0.7130% (-0.2092/wk)

* 1 Year -0.0291 to 0.8355% (-0.1040/wk)

Spds mostly tighter after the bell, narrow range on very little swap-tied

volume. Spds appr 3.0bp tighter in 2s-10s for the week, 30Y lagged, extending

inversion 2.0bp/wk. 

Latest levels:

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

Fri 1550  +0.50/+13.06   -0.50/+4.50    -0.25/+0.25    -0.31/-45.44

Fri Open  +0.44/+13.00   +0.50/+5.50    +0.25/+0.75    -0.38/-45.50

Thu 1500  +0.69/+12.88   +0.25/+5.50    +0.25/+1.25    -1.69/-45.00

Last week:

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: $92B

* Daily Overnight Bank Funding Rate: 0.04%, volume: $211B

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

* Secured Overnight Financing Rate (SOFR): 0.04%, $1.180T

* Broad General Collateral Rate (BGCR): 0.02%, $501B

* Tri-Party General Collateral Rate (TGCR): 0.02%, $479B

FED: Recap NY Fed operational purchases for Friday ($10.5B)

* TIPS 7.5Y-30Y, $2.500 accepted, $4.549B submitted

* Tsy 0-2.5Y, $8.000 accepted, $45.991B submitted

--

*** NY Fed lowers daily avg Tsy sec buys to $8B next wk from $10B this wk

NY Fed operational purchases schedule for Monday ($4.5B)

* 1010-1030ET: Tsy 20Y-30Y, appr $2.5B

* 1100-1120ET: TIPS 1Y-7.5Y, appr $2.0B

NY Fed operational purchases schedule for Tuesday ($13B)

* 1100-1120ET: Tsy 0-2.25Y, appr $13B

NY Fed operational purchases schedule for Wednesday ($6B)

* 1010-1030ET: Tsy 7Y-20Y, appr $4B

* 1100-1120ET: TIPS 7.5Y-30Y, appr $2.0B

NY Fed operational purchases schedule for Thursday ($8.5B)

* 1010-1030ET: Tsy 20Y-30Y, appr $2.5B

* 1100-1120ET: Tsy 4.5Y-7Y, appr $6B

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

* 1010-1030ET: Tsy 2.25Y-4.5Y, appr $8B

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

04-May 0945 Apr ISM-NY current conditions (12.9, --)

04-May 1000 Mar factory new orders (0.0%, -9.2%)

04-May 1000 Mar factory orders ex transport (-0.9, --)

04-May 1130 US Tsy $60B  13W Bill auction (912796WZ8)

04-May 1130 US Tsy $51B  26W Bill auction (912796TP4)

04-May 1300 US Tsy $30B 105D Bill auction (9127963P2)

PIPELINE: Boeing's $25B 7pt jumbo was lion's share of Thursday's $39.8B total

placement -- with April total high-grade issuance setting a new record high of

$401.325B!!

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

05/01 Nothing in Friday's pipeline as yet, issuers possibly sidelined on low

volume May Day holiday in Europe. Still expecting rush of more financial names

to extend debt as they exit earnings blackout

-

04/30 $25B *Boeing 7pt $3B 3Y +425, +450: $3.5B 5Y, $2B 7Y, $4.5B 10Y and $5.5B

30Y, $3B 20Y +440, $3.5B 40Y +462.5

04/30 $4B *IBM 4pt $1.25B 7Y +120, $1.35B 10Y +135, $650M 20Y +160, $750M 30Y

+170

04/30 $2.5B *Anthem $400M 5Y +140, $1.1B 10Y +170, $1B 30Y +190

04/30 $2B *Lam Research $750M 10Y +130, $750M 30Y +160, $500M 40Y +185

04/30 $1.75B *Barclays 6NC5 +250

04/30 $1.5B *Mondelez $750M 5Y +125, $750M 10Y +145

04/30 $1.25B *Fifth Third $500M 3Y +140, $750M 7Y +205

04/30 $800M *Norfolk Southern 30Y +178

04/30 $400M *Reliance Standard Life 5Y +250

04/30 $600M *NVR 10Y +240

05/-- $Benchmark CAF 3Y (Corporacion Andina De Fomento) investor call

Eurodollar/Tsy options

Eurodollar options

* Update, total +15,000 Blue Jul 95/96/97 call flys w/ Blue Jul 98 calls,

5.0-5.5

Block, 0907:39ET additional on screen +10,000 Dec 100 calls, 1.5

* +20,000 Jul/Sep 96/97/98 call fly strip 12.0 total vs 99.70/0.22%

* +14,000 Sep 97/98 1x2 call spds 0.75 vs. 99.685-.62/0.08% and another +16,000

Sep 97/98 1x3 call spds, 0.0 net

* -8,500 Jun 92/95/97 call flys, 8.5 vs. 99.65/0.50%

* +12,000 Jun 93/95 2x1 put spds, 0.25

* -5,000 Mar 93/96 vs. short Mar 92 puts, 0.5 net db

Tsy Options

* -9,000 TYN 136.5/140.5 strangles, 33- to 31/64 on day, implieds flat at moment

despite sales, may accelerate as session wears on.

* 3,200 TYN 137 puts 10-11 over TYM 137.5 puts

* wk2 TY 139.25/140 call spds trade on 4,400 x 5,500 spd, 10/64 net

* 2,500 TYN 138.5/140 1x2 call spds

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

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