US TSYS: Day 1 Of 2 FOMC Meeting, Tsy Ylds Still In Retreat

US TSY SUMMARY: Well bid but off session highs to near middle session' range,

better volumes w/TYU >1.14M. Yld curves flatter but well off session lows as

futures scale back gains ahead of Wed's FOMC annc.

- Tsys extended early rally post data (US APR WHLSL SALES -16.9%,DURABLES

-17.3%, NONDURABLES -16.5%) strong bull flattening in yld curve.

- Chunky Tsy option flows saw pick-up in low delta call buying as underlying

climbed into the 10Y R/O, large seller (-34,700 TYN 139.5 calls, 4/64) as

futures dipped after 10Y R/O tailed 

- Tailed -- US Tsy $29B 10Y note auction re-open (912828ZQ6) awarded 0.832% rate

(0.700% last month) vs. 0.817% WI; 2.26 bid/cover (2.69 previous). Indirects

drew 56.74% vs. 66.15%, directs 11.76% vs. 13.34%, and dealers with 31.50% vs.

20.52% prior.

- The 2-Yr yield is down 2.2bps at 0.2044%, 5-Yr is down 4.5bps at 0.4025%,

10-Yr is down 5bps at 0.8253%, and 30-Yr is down 6bps at 1.582%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Finds Support

*RES 4: 139-25   Contract high, Mar 25

*RES 3: 139-13+/16  High May 15 / High Apr 21 and key resistance

*RES 2: 138-12   High Jun 4

*RES 1: 137-30+ Low May 6, High Jun 5  and former range base 

*PRICE: 137-22 @ 16:19 BST, Jun 09

*SUP 1: 136-22   Low Jun 5

*SUP 2: 136-20   Low Mar 25

*SUP 3: 136-10+2.000 projection of Apr 21 - May 6 swing from May 15 high

*SUP 4: 135-31  2.236 projection of Apr 21 - May 6 swing from May 15 high

US 10yr futures have bounced off recent lows and defined a key S/T support at

136-22, Jun 5 low. The move higher is likely a correction with a bearish theme

still dominating the S/T outlook. This follows last week's move lower and more

importantly the break of support at 137-30+, May 6 low. The break lower

confirmed a range breakout. The focus is on 136-20, Mar 25 low and, further out,

the COVID crisis lows of 133-21. Initial resistance is seen at 137-30.

AUSSIE 10-YR TECHS: (U0) Tepid Bounce

*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: 98.9425 @ 16:21 BST, Jun 09

*SUP 1: 98.7800 - Low Mar 23 

*SUP 2: 98.7210 - 61.8% March Sell-off

*SUP 3: 98.5700 - Low Mar 20 

The outlook remains weak despite a modest intraday bounce Tuesday. Having taken

out key support at 99.0200, the Apr 9 low, bears now target late March lows at

98.90 and the Fib support at 98.7210. 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): Bouncing, But Weak 

*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: 151.90 @ 16:22 BST, Jun 09

*SUP 1: 151.06 - Low Mar 24

*SUP 2: 150.61 - Low Mar 19 and key support

*SUP 3: 150.46 - 1.0% 10-dma envelope

JGB took another leg lower amid a global bond sell-off Friday, exposing levels

not seen since March. The range breakout works in favour of bears, with 50% Fib

retracement giving way in the process. Key supports are few and far between

until 151.06, but more importantly 150.61, which marks the March sell-off low.

TSY FUTURES CLOSE: Well bid but off session highs to near middle session' range,

better volumes w/TYU >1.14M. Yld curves flatter but well off session lows as

futures scale back gains ahead of Wed's FOMC annc. Update: 

* 3M10Y  -5.041, 65.741 (L: 62.503 / H: 70.029)

* 2Y10Y  -2.314, 62.393 (L: 59.409 / H: 64.238)

* 2Y30Y  -2.975, 138.386 (L: 133.923 / H: 140.999)

* 5Y30Y  -1.005, 118.298 (L: 114.268 / H: 119.312); Current futures levels:

* Sep 2-Yr futures up 1.625/32 at 110-9.5 (L: 110-07.625 / H: 110-09.62)

* Sep 5-Yr futures up 7.5/32 at 125-3.25 (L: 124-27.75 / H: 125-04.25)

* Sep 10-Yr futures up 13/32 at 137-22.5 (L: 137-10.5 / H: 137-29)

* Sep 30-Yr futures up 1-12/32 at 174-8 (L: 173-00 / H: 174-31)

* Sep Ultra futures up 2-21/32 at 210-30 (L: 208-21 / H: 212-19)

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

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

08 Jun  1130ET   $63B    13W Bill     (912796TJ8)   0.170%

08 Jun  1130ET   $54B    26W Bill     (9127963J6)   0.185%

08 Jun  1300ET   $44B    3Y Note      (912828ZU7)   0.280%

09 Jun  1130ET   $60B    42D Bill     (912796WX3)   0.165%

09 Jun  1130ET   $40B   119D Bill     (912796TN9)   0.185%

09 Jun  1300ET   $29B  10Y Note R/O   (912828ZQ6)   0.832%

10 Jun  1130ET   $35B   105D Bill     (9127964A4)

10 Jun  1130ET   $40B   154D Bill     (9127964S5)

11 Jun  1130ET   $70B    4W Bill      (9127963D9)

11 Jun  1130ET   $60B    8W Bill      (9127963N7)

11 Jun  1300ET   $19B  30Y Bond R/O   (912810SN9)

US EURODLR FUTURES CLOSE: Trading mostly higher, lead quarterly EDM0 lower all

day -- extending move after 3M LIBOR set +0.0049 to 0.3146% (+0.0018/wk).

Current White pack levels:

* Jun 20 -0.002 at 99.675

* Sep 20 +0.005 at 99.690

* Dec 20 +0.005 at 99.655

* Mar 21 +0.010 at 99.735

* Red Pack (Jun 21-Mar 22) +0.015 to +0.030

* Green Pack (Jun 22-Mar 23) +0.030 to +0.050

* Blue Pack (Jun 23-Mar 24) +0.050 to +0.055

* Gold Pack (Jun 24-Mar 25) +0.055 to +0.065

US DOLLAR LIBOR: Latest settles

* O/N +0.0022 at 0.0630% (+0.0005/wk)

* 1 Month +0.0112 to 0.1878% (+0.0077/wk)

* 3 Month +0.0049 to 0.3146% (+0.0018/wk)

* 6 Month -0.0229 to 0.4605% (-0.0208/wk)

* 1 Year +0.0028 to 0.6327% (-0.0013/wk)

US SWAPS: Post TUU block print (+11k at 110-09.25) observation, likely swap-tied

with 2Y spd coming off mid-morning wides. Spds holding narrow range otherwise,

steady/mixed with some two-way deal-tied hedging on issuance from financial

names. Latest spd lvls:

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

Tue 1500  +0.81/+8.69    +0.25/+4.75    +0.31/-1.31    +1.00/-46.88

1220      +0.62/+8.50    +0.00/+4.50    -0.12/-1.75    +0.50/-47.38

1045      +1.06/+8.94    +0.00/+4.50    +0.00/-1.62    +0.50/-47.38

0930      +0.38/+8.25    +0.00/+4.50    +0.00/-1.62    +0.12/-47.75

Tue Open  +0.31/+8.19    -0.12/+4.38    -0.06/-1.69    +0.00/-47.88

Mon 1500  -0.81/+7.69    -0.25/+4.25    -0.38/-1.88    +0.25/-48.00

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

* Daily Effective Fed Funds Rate: 0.07% volume: $60B

* Daily Overnight Bank Funding Rate: 0.07%, volume: $156B

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

* Secured Overnight Financing Rate (SOFR): 0.07%, $1.032T

* Broad General Collateral Rate (BGCR): 0.06%, $440B

* Tri-Party General Collateral Rate (TGCR): 0.06%, $416B

FED: Recap NY Fed operational purchases for Tuesday

* Tsy 20Y-30Y, $1.750B accepted of $3.546B submitted -- some exclusions

* TIPS 1Y-7.5Y, $1.000B accepted of $2.964B submitted

- 

NY Fed operational purchases schedule for Wednesday

* 1100-1120ET: Tsy 0Y-2.25Y, appr $6.5B

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

10-Jun 0700 05-Jun MBA Mortgage Applications (-3.9%, --)

10-Jun 0830 May CPI (-0.8%, 0.0%)

10-Jun 0830 May CPI Ex Food and Energy (-0.4%, 0.0%)

10 Jun 1130 US Tsy $35B 105D Bill auction (9127964A4)

10 Jun 1130 US Tsy $40B 154D Bill auction (9127964S5)

10-Jun 1030 05-Jun crude oil stocks ex. SPR w/w

10-Jun 1400 May Treasury budget balance (-$737.9B, -$585.0B)

10-Jun 1400 FOMC rate announcement

PIPELINE: $13.05B To price Tuesday, $25.2B/wk

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

06/09 $4B *IADB 5Y +17

06/09 $3B #HP Inc $1.15B 5Y +185, $1B 7Y +240, $850M 10Y +260

06/09 $1.5B *Kommunalbanken 10Y +38

06/09 $1.5B #Credit Agricole 6NC5 +150

06/09 $1B *World Bank (IBRD) 4Y SOFR+39

06/09 $650M #Fidelity National Fncl 10Y +260

06/09 $600M *Healthpeak Properties 10Y +215

06/09 $500M Principal Fncl 10Y +135

06/09 $300M *Westlake 10Y +260

Eurodollar/Tsy options

EURODLR OPTIONS:

* Another +20,000 Oct 95/96/97 call flys, 4.75 makes appr +55,000/day 4.0-4.75

* 5,000 Dec 92/93/95/96 put condor

* +32,750 Oct 95/96/97 call flys from 4.0-4.5, adds to small earlier buyer with

pick-up in lower delta/limited upside call package buying after better put

buying earlier

Block, 0955:24ET 15,500 Green Jul 97 calls, 1.0 vs. 99.6550.18%

* just over 6,100 Sep 100 calls and 3,000 Sep 100.12 calls, cab

* 1,600 Green Jun 95/96 put spds

* 1,500 Oct 96/97/98 call flys

* 1,000 Green Aug 96/97/98 call flys

* 2,000 Blue Jul 95/96 1x2 call spds

* appr 15,000 Sep 97/98 1x2 call spds

TSY OPTIONS: Several chunky prints today, futures dip after 10Y R/O tailed

* just over -34,700 TYN 139.5 calls, 4/64

* +27,500 TYN 138 calls, 29/64 offer lifted/goes bid

* 12,600 TYU 134.5 puts, 15/64

* 1,000 USQ 178/180 call spds, 30/64 earlier

* another 5,000 TYN 137/137.75 2x1 put spds, 2/64 adds to earlier 10k Block

* 2,500 TYQ 139/141/143 call flys

Block, 0932:55ET,

* 10,000 TYN 137/137.75 2x1 put spds, 2/64 net/2-legs over vs. 137-26/0.13%

* 2,000 TYQ 134/135/136 put flys

* 5,400 FVN 124.25 puts, 4/64 earlier

* over 7,000 TYN 136.7 puts, 18/64 vs. 137-20/0.28%

* over 7,500 TYQ 135 puts, 12/64 last

* +2,000 TYN 136.5/138 3x2 put spds, 53/64

* 1,500 TYQ 135.5/136.5 put spds

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

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