US TSYS: Better Than Exp ADP, ISM Helps Push Tsy Ylds Higher

US TSY SUMMARY: Tsys are broadly weaker across the curve after the bell,

settling in since midmorning after better than expected data triggered heavy

selling (10YY +7.5bps). Yld curves bear steepening, 5s30s nearing 3 year highs

tapped mid-March. Much better volumes, TYU >1.3M after seeing less than 1M Tue. 

- Equities higher all session seeing some late selling ahead close (ESM0 +39.0).

- ADP private payrolls easily beat expectations, coming in at -2.76mln, versus

-9.0mln expected (and -19.6mln prior, which is an upward revision from

-20.2mln). The ISM non-mfg index bounced 3.6pt to 45.4 in May after index

slumped to an 11-year low in Ap.

- Rate sales accelerated post data, Tsy ylds back to mid-April levels Yld curves

bear steepening also back to multi-week levels. some tight stops and risk-off

unwinds exacerbating move, heavy volumes. Implied vol directionally higher

w/Ylds and of course equities continue higher. Gold hammered, off 1689.56 low or

through key support level of $1694.3, May 27 low.

- The 2-Yr yield is up 3.4bps at 0.1959%, 5-Yr is up 5.6bps at 0.3734%, 10-Yr is

up 7.7bps at 0.7623%, and 30-Yr is up 6.8bps at 1.5551%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Downside Range Expands

*RES 4: 140-27   0.618 projection of Feb 6 - Mar 9 rally from Mar 18 low

*RES 3: 140-00   Round number resistance 

*RES 2: 139-25   Contract high, Mar 25

*RES 1: 139-13+/16  High May 15 / High Apr 21 and key resistance  

*PRICE: 138-04 @ 16:07 BST, Jun 03

*SUP 1: 138-03+   Low May 18

*SUP 2: 137-30+ Low May 6 and key support

*SUP 3: 137-19+ Low Apr 14

*SUP 4: 136-20   Low Mar 25

10yr futures softened further Wednesday, extending the recent range to the

downside. Key supports, for now, remain intact, with the risk parameters holding

at 139-16 at the top and 137-30+ at the base. The underlying theme remains

bullish, however futures still need to clear 139-16, Apr 21 high to end the

current sideways move and confirm a resumption of the uptrend to target 139-25,

the Mar 25 contract high and the 140-00 handle. Clearance of 137-30+, May 6 low

would be bearish and expose 137-19+. 

AUSSIE 10-YR TECHS: (U0) Cracks Starting to Show

*RES 3: 99.4850 - High Mar 10 and bull trigger

*RES 2: 99.3600 - High Apr 01 

*RES 1: 99.2250 - High Apr 17 

*PRICE: 98.9700 @ 16:21 BST, Jun 03

*SUP 1: 98.9700 - Low Jun 03

*SUP 2: 98.7800 - Low Mar 23 

*SUP 3: 98.5700 - Low Mar 20 

The roll pressured prices further Wednesday, which took out key support at

99.0200, the Apr 9 low. While roll changes will make prices and trends a little

unclear at present, it's clear cracks are beginning to show after a protracted

period of sideways trade. This opens 98.7800 initially, Mar 23 low. On the

upside, key resistance is located at 99.2250, the Apr 17 high. Clearance of this

level would instead be bullish.

JGB TECHS: (U0): Hits 50% Retracement

*RES 3: 154.56 - High Mar 13 

*RES 2: 153.50 - High Mar 16

*RES 1: 153.06 - High Mar 31 and key resistance

*PRICE: 151.82 @ 16:32 BST, Jun 03

*SUP 1: 151.62 - Low Dec 23 2019

*SUP 2: 151.59 - Low Mar 26

*SUP 3: 151.52 - 61.8% March Rally

JGB futures deteriorated further Wednesday, extending recent weakness to strike

the 50% retracement of the March rally at 151.82. A break and close below here

would open further downside, with bears initially targeting 151.62 ahead of the

late March lows of 151.59. An ability to hold above here is required to confirm

a bullish cycle and allow for a recovery towards 153.30, Mar 16 high. 

TSY FUTURES CLOSE: Broadly weaker across the curve after the bell, settling in

since midmorning after better than expected data triggered heavy selling (10YY

+7.5bps). Yld curves bear steepening, 5s30s nearing 3 year highs tapped

mid-March. Update: 

* 3M10Y  +7.542, 60.595 (L: 51.623 / H: 61.254

* 2Y10Y  +4.582, 56.476 (L: 51.53 / H: 57.299)

* 2Y30Y  +3.472, 135.577 (L: 132.24 / H: 137.083)

* 5Y30Y  +1.039, 117.824 (L: 116.732 / H: 119.022); Current futures levels:

* Sep 2-Yr futures down 2.125/32 at 110-10.125 (L: 110-09.5 / H: 110-12.625)

* Sep 5-Yr futures down 9.25/32 at 125-7.5 (L: 125-05.5 / H: 125-17.25)

* Sep 10-Yr futures down 21/32 at 138-6.5 (L: 138-03.5 / H: 138-28)

* Sep 30-Yr futures down 1-28/32 at 175-15 (L: 175-03 / H: 177-12)

* Sep Ultra futures down 2-26/32 at 212-16 (L: 211-20 / H: 215-09)

US TSYS/SUPPLY: US Tsy bill/note auctions scheduled for week

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

04 Jun  1130ET   $80B    4W Bill      (9127963C1)

04 Jun  1130ET   $70B    8W Bill      (9127963M9)

US EURODLR FUTURES CLOSE: Weaker across the strip, at/near session lows w/long

end underperforming. Lead quarterly had bounced on open after 3M LIBOR set

-0.0066 to 0.3305% (-0.0134/wk), but failed to maintain support in face of

rising equities. Current White pack levels:

* Jun 20 -0.012 at 99.690

* Sep 20 -0.010 at 99.710

* Dec 20 -0.020 at 99.675

* Mar 21 -0.020 at 99.760

* Red Pack (Jun 21-Mar 22) -0.03 to -0.025

* Green Pack (Jun 22-Mar 23) -0.05 to -0.035

* Blue Pack (Jun 23-Mar 24) -0.07 to -0.06

* Gold Pack (Jun 24-Mar 25) -0.09 to -0.075

US SWAPS: Spds running steady/mixed after the bell, spd curve steeper in the

face of bear steepening Tsy yld curves. Current spd levels:

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

Wed 1500  -1.00/+7.25    -0.75/+3.75    +0.00/-1.00    +0.62/-48.12

Wed Open  -0.25/+8.00    -0.25/+4.25    -0.25/-1.25    -0.25/-49.00

Tue 1500  -1.25/+7.75    -0.62/+4.50    -0.25/-1.00    -0.69/-49.38

Tue 1500  -1.25/+7.75    -0.62/+4.50    -0.25/-1.00    -0.69/-49.38

Tuesday recap: Spds ratchet tighter, session lows by the closing bell, short end

leading move w/5s and 30s not for behind. Incoming supply and tighter FRA/OIS

basis weighing. 5Y bucked move into the open amid some rate paying and receivers

out the curve ahead the open. 

US DOLLAR LIBOR: Latest settles

* O/N -0.0031 at 0.0619% (+0.0004/wk)

* 1 Month -0.0051 to 0.1736% (-0.0088/wk)

* 3 Month -0.0038 to 0.3266% (-0.0172/wk)

* 6 Month -0.0055 to 0.4765% (-0.0332/wk)

* 1 Year -0.0030 to 0.6225% (-0.0510/wk)

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

* Daily Effective Fed Funds Rate: 0.05%, volume: $66B

* Daily Overnight Bank Funding Rate: 0.05%, volume: $175B

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

* Secured Overnight Financing Rate (SOFR): 0.07%, $1.054T (Not saying much, but

SOFR highest since mid-march at 0.07%)

* Broad General Collateral Rate (BGCR): 0.05%, $446B

* Tri-Party General Collateral Rate (TGCR): 0.05%, $429B

FED: NY Fed operational purchase, some exclusions, Tsys pop off lows post-op

* Tsy 20Y-30Y, $2.100B accepted of $3.3755B submitted

-

NY Fed operational purchases schedule for Thursday

* 1010-1030ET: Tsy 4.5Y-7Y, appr $3.5B

* 1100-1120ET: TIPS 7.5Y-30Y, appr $1B

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

04-Jun 0730 May challenger layoff plans (1577%, --)

04-Jun 0830 30-May jobless claims (2.123M, 1.843M)

04-Jun 0830 Apr trade balance (-$44.4B, -$49.2B)

04-Jun 0830 Q1 non-farm productivity (f) (-2.5%, -2.7%)

04-Jun 0830 Q1 unit labor costs (f) (4.8%, 5.0%)

04-Jun 1030 29-May natural gas stocks w/w

04-Jun 1130 US Tsy $80B 4W Bill auction (9127963C1)

04-Jun 1130 US Tsy $70B 8W Bill auction (9127963M9)

04-Jun 1630 03-Jun Fed weekly securities holdings

PIPELINE: $10.35B To price Wednesday, Brazil leads 

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

06/03 $3.5B #Federal Rep of Brazil $1.25B 5Y 3.0%, $2.25B 10Y 4.0%

06/03 $2.5B *CDP Financial 5Y +50

06/03 $1.5B #Royal Bank of Canada 5Y +85

06/03 $750M *FirstEnergy $300M +5Y +125, $450M 10Y +150

06/03 +900M *Steel Dynamics $400M 5Y +210, $500M +10Y +260

06/03 $500M *COE Covid-19 social bond WNG 3Y +10

06/03 $700M #Harley Davidson 5Y +300

Eurodollar/Tsy options

EURODLR OPTIONS:

* +10,000 Green Sep 95/96 put spds, 3.5

* 6,400 Green Mar 96/97/98 call flys after 

* 5,000 Mar 96/97/100 call trees traded 5.0 earlier

* Update, volume in Sep 98 calls just over 35,000

* +11,000 short Sep 97/98 strangles, 8.0

* 8,000 Jul 96/97 put spds

* Green Dec 93/Blue Dec 91 put spd or strip trading as is Blue Jul/Blue Aug 95

put spd or strip, checking

* -10,000 Sep 97/98/100.12 broken call flys, 1.5

* 10,000 Green Sep 93/96 put spds

* 10,000 Green Sep 98/100 call spds

Earlier Block -- ongoing, +5k/screen as well as +18.2k early Tue

* +18,495 Blue Sep 93 puts, 0.5 at 0320:15ET

TSY OPTIONS:

* over +13,500 wk2 TY 137/137.75 put spds, 10/64

* +4,000 wk2 TY 137.75 puts, 17/64

* +3,000 TYN 136.5 puts, 10/64

* over +10,000 TYN 138.5 calls, 28/64

* +2,000 FVN/FVQ/FVU 125.5/126/126.25 broken call fly strips, 16.5/64 total

* +6,800 wk1 FV 125.25/125.5 call spds, 4.5/64

* +10,000 TYN 136/137 put spds 8/64

* Update, over 20,000 TYN 136.75/137.75 put spds from 12- to 13/64

* update, over 5,000 wk1 TY 125.25/125.5 put spds

Overnight trade,

* over 21,000 TYN 140.5 calls, mostly 7/64

Blocks

* 5,000 TYQ 137/138 put spds, 17/64 at 0201ET

* 5,000 TYQ 140/141 call spds, 10/64 at 0429ET w/ another 6k on screen

* 5,000 TYQ 139.5/140.5 call spds, 15/64 at 0452ET

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

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