MNI ASIA MARKETS ANALYSIS: Focus On June Employment

US TSY SUMMARY: 5s30s Back Near Week Highs

• No headline driver as Bonds, Gilts and Bunds all came under pressure early in the session -- and gaining momentum through late trade.
• Not a lot of conviction from traders as they awaited more Fed-speak:
  • KASHKARI: U.S. HOPEFULLY AT START OF A VERY STRONG RECOVERY; however ECONOMY IS STILL IN A DEEP HOLE, 7M JOBS SHORT Bbg
  • BOSTON FED ROSENGREN: SEES 7% AS `GOOD ESTIMATE' OF U.S. GDP THIS YEAR, Bbg
• Focus turns to next week's employment report (+695k est vs. +559k prior). Sources did report real$ buying 7s, fast $ buying 10s after this morning's PCE.
• The 2-Yr yield is unchanged at 0.2681%, 5-Yr is up 1.3bps at 0.9263%, 10-Yr is up 3.6bps at 1.5275%, and 30-Yr is up 6bps at 2.1577%.

SHORT TERM RATES

US DOLLAR LIBOR: Latest Settles

• O/N -0.00162 at 0.08338% (+0.00288/wk)
• 1 Month +0.00113 to 0.09613% (+0.00513/wk)
• 3 Month +0.00000 to 0.14600% (+0.01112/wk) ** (New Record Low: 0.11800% on 6/14)
• 6 Month +0.00025 to 0.16550% (+0.00925/wk)
• 1 Year +0.00162 to 0.24925% (+0.00912/wk)

• Daily Effective Fed Funds Rate: 0.10% volume: $74B
• Daily Overnight Bank Funding Rate: 0.08% volume: $266B

• Secured Overnight Financing Rate (SOFR): 0.05%, $868B
• Broad General Collateral Rate (BGCR): 0.05%, $353B
• Tri-Party General Collateral Rate (TGCR): 0.05%, $326B
• (rate, volume levels reflect prior session)

• Tsy 2.25Y-4.5Y, $8.401B accepted vs. $24.332B submission
• Next scheduled purchases:
• Mon 6/28 1010-1030ET: Tsy 10Y-22.5Y, appr $1.425B
• Tue 6/29 1010-1030ET: TIPS 7.5Y-30Y, appr $1.225B
• Wed 6/30 1010-1030ET: Tsy 7Y-10Y, appr $3.225B
• Thu 7/1 1100-1120ET: Tsy 22.5Y-30Y, appr $2.025B

FED: Repo and Reverse Repo Operations

NY Fed reverse repo usage drops to $770.830B from 73 counterparties Friday, compares to Thursday's record high of $813.573B.

MONTH-END EXTENSION: PRELIMINARY Barclays/Bbg Extension Estimates for US

PRELIMINARY forecast summary compared to avg increase for prior year and same time in 2020. TIPS 0.01Y; US Gov infl-linked -0.4Y.

EURODOLLAR/TREASURY OPTIONS SUMMARY

• -5,000 Blue Dec 75/88 call over risk reversals, 3.5 vs. 98.46/0.31%
• +5,000 Green Sep 93/95 call spds, 0.5 vs. 98.99/0.05%
• 4,000 Green Sep 96 calls, cab
• +6,000 Green Dec 86/91 put spds 1.5 over Blue Dec 82/87 put spds
• 5,000 short Dec 9.50/99.56/99.62 call trees, 0.5
• Block, Blue Sep 76/82 3x2 put spds vs. Gold Sep 75 puts, 4.0 net/Blues over
  • Breakdown:
  • 31,650 Blue Sep 76 puts, 1.0
  • 21,100 Blue Sep 82 puts, 6.5
  • 42,200 Gold Sep 75 puts, 1.0
• Overnight trade
• 2,500 Blue Jul 82/83 put spds

• -3,500 TYN 131.75 puts, 1
• 5,000 TYN 131.75/132 put spds, 3-4
• 2,800 TYQ 133 calls, 15
• 3,500 FVN 123.25 calls, 3
• 2,200 FVN 122 puts, 0.5

EGB/GILTS SUMMARY - Curve steepening going into the weekend

Main price action flow for EGBs and other Global bonds have been to unwind most of the week flattening bias.

• US, UK and Germany 5/30s are moving higher, likely catching flattening position.
• Desk unwind going into the weekend.
• German 5/30s now trade above the week high.
• BTP still under performing against its peers, pushing the BTP/Bund spread 3bps wider, and the spread now trades at widest levels since 8th June.
• The weakness in BTP has also helped the Bund lower.
• Support for the Futures contract comes at 150.11 Low Low Jun 8 and key near-term support
• Gilts are taking their cue from EGBs and similar price action and in particular, curve play, with UK bear steepening.
• UK 5/30s is just short of the week high at 90.569, now at 90.00.
• No sovereign rating for today

FOREX: Greenback Recoups Losses Approaching The Close

• In similar price action over the past three days, dollar indices spent the US trading hours unwinding the moves from earlier in the session.
• Dollar weakness across the board was the main feature of early trade on Friday, before the greenback staged a solid recovery approaching the close to end the day in very marginal positive territory, however, still roughly 0.5% lower on the week.
• Kiwi and Aussie had been the best performing G10 currencies, with risk sentiment boosted by tentative US bipartisan infrastructure agreement. However, tracking the USD, both currency pairs gave up all of their gains.
• GBPUSD continued to underperform following yesterday's BOE statement, losing 0.25% with the Canadian dollar marginally outperforming, rising 0.21%. Notable extension of weakness in the Turkish Lira with USDTRY rising another 0.85% on Friday to close higher on the week.
• Cable remains vulnerable after trading through the 100-DMA, reinforcing current bearish conditions. Scope is seen for an extension lower towards 1.3717, Apr 14 low, the bear trigger remains at 1.3787.
• Very little data due on Monday as markets will eagerly await the US Employment Figures later in the week.

FOREX/Expiries for Jun28 NY cut 1000ET (Source DTCC)

• EUR/USD: $1.1915-25(E638mln), $1.1950(E1.1bln-EUR puts), $1.2000(E1.2bln)
• USD/JPY: Y108.50($660mln), Y110.50($1.4bln), Y111.75($500mln), Y112.00-05($890mln)
• EUR/GBP: Gbp0.8500(E710mln-EUR puts)
• AUD/NZD: NZ$1.0740(A$400mln-AUD puts)
• USD/MXN: Mxn19.85($760mln)
• ------------------------------
• Larger FX Option Pipeline
• EUR/USD: Jul02 $1.1850-55(E1.6bln), $1.1865-66(E1.0bln), $1.1895-1.1900(E1.1bln), $1.1940-50(E2.85bln)
• USD/JPY: Jun29 Y109.30-45($1.4bln-USD puts), Y110.00-15($1.1bln). Y112.00($1.25bln-USD puts); Jun30 Y109.45-50($1.4bln-USD puts), Y110.20-25($1.1bln-USD puts), Y110.40-50($1.1bln-USD puts); Jul02 Y109.40-50($1.2bln), Y111.00($1.6bln)
• USD/CNY: Jun30 Cny6.39($1.8bln-USD puts)

PIPELINE: Issuance Evaporates Ahead Weekend

• Date $MM Issuer (Priced *, Launch #)
• 06/24 $1.8B *Centene Corp 7Y +2.45%
• 06/24 $1.5B *Enbridge $1B 12Y +105, $00M 30Y +130
• 06/24 $500M *Athene Global Funding 5Y +72

EQUITIES

• DJIA up 242.5 points (0.71%) at 34423.67
• S&P E-Mini Future up 13.75 points (0.32%) at 4267
• Nasdaq down 3.6 points (0%) at 14362.97

European bourses closing levels:

• EuroStoxx 50 down 1.77 points (-0.04%) at 4120.66
• FTSE 100 up 26.1 points (0.37%) at 7136.07
• German DAX up 18.74 points (0.12%) at 15607.97
• French CAC 40 down 8.28 points (-0.12%) at 6622.87

COMMODITIES

• WTI Crude Oil (front-month) up $0.65 (0.89%) at $74.07
• Gold is up $3.05 (0.17%) at $1777.26