US TSYS: Tsy Refunding Hammers Long End Rates

US TSY SUMMARY: Tsys largely ignored the record decline in private payrolls for

Apr (-20.236M; Mar revision -149,000 vs. -27,000), focus instead on Tsy

refunding that will include $20B 20Y nominal coupon bond (May 20 auction).

- Tys gapped lower with increased Tsy supply in long end. Lower than anticipated

bill supply helped bear steepen yld curves.

- Holding near steady for much of second half, equities sold off late/extending

bottom of range: DJIA -218.45 (-0.91%) at 23664.64; S&Ps- 24.75 (-0.87%) at

2833.5. 

- Swap spds gapped tighter on Tsy record refunding annc includes $20B 20Y. 10Y

spds are back to late Mar lvls. Short end resisted move w/focus more on long end

Tsy supply. Surge in number of corp debt issuers added to moves in rates and

spds: near $30B total from 16 issuers. 

- The 2-Yr yield is down 1bps at 0.1784%, 5-Yr is down 0.5bps at 0.3702%, 10-Yr

is up 4bps at 0.7014%, and 30-Yr is up 7bps at 1.402%.

TECHNICALS:

US 10YR FUTURE TECHS: (M0) Bullish Outlook Deteriorating

*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: 138-14 @ 16:10 BST, May 6

*SUP 1: 138-08+ Low May 06

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

*SUP 3: 137-05+ 50-day EMA

*SUP 4: 136-29+ Low Mar 24

10yr futures inched lower again Wednesday. The technical picture is unchanged

and continues to highlight a bullish theme, but this has weakened somewhat. The

recovery from 137-16 on Apr 7 is a positive development. The move higher marked

a bounce off support highlighted by the 20-day EMA and price for the most part

continues to hold above the average. The focus is on 140-00 and the contract

high of 140-24 from Mar 9. Key S/T support is at 137-16, Apr 7 low. Initial

support is at 137-16.

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: 152.49 @ 16:25 BST, May 6

*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: Balance of wk's Tsy bill auction schedule:

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

07 May  1130ET   $80B    4W Bill      9127962U2

07 May  1130ET   $70B    8W Bill      9127963C1

07 May  1300ET   $30B   105D Bill     9127963Q0

TSY FUTURES CLOSE: Steady to mixed after the bell, short end outperforming

broadly weaker levels out the curve after record note/bond refunding annc to

include 20Y. Likely factor contributing to support in short end Tsys, Eurodollar

Whites (EDM0-EDH1) and Fed Funds futures, desks had expected more bill supply in

refunding. Update: 

* 3M10Y  +5.795, 58.765 (L: 51.676 / H: 62.69)

* 2Y10Y  +5.448, 52.625 (L: 47.268 / H: 55.306)

* 2Y30Y  +7.818, 122.004 (L: 113.975 / H: 125.432)

* 5Y30Y  +7.115, 102.657 (L: 94.961 / H: 104.804); Current futures levels:

* Jun 2-Yr futures up 0.5/32 at 110-6.875 (L: 110-05.5 / H: 110-07.25)

* Jun 5-Yr futures down 0.25/32 at 125-12 (L: 125-06.5 / H: 125-12.75)

* Jun 10-Yr futures down 9/32 at 138-18.5 (L: 138-08.5 / H: 138-26)

* Jun 30-Yr futures down 1-11/32 at 178-30 (L: 178-01 / H: 180-08)

* Jun Ultra futures down 3-05/32 at 219-6 (L: 217-12 / H: 222-08)

US EURODLR FUTURES CLOSE: Mostly/moderately higher after the bell, short end

support crept out to the Blues during second half. Contributing factor: many had

est increased bill supply would help put brakes on drop in 3M LIBOR (-0.0263 to

0.4477%, -0.0932/wk). Expect further declines in short term. Update: 

* Jun 20 +0.015 at 99.650

* Sep 20 +0.015 at 99.710

* Dec 20 +0.020 at 99.690

* Mar 21 +0.025 at 99.760

* Red Pack (Jun 21-Mar 22) +0.020 to +0.025

* Green Pack (Jun 22-Mar 23) +0.025 to +0.020

* Blue Pack (Jun 23-Mar 24) +0.020 to +0.010

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

US DOLLAR LIBOR: Latest settles

* O/N +0.0047 at 0.0625% (+0.0041/wk)

* 1 Month -0.0256 to 0.2216% (-0.0817/wk)

* 3 Month -0.0263 to 0.4477% (-0.0932/wk)

* 6 Month -0.0057 to 0.6944% (-0.0186/wk)

* 1 Year -0.0330 to 0.7982% (-0.0372/wk)

US SWAPS: Spds tighter w/long end at/near inverted lows by the bell. Spds gapped

tighter on Tsy record refunding annc includes $20B 20Y. 10Y spds are back to

late Mar lvls. Short end resisted move w/focus more on long end Tsy supply.

Surge in the number of corporate debt issuers added to moves in rates and spds.

Latest spd levels:

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

Wed 1500  -0.50/+11.56   -1.50/+2.75    -3.00/-3.75    -3.00/-50.00

1245      -0.25/+11.81   -1.31/+2.94    -2.69/-3.44    -3.38/-50.38

1100      -0.62/+11.44   -1.50/+2.75    -3.00/-3.75    -3.75/-50.75

0900      -0.31/+11.75   -0.75/+3.50    -2.25/-3.00    -2.75/-49.75

Wed Open  -0.06/+12.00   -0.25/+4.00    +0.00/-0.75    +0.25/-46.75

Wed 0700  +0.00/+12.06   -0.50/+3.75    +0.00/-0.75    +0.00/-47.00

Tue 1545  -0.88/+12.25   +0.62/+4.38    +0.00/-0.50    -0.25/-47.00

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: $206B

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

* Secured Overnight Financing Rate (SOFR): 0.05%, $1.172T

* Broad General Collateral Rate (BGCR): 0.04%, $489B

* Tri-Party General Collateral Rate (TGCR): 0.04%, $474B

FED: Recap NY Fed operational purchase for Wednesday ($6.0B)

* Tsy 7Y-20Y, $4.000 accepted, $10.687B submitted

* TIPS 7.5Y-30Y, $2.000 accepted, $4.393B submitted

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):

07-May 0730 Apr challenger layoff plans (267%, --)

07-May 0830 02-May jobless claims (3.839M, 3.000M)

07-May 0830 Q1 non-farm productivity (p) (1.2%, -5.5%)

07-May 0830 Q1 unit labor costs (p) (0.9%, 4.5%)

07-May 0830 Atl Fed Pres Bostic on Covid financial impact

07-May 1030 01-May natural gas stocks w/w

07-May 1130 $80B US Tsy 4W Bill auction (9127962U2)

07-May 1130 $70B US Tsy 8W Bill auction (9127963C1)

07-May 1200 Minn Fed Kashkari on Covid-19 response 

07-May 1300 $30B US Tsy 105D Bill auction (9127963Q0)

07-May 1500 Mar consumer credit ($22.331B, $15.000B)

07-May 1600 Philly Fed Pres Harker on virus response, Q&A

07-May 1630 06-May Fed weekly securities holdings

PIPELINE: GE Capital edges out AIG w/$4.5B 4pt

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

05/06 $4.5B #GE Cap $1.35B 5Y +310a, $1B 7Y +350, $1.4B 10Y +370, $750M 12Y +385

05/06 $4.1B #AIG $1.5B 5Y +215, $1.6B 10Y +270, $1B 30Y +300

05/06 $4B #VW Group $1.5B 2Y +275, $1B 3Y +290, $1B 5Y +300, $500M 10Y +305

05/06 $3B #Sinopec $1B 5Y +180, $1.5B 10Y +205, $500M 30Y 3.35%

05/06 $3B #JP Morgan 11NC10 +225

05/06 $2B #Qualcomm $1.2B 10Y +150, $800M 30Y +190

05/06 $2B *Capital One $1B 3Y +237, $1B 7Y +310

05/06 $1.25B *Swedish Export Credit 5Y +32

05/06 $1.2B *Transcontinental Gas $700M 10Y and $500M 30Y both +255

05/06 $1B #Tennessee Valley Authority WNG 5Y +43

05/06 $600M *Realty Income +10Y +265

05/06 $600M #Colonial Enterprises 10Y +255

05/06 $500M #Sun Hung Kai Properties 10Y +210

05/06 $500M #Magellan Midstream WNG 10Y +255

05/06 $500M *Loews WNG 10Y +250

05/06 $375m *Public Service Elec&Gas 30Y +130

05/06 $Benchmark Bahrain 10Y investor call

05/06 $Benchmark CAF 3Y +220a

On tap for Thursday

05/07 $Benchmark IBRD/World Bank 10Y +36a

Eurodollar/Tsy options

Eurodollar options

* +10,000 Dec 90/93 put spds, 1.5

* 6,500 May 96 puts, 1.75

* Update, over 13,400 Sep 100 calls, 0.75 last

* +6,000 Jun 95 puts, 1.25 vs. 99.62/0.15

* near 7,800 Sep 100 calls, 0.75 last

* 1,000 short Sep 100.12 calls, 1.0

* 2,300 short Jun 100 calls, 0.5

* just over 10,000 Blue Jun 87/92 put spds 1.5

* 2,000 Jun 95/96 call spds, 10.0

Overnight trade

* just over 21,000 Jun 97 calls, .75

* 1,700 Mar 97/98/100/100.12call condors

* 2,500 Jun 95 puts, 1.5

* +1,000 Jun 92/93/95/96 put condors, 2.5

* +1,000 Jun 93/95 put spds, 1.0

* 1,000 Jun/Dec 92/93/95 put fly spd

* 1,000 Sep 93/95/96 put flys

Tsy options

* +5,000 USM 176.5/180.5 strangles 2- to 4/64 over the USN 171/183 strangles

* near 5,000 USM 150/155 put spds vs. USN 148/153 put spds

* -3,000 TYM 137 puts, 7/64

* +1,500 USN 162/165/170 put flys, 16/64

* scale seller FVM 125.25 calls from 14.5- to 15/64, volume over 3,000

* over 9,900 FVM 126 calls, 2.5/64 last 

* 6,500 FVM 126/126.5 call spds, 1/64

Coming into the session:

* +2,500 TYU 131/131.5 call spds, 5/64

* +1,200 TYM 138 puts, 16/64

* +1,500 USM 172/173 put spds, 2/64

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

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