US TSYS: Risk-Off Takes Midweek Break

US TSY SUMMARY: Rather muted mid-week trade on light volumes (TYM<850k) as Tsy

futures reversing Tuesday's move as they trade near late session lows after the

bell, Yld curves bear steepening.

- Not quite risk-on (though ESM0 trades near session highs +55.0), consider it

more risk-off unwinding w/Tsys only back to late Mon levels, while Jun West

Texas crude bounced 20% to appr $14.5/bbl (day after expired May serial futures

traded below -$40.0/bbl).

- Decent corp debt issuance on day >$7B favoring supra-sovereigns. Incidentally,

sov spds vs. German Bunds also narrowed, lending to mild risk re-distribution.

Additional liquidity measures: ECB teleconference headlines after the bell

included the ECB will "ACCEPT SOME JUNK-RATED DEBT AS COLLATERAL FOR BANK LOANS"

with "COLLATERAL ELIGIBLE ON APR 7 TO STAY VALID IF CUT TO JUNK" until Sep 2021.

- The 2-Yr yield is up 1.2bps at 0.2153%, 5-Yr is up 2.9bps at 0.3642%, 10-Yr is

up 4.7bps at 0.6159%, and 30-Yr is up 5.3bps at 1.2157%.

TECHNICALS:

US 10YR FUTURE TECHS: (M0) Bulls Eyeing 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   High Apr 22

*PRICE: 139-02 @ 16:30 BST, Apr 22

*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 retreated further from the Tuesday high however a bullish theme

remains 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 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.

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: 99.1350 @ 16:32 BST, Apr 22

*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.

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: 152.26 @ 16:37 BST, Apr 22

*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: Weaker across the curve, near late session lows w/short end

outperforming. Back to rather quiet trade, however, more risk-off unwinding that

risk on with little in way of substantive data to trade off of. Yld curves

steeper. Update: 

* 3M10Y  +4.840, 50.559 (L: 35.778 / H: 52.956)

* 2Y10Y  +4.258, 40.621 (L: 34.624 / H: 41.905)

* 2Y30Y  +4.898, 100.62 (L: 92.514 / H: 101.484)

* 5Y30Y  +2.943, 85.488 (L: 79.854 / H: 85.498); Current futures levels:

* Jun 2-Yr futures down 0.125/32 at 110-6.25 (L: 110-05.5 / H: 110-07.125)

* Jun 5-Yr futures down 4.5/32 at 125-13 (L: 125-09.75 / H: 125-19.5)

* Jun 10-Yr futures down 11/32 at 139-1.5 (L: 138-26.5 / H: 139-17)

* Jun 30-Yr futures down 1-10/32 at 180-30 (L: 180-18 / H: 183-02)

* Jun Ultra futures down 2-19/32 at 227-01(L: 226-03 / H: 231-06)

US EURODLR FUTURES CLOSE: Inside range session with Whites mildly higher after

the bell, lead quarterly EDM0 outperforming, levels progressively weaker/off

lows out the strip. Update: 

* Jun 20 +0.025 at 99.540

* Sep 20 +0.015 at 99.650

* Dec 20 +0.010 at 99.640

* Mar 21 +0.005 at 99.710

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

* Green Pack (Jun 22-Mar 23) -0.03 to -0.02

* Blue Pack (Jun 23-Mar 24) -0.04 to -0.035

* Gold Pack (Jun 24-Mar 25) -0.05 to -0.04

US DOLLAR LIBOR: Latest settles

* O/N +0.0003 at 0.0635% (-0.0036/wk)

* 1 Month -0.0549 to 0.5697% (-1.030/wk)

* 3 Month -0.0227 to 1.0202% (-0.0886/wk)

* 6 Month -0.0336 to 0.9906% (-1.118/wk)

* 1 Year -0.0161 to 0.9704% (-0.0115/wk)

US SWAPS: Spds running tighter across the curve, spd curve inching flatter late

w/short end off narrows on late deal-tied hedging, rate receiver unwinds,

two-way in intermediates to long end sees light payer unwinds. Latest spd levels

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

Wed 1500  -0.88/+19.75   -1.25/+9.50    -1.75/+5.25    -1.38/-38.69

1345      -1.25/+19.38   -1.25/+9.50    -1.62/+5.38    -1.19/-38.50

1200      -1.00/+19.62   -1.00/+9.75    -1.25/+5.75    -1.19/-38.50

1000      +0.00/+20.62   +0.00/+10.75   -0.50/+6.50    -1.19/-38.50

Wed Open  +0.50/+21.12   +0.25/+11.00   +0.75/+6.75    -1.19/-38.50

Wed 0715  +0.00/+20.62   +0.38/+11.12   -0.25/+6.75    +0.56/-36.75

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

Tuesday recap: 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. 

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

* Daily Effective Fed Funds Rate: 0.05%, volume: $104B

* Daily Overnight Bank Funding Rate: 0.04%, volume: $272B

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

* Secured Overnight Financing Rate (SOFR): 0.01%, $1.163T

* Broad General Collateral Rate (BGCR): 0.01%, $492B

* Tri-Party General Collateral Rate (TGCR): 0.01%, $467B

FED: Recap NY Fed operational purchase for Wednesday

* Tsy 7Y-20Y, $3.500B accepted, $14.136B submitted

* TIPS 1Y-7.5Y, $3.500B accepted, $6.818B submitted

-- 

NY Fed operational purchases schedule for Thursday ($21B)

* 1010-1030ET: Tsy 20Y-30Y, appr $5B

* 1100-1120ET: Tsy 2.25Y-4.5Y, appr $16B

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

23-Apr 0830 18-Apr jobless claims (5.245M, 4.500M)

23-Apr 0945 Apr Markit Services Index (flash) (39.8, 30.0)

23-Apr 0945 Apr Markit Mfg Index (flash) (48.5, 35.0)

23-Apr 1000 Mar new home sales (.765m, .640m)

23-Apr 1030 17-Apr natural gas stocks w/w

23-Apr 1100 Apr Kansas City Fed Mfg Index (-17, -37)

23-Apr 1130 US Tsy TBA  4W Bill auction (9127962N8)

23-Apr 1130 US Tsy TBA  8W Bill auction (9127962W8)

23-Apr 1300 US Tsy $17B 5Y TIPS auction (912828ZJ2)

23-Apr 1630 22-Apr Fed weekly securities holdings

PIPELINE: Bank of Montreal launched

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

04/22 $3B #Bank of America 11NC10 +200

04/22 $1.5B #Bank of Montreal 5Y +150

04/22 $1B *BOC Aviation 5Y +300

04/22 $1B #Equifax $400M 5Y +225, $600M 10Y +250

04/22 $600M #Xiaomi 10Y +290

04/22 $Benchmark Netflix, $1B split between US/EUR

04/22 $Benchmark United Mexican State 5Y, 12Y, 31Y

On tap for Thursday:

04/23 $2B Bank of England 3Y +32a

04/23 $1B Kommuninvest WNG 2Y +20a

Eurodollar/Tsy options

Eurodollar options

* 5,000 Jun 91/92/93 put trees

* Update, >30,000 May 93/Jun 92 put spds, rolling out and down

* Update, appr 35,000 May 95/Jun 92 put spds, 1.25 adding to earlier 25k Block

* >15,000 Jun 1x3x2 call flys vs. Jun 91/93 put spds, checking price

* 4,900 Sep 87/88/90/91 put condors

Block 1031:55ET, * 25,500 May 95/Jun 92 put spds, 1.25 vs. 99.53/0.24% after

some 15k May 93/Jun 92 put spd/roll outs traded earlier

* +20,000 Jun 96/97 call strips, 4.0

* Update, >+13,500 Jun 98 calls cab

* +8,100 Jun 98 calls cab

* appr 15,000 May 93/Jun 92 put spds, rolling out and down

* 2,000 Jun 92/93/95 put flys

* +8,250 Sep 96/98 call spds

* 2,000 Jun 91/92 put spds

Casting a wide net for protracted period of negative rates:

* +1,000 Mar/Red Jun'21/Red Sep'21 100/100.12 call spd strip, 6.0 total

Overnight trade

* -9,000 Jun 92/93 put spds, 1.5

* 2,000 Jun 93/95/96 1x3x2 call fly, 5.0 cr/belly over

Tsy options:

* over 3,000 TYM 140.5/141.5 call spds, 11/64

Overnight trade pretty muted again

* >5,000 FVM 125.25 puts, 19/64 last

* Block, -2,000 USM 189 calls 6/64 over USM 177/180 put spds late Tue

* +2,000 USM 150/155 put spds, 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$]