US TSYS: So Long April, Can't Say It Was Fun

US TSY SUMMARY: Futures pressed late, volume spike (TYM climbed to 1.375M from

appr 1M in minutes after close) on month end dislocations: Tsys extended session

lows late even as equities held lows (hear $40B sell imbalance), while WTI

gapped to 19.22 briefly. Larger than expected Boeing 7pt jumbo debt issuance

over estimates at $25B helped trigger selling; some desks citing technicals on

another press to downside overnight. Unsurprisingly, yld curves bear steepen. 

- Tsys extended highs prior to PMI data have scaled back slightly even after the

worse than expected 35.4 number vs. 38.0 est (47.8 previous).

- Lead quarterly Jun Eurodollar futures saw decent vol today, first rallying on

the back of this morning's 3M LIBOR drop (-0.1305 to 0.5561%, -0.3310/wk). EDM0

inexplicably reversed course w/ initial speculation over precipitous 3M LIBOR

drop is overdone w/ futures anticipating a rebound. Key to move is in FRB Main

St lending program details where program loans will be based on LIBOR instead of

SOFR.

- The 2-Yr yield is down 1.2bps at 0.1897%, 5-Yr is down 1.3bps at 0.3545%,

10-Yr is up 0.9bps at 0.6361%, and 30-Yr is up 2.7bps at 1.2773%.

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: 139-09 @ 16:18 BST, Apr 30

*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 are in minor positive 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 3-YR TECHS: (M0) New Normal

*RES 3: 100.000 - Handle Psychological Resistance

*RES 3: 99.951 - 123.6% Fib Projection

*RES 1: 99.780 - High Apr 01

*PRICE: 99.750 @ 16:20 BST Apr 30

*SUP 1: 99.440 - Low Mar 16

*SUP 2: 99.300 - Recent low (cont)

*SUP 3: 99.225 - Low Feb 6 and 13 (cont)

Aussie bond markets hold close to alltime highs following the RBA's venture into

bond markets which is clearly still propping up prices. The chart has now begun

to look overbought and a period of consolidation is now the most likely outcome.

A break of the Mar 16 low would trigger deeper short-term losses and open the

99.300 level, a recent low of the continuation chart.

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: 99.1400 @ 16:20 BST, Apr 30

*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): Inside Session

*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: 152.87 @ 16:22 BST, Apr 30

*SUP 1: 150.70 - 1.0% 10-dma envelope

*SUP 2: 150.61 - Low Mar 19

*SUP 3: 150.00 - Psychological round number 

Strength seen at the tail-end of last week extended into this week, narrowing

the gap with the first upside target at 153.50. Confirmation that the BoJ will

target unlimited bond buying continues to support, making a further upside break

a stronger prospect. Targets remain at 153.50 initially ahead of 154.56. To the

downside, targets sit at the 151.52 low, which opens 150.61 next as well as the

psychological 150.00 handle further out.

MONTH-END EXTENSIONS: *** FINAL Bloomberg-Barclays US month-end index extension.

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.................0.13........0.08........0.07

*Agencies................0.03........0.04........0.08

*Credit..................0.20........0.10........0.04

*Govt/Credit.............0.17........0.09........0.05

*MBS.....................0.05........0.06........0.05

*Aggregate...............0.08........0.08........0.06

*Long Govt/Credit........0.06........0.09........0.06

*Interm Credit...........0.20........0.08........0.06

*Interm Govt.............0.10........0.08........0.07

*Interm Govt/Cred........0.15........0.08........0.06

*High Yield..............0.08........0.11........0.06

TSY FUTURES CLOSE: Futures pressed late, volume spike (TYM climbed to 1.375M

from appr 1M in minutes after close) on month end dislocations: Tsys extended

session lows late even as equities held lows (hear $40B sell imbalance), while

WTI gapped to 19.22 briefly. Larger than expected Boeing 7pt jumbo debt issuance

over estimates at $25B helped trigger selling; some desks citing technicals on

another press to downside overnight. Unsurprisingly, yld curves bear steepen.

Update:

* 3M10Y  +0.353, 49.95 (L: 42.636 / H: 53.018)

* 2Y10Y  +2.371, 42.155 (L: 38.38 / H: 43.226)

* 2Y30Y  +5.091, 103.999 (L: 97.028 / H: 104.484)

* 5Y30Y  +5.378, 88.136 (L: 81.994 / H: 88.338); Current futures levels:

* Jun 2-Yr futures up 0.625/32 at 110-6.5 (L: 110-05.375 / H: 110-06.875)

* Jun 5-Yr futures up 2/32 at 125-14.25 (L: 125-10.75 / H: 125-16.75)

* Jun 10-Yr futures up 0.5/32 at 139-1 (L: 138-26.5 / H: 139-09)

* Jun 30-Yr futures down 12/32 at 181-15 (L: 181-01 / H: 182-20)

* Jun Ultra futures down 1-5/32 at 225-23 (L: 225-04 / H: 228-15)

US EURODLR FUTURES CLOSE: Trades mostly weaker after the bell, short end little

off lows (lead quarterly EDM0 sold off on earlier news FRB news 3M LIBOR will

still be used over SOFR for program loans -- could see bounce in settle

tomorrow, breaking 9 consecutive run lower). Update: 

* Jun 20 -0.025 at 99.645

* Sep 20 -0.015 at 99.70

* Dec 20 -0.010 at 99.680

* Mar 21 -0.015 at 99.735

* Red Pack (Jun 21-Mar 22) -0.015 to -0.01

* Green Pack (Jun 22-Mar 23) -0.005 to steady

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

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

US DOLLAR LIBOR: Latest settles

* O/N +0.0056 at 0.0605% (+0.0038/wk)

* 1 Month -0.0405 to 0.3296% (-0.0812/wk)

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

* 6 Month -0.0454 to 0.7595% (-0.1627/wk)

* 1 Year -0.0340 to 0.8646% (-0.0749/wk)

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

* Daily Effective Fed Funds Rate: 0.04%, volume: $99B

* Daily Overnight Bank Funding Rate: 0.04%, volume: $246B

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

* Secured Overnight Financing Rate (SOFR): 0.01%, $1.141T

* Broad General Collateral Rate (BGCR): 0.01%, $493B

* Tri-Party General Collateral Rate (TGCR): 0.01%, $470B

FED: Recap NY Fed operational purchases for Wednesday

Tsy 4.5Y-7Y, $7.000B accepted, $18.012B submitted

(Reminder, NY Fed lowered the daily avg Tsy sec buys to $10B from $15B late lst

Friday. Today is the first time there has been a lone buy operation since the NY

Fed started back in mid-March). Schedule for balance of the week:

NY Fed operational purchases schedule for Thursday ($14B)

* 1010-1030ET: Tsy 20Y-30Y, appr $3B

* 1100-1120ET: Tsy 2.25Y-4.5Y, appr $11B

NY Fed operational purchases schedule for Friday ($10.5B)

* 1100-1120ET: TIPS 7.5Y-30Y, appr $2.5B

* 1200-1220ET: Tsy 0-2.5Y, appr $8B

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

01-May  -   Apr NA-made light vehicle sales SAAR

01-May 0945 Apr Markit Mfg Index (final) (36.9, 36.7)

01-May 1000 Apr ISM Manufacturing Index (49.1, 36.0)

01-May 1000 Mar construction spending (-1.3%, -3.5%)

01-May 1100 Q2 St. Louis Fed Real GDP Nowcast

01-May 1115 Q2 NY Fed GDP Nowcast

PIPELINE: Boeing launched $25B 7pt jumbo; $39.8B to price on day pushes April

total high-grade issuance to new record high of $401.325B!!

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

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

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

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