US TSYS: Tsys Bid After BoJ Unlimited Bond Buy Discussion

US TSY SUMMARY: Relatively quiet session, Tsys see-sawed on inside range

session, moderate volumes w/TYM under 1M after the bell, yld curves flatter with

long end outperforming. 

- No tail event headlines into lead-up or during the session, weekly claims

slightly better than expected (?!). When is over 4M weekly jobless claims a

positive read? When compared to more dire estimates as Tsy futures came under

mild sell pressure after latest claims number (4.27M), while equities turned

higher.

- Rates surged higher little after 0930ET when Nikkei reported BOJ will discuss

unlimited bond buying at its next meeting, while doubling the purchases of

corporate instruments -- knock on bid in Tsys ensued w/rates see-sawing in

narrow range through the close.

- Corporate debt picked up, issuers off the sidelines to take advantage of the

relative calm, $6.5B Wells Fargo 2pt priced late.

- The 2-Yr yield is up 0.4bps at 0.2171%, 5-Yr is down 0.3bps at 0.3641%, 10-Yr

is down 1.8bps at 0.6015%, and 30-Yr is down 3.5bps at 1.1798%.

TECHNICALS:

US 10YR FUTURE TECHS: (M0) Focus Is Still On 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: 139-01+ @ 15:59 BST, Apr 23

*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: 136-13   50-day EMA

10yr futures retreated further from the Tuesday however despite this, the

outlook is bullish. 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. 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. The bull trigger is 139-22.

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: 99.1300 @ 16:09 BST, Apr 23

*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. 

JGB TECHS: (M0): Boost Short-Lived

*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: 152.45 @ 16:10 BST, Apr 23

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

*SUP 2: 150.61 - Low Mar 19

*SUP 3: 150.00 - Psychological round number 

After a series of particularly quiet sessions, JGB futures jerked higher in late

US hours in response to a Nikkei report that the BoJ could consider unlimited

bond buying. The rally was short-lived, however, keeping the short-term outlook

mildly positive. 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: *** 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

US TSYS/SUPPLY: Synopsis of next week's Tsy bill/note auctions

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

27 Apr  1130ET   $48B    26W Bill     9127962T5

27 Apr  1130ET   $42B    2Y Note      912828ZM5

27 Apr  1300ET   $57B    13W Bill     912796WY1

27 Apr  1300ET   $43B    5Y Note      912828ZL7

28 Apr  1130ET   $55B    43D Bill     912796TZ2

28 Apr  1130ET   $22B    2Y Note FRN  912828ZK9

28 Apr  1300ET   $35B    7Y Note      912828ZN3

29 Apr  1130ET   $25B   119D Bill     912796XG9

29 Apr  1130ET   $25B   273D Bill     912796UC1

TSY FUTURES CLOSE: Relatively quiet session, Tsys see-sawed on inside range

session, moderate volumes w/TYM under 1M after the bell, yld curves flatter with

long end outperforming. Update: 

* 3M10Y  -1.558, 48.904 (L: 46.227 / H: 52.146)

* 2Y10Y  -2.448, 37.725 (L: 37.254 / H: 41.59)

* 2Y30Y  -3.530, 96.259 (L: 94.622 / H: 100.879)

* 5Y30Y  -3.038, 81.587 (L: 80.075 / H: 84.858); Current futures levels:

* Jun 2-Yr futures down 0.5/32 at 110-5.625 (L: 110-05.25 / H: 110-06.375)

* Jun 5-Yr futures down 0.75/32 at 125-12 (L: 125-09 / H: 125-14)

* Jun 10-Yr futures up 1/32 at 139-2.5 (L: 138-27.5 / H: 139-05.5)

* Jun 30-Yr futures up 24/32 at 181-23 (L: 180-18 / H: 182-00)

* Jun Ultra futures up 1-8/32 at 228-10 (L: 226-15 / H: 229-11)

US EURODLR FUTURES CLOSE: Inside range session with Whites steady/mixed, lead

quarterly EDM0 outperforming, levels mildly firmer out the strip. Update: 

* Jun 20 +0.020 at 99.560

* Sep 20 steady at 99.650

* Dec 20 -0.005 at 99.635

* Mar 21 +0.005 at 99.715

* Red Pack (Jun 21-Mar 22) steady to +0.010

* Green Pack (Jun 22-Mar 23) +0.010 to +0.020

* Blue Pack (Jun 23-Mar 24) +0.020 to +0.025

* Gold Pack (Jun 24-Mar 25) +0.025 to +0.030

US DOLLAR LIBOR: Latest settles

* O/N -0.0052 at 0.0582% (-0.0088/wk)

* 1 Month -0.0825 to 0.4872% (-1.855/wk)

* 3 Month -0.0289 to 0.9913% (-1.175/wk)

* 6 Month -0.0254 to 0.9652% (-1.372/wk)

* 1 Year -0.0101 to 0.9603% (-0.0216/wk)

US SWAPS: Spds were tighter across the board Thu, bottom of session range amid

pick up in swappable corporate issuance. Otherwise quiet swap related activity.

Latest spd levels

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

Thu 1600  -0.75/+18.00   -1.00/+8.00    -0.62/+3.62    -0.75/-40.12

1200      -0.88/+17.88   -1.06/+7.94    -0.50/+3.75    -0.50/-39.88

1000      -0.81/+17.94   -1.00/+8.00    -0.31/+3.94    -0.38/-39.75

Thu Open  -0.25/+18.50   -0.75/+8.25    +0.00/+4.25    -0.62/-40.00

Thu 0715  -0.69/+18.06   -0.50/+8.50    +0.12/+4.38    -0.50/-39.88

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

Wednesday recap: 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.

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

* Daily Effective Fed Funds Rate: 0.05%, volume: $107B

* Daily Overnight Bank Funding Rate: 0.04%, volume: $255B

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

* Secured Overnight Financing Rate (SOFR): 0.01%, $1.158T

* Broad General Collateral Rate (BGCR): 0.01%, $486B

* Tri-Party General Collateral Rate (TGCR): 0.01%, $468B

FED: Recap NY Fed operational purchase for Thursday

* Tsy 20Y-30Y, $4.903B accepted ($5.0B cap) of $7.999B submitted

* Tsy 2.25Y-4.5Y, $16.000B accepted, $36.091B submitted

--

NY Fed operational purchases schedule for Friday ($15.5B)

* 1010-1030ET: Tsy 0-2.25Y, appr $12B

* 1100-1120ET: Tsy 7.5Y-30Y, appr $3.5B

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

24-Apr 0830 Mar durable goods new orders (1.2%, -12.0%)

24-Apr 0830 Mar durable new orders ex transport (-0.6%, -6.3%)

24-Apr 1000 Apr Michigan sentiment index (f) (71.0, 68.0)

24-Apr 1100 Q2 St. Louis Fed Real GDP Nowcast

24-Apr 1115 Q2 NY Fed GDP Nowcast

PIPELINE: Wells Fargo launched; BOE priced earlier

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

04/23 $6.5B #Wells Fargo $3B 6NC5 +183, $3.5B 21NC20 +190

04/23 $3B *Morgan Stanley 6NC5 +183

04/23 $2.5B #Marathon Petroleum $1.25B 3Y +425, $1.25B 5Y +437.5

04/23 $2B *Bank of England 3Y +26

04/23 $1.2B *Constellation Brands $600M 10Y +230, $600M 30Y +260

04/23 $500M *Netflix 5NCL 3.625%; and E470M (3%)

04/23 $1B *Kommuninvest WNG 2Y +15

04/23 $500M #Kookmin Bank 5Y Covid-19 bond +150

04/23 $500M *Travelers WNG 30Y +140

04/23 $500M #Nasdaq 30Y +215

04/23 $3B Delta Airlines 

04/23 $2B The Gap $500M 3Y, $1B 5Y, 500M 7Y

04/23 $Benchmark Paraguay 11Y Covid-19 bond 5.5%a

04/?? APICorp (Arab Petroleum Investments Corporation) investor call

Eurodollar/Tsy options

Eurodollar options

* over 10,000 Jun 95 puts, 6.0

* 6,000 Red Mar 96/97 call spds

* 5,000 Mar 92/95/97 put flys

Block 1130-1139ET,

* total 48,671 Jun 90/91 1x2 put spds, 2-legs over for 2.0 net vs. 99.555/0.10%

Block 1043:09ET,

* +10,000 Jun 91/93 2x1 put spds, 1.25

* -3,000 Jun 91 puts, 1.0 vs. 99.56/0.10%

* Update, total 10,000 May 93/Jun 91 put spds, cab net debit/Jun over

* over 7,000 Green May 97/98 call spds earlier

* 3,000 Red Dec 92/97 call spds

* 3,000 Green Aug 92/95 put spds

Tsy options:

* +2,500 TUM 110.12/110.25 2x1 put spds, 0.5-1.5

* >2,000 TYM 137/141 strangles, 30/64

* 20,000 TYN 140 calls vs. 5,000 TYN 138.5/139 call strips 

* Update, total +10,000 in pieces: TYM 137/138 2x1 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$]