US TSYS: Fed On Hold Thru 2022, Monthly Buy $80B Tsy/$40B MBS

US TSY SUMMARY: Fed on Hold/zero bound through 2022 -- Mkt focus on minimum

floor of asset purchases in Tsys ($80B/mnth) and MBS ($40B/mnth), no taper/not

quite QE, mkts rallied despite prospect of long slog ahead, Dot plot flat

through 2021.

- Both Tsys and equities regained footing after post data chop, Tsys extending

session highs by the bell, equities mildly weaker after see-sawing to session

highs. Yld curves broadly flatter for the most part, 5s30s managing to hold

1.229bp steeper at 118.39.

- Fed Chair Q&A on job losses -- cold water on equity bounce as Powell estimated

"well into the millions of people who don't get to go back to their old JOB and

there may not a job for them for some time." On the flipside, economic

"forecasters widely expect 2nd half recovery.

- Eurodollar and Tsy put buying remained robust, fading the continued surge in

underlying futures.

- The 2-Yr yield is down 3.2bps at 0.1707%, 5-Yr is down 8.1bps at 0.3198%,

10-Yr is down 9.2bps at 0.7329%, and 30-Yr is down 6.8bps at 1.5076%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Correction Extends 

*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: 138-08+ 61.8% of the Jun 1 - 5 sell-off 

*PRICE: 138-00 @ 11:50 BST, Jun 10

*SUP 1: 137-10+ Low Jun 9 

*SUP 2: 136-22   Low Jun 5

*SUP 3: 136-20   Low Mar 25

*SUP 4: 136-10+2.000 projection of Apr 21 - May 6 swing from May 15 high

US 10yr futures continue to recover off recent lows having defined a key S/T

support at 136-22, Jun 5 low. The move higher is likely a correction though with

a bearish theme still dominating the S/T outlook. This follows last week's move

lower and importantly the break of support at 137-30+, May 6 low that confirmed

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

crisis lows of 133-21. Next resistance is at 138-08+.

AUSSIE 10-YR TECHS: (U0) Bulls Untroubled For Now

*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: 98.9950 @ 18:15 BST, Jun 10

*SUP 1: 98.7800 - Low Mar 23 

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

*SUP 3: 98.5700 - Low Mar 20 

Aussie 10yr futures progressed further Wednesday, which firms the bounce from

the Jun08 low. Key resistance is located at 99.2250, the Apr 17 high. Clearance

of this level would instead be bullish. To the downside, 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.

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: 151.95 @ 18:24 BST, Jun 10

*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: Futures receding after extending session highs just after the

closing bell, average volumes (TYU>1.2M), yld curves mostly flatter/off lows.

Update: 

* 3M10Y  -7.510, 57.225 (L: 55.58 / H: 64.635)

* 2Y10Y  -5.189, 56.706 (L: 55.623 / H: 62.36)

* 2Y30Y  -2.411, 134.527 (L: 132.656 / H: 137.773)

* 5Y30Y  +1.856, 119.025 (L: 114.571 / H: 119.294); Current futures levels:

* Sep 2-Yr futures up 1.75/32 at 110-11.25 (L: 110-09.25 / H: 110-11.875)

* Sep 5-Yr futures up 11.75/32 at 125-15 (L: 125-03 / H: 125-16.75)

* Sep 10-Yr futures up 23.5/32 at 138-14.5 (L: 137-22 / H: 138-18.5)

* Sep 30-Yr futures up 1-15/32 at 175-25 (L: 174-07 / H: 176-07)

* Sep Ultra futures up 2-3/32  at 213-8 (L: 210-28 / H: 214-06)

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)   0.180%

10 Jun  1130ET   $40B   154D Bill     (9127964S5)   0.190%

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: Broadly higher, at/near post FOMC highs w/Blues-Golds

outperforming. Current White pack levels:

* Jun 20 +0.007 at 99.680

* Sep 20 +0.025 at 99.705

* Dec 20 +0.025 at 99.675

* Mar 21 +0.025 at 99.760

* Red Pack (Jun 21-Mar 22) +0.025 to +0.050

* Green Pack (Jun 22-Mar 23) +0.060 to +0.085

* Blue Pack (Jun 23-Mar 24) +0.080 to +0.090

* Gold Pack (Jun 24-Mar 25) +0.090 to +0.095

US DOLLAR LIBOR: Latest settles

* O/N +0.0002 at 0.0632% (+0.0007/wk)

* 1 Month +0.0026 to 0.1905% (+0.0103/wk)

* 3 Month +0.0037 to 0.3183% (+0.0055/wk)

* 6 Month -0.0340 to 0.4265% (-0.0548/wk)

* 1 Year +0.0127 to 0.6455% (+0.0114/wk)

US SWAPS: Spd curve reversed course, unwound curve flattening post FOMC, short

end sprd running steady after the bell. Current levels:

Wed 1500  +0.00/+8.50    +1.25/+6.00    +0.75/-0.50    +1.12/-45.75

1415      +0.69/+9.19    +1.25/+6.00    +0.38/-0.88    +0.62/-46.25

1230      +1.00/+9.50    +1.25/+6.00    +0.50/-0.75    +1.38/-45.50

1100      +0.69/+9.19    +0.88/+5.62    +0.38/-0.88    +1.19/-45.69

0900      +0.75/+9.25    +0.75/+5.50    +0.25/-1.00    +1.12/-45.75

Wed Open  +0.81/+9.31    +0.69/+5.44    +0.50/-0.75    +0.88/-46.00

Wed 0730  +1.12/+9.62    +0.75/+5.50    +0.38/-0.88    +0.88/-46.00

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

Tuesday recap: 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.

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

* Daily Effective Fed Funds Rate: 0.07% volume: $59B

* Daily Overnight Bank Funding Rate: 0.07%, volume: $173B

US TSYS: REPO REFERENCE RATES Gradual rise in SOFR, highest since Mar 18

* Secured Overnight Financing Rate (SOFR): 0.08%, $1.034T

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

* Tri-Party General Collateral Rate (TGCR): 0.06%, $414B

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):

11-Jun 0830 06-Jun jobless claims (1.877M, 1.550M)

11-Jun 0830 May Final Demand PPI (-1.3%, 0.1%)

11-Jun 0830 May PPI ex. food and energy (-0.3%, -0.1%)

11-Jun 0830 May PPI ex. food, energy, trade (-0.9%, -0.1%)

11-Jun 1000 Q1 Service Revenue

11-Jun 1030 05-Jun natural gas stocks w/w

11-Jun 1130 US Tsy 4W Bill auction 09 Jun Annc 

11-Jun 1130 US Tsy 8W Bill auction 09 Jun Annc

11-Jun 1300 US Tsy $19B 30Y Bond R/O auction (912810SN9)

11-Jun 1630 10-Jun Fed weekly securities holdings

PIPELINE: $4.65B to price Wednesday

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

06/10 $2.75B #TD Bank $1.75B 3Y +58, $1B 5Y +83

06/10 $500M *Florida Gas Transmission WNG 10Y +180

06/10 $500M *Pinnacle West Capital WNG 5Y +95

06/10 $500M *Creditcorp Ltd 5Y +250

06/10 $400M *Ares Finance 10Y +250

Eurodollar/Tsy options

EURODLR OPTIONS:

* 27,000 Sep 95 puts, 1.0

* Update, Green Sep 97 call volume just over 51,000

Block, 1440:31ET, 12,000 Blue Jul 96/97 call spds, 1.5 vs. 99.525/0.18%

* another +10,000 short Dec 100 calls, 3.0 adds to +30k Block

* 2,870 Green Sep 96/97/98 1x2.5x1 call flys

Block, 1206-1209ET, total +30,000 short Dec 100 calls, 3.0

* +2,500 Nov 97/100/100.25 call flys, 1.75

* 2,000 Sep 98/100 1x2 call spds, 0.0

* Update, 15,000 Jul 96 calls, 7.5

* appr +9,000 Green Sep 93/96 put spds, 4.0

* 4,000 Sep 90/91/95 put trees

* 2,500 Sep 95 puts, 1.25

* 8,400 Blue Jun 95 calls, 5.5

* +9,100 Blue Jun 95 puts, 2.0

* Green Sep 93/96 and 

* +2,500 Blue Sep 90/92 put spds, 2.5

Overnight trade

* 3,750 Blue Jun 93/95 2x1 put spds

* 2,000 Green Jun 93/95/96 put flys

* 2,100 Dec 98/100 call spds

* 1,250 Mar 96/97/98 call and put flys

TSY OPTIONS:

* +12,000 TYN 135.75 puts, 2/64

* -2,000 TYQ 136.5 puts, 13/64

* 3,000 FVN 124/124.75 2x1 put spds

* Update, over 10,000 TYN 138 puts, 32- to 31/64

* appr -10,000 TYN 137 puts from 21- to 12/64

* +4,200 TYN 136.75/137.25 5x4 put spds 15- to 16/64

* 1,800 FVQ 124.75/125.25 put spds

* +3,000 TYQ 135.5 puts, 12/64

* over -5,000 TYN 137/140 put over risk reversals at 13/64

* Update, some 4,500 FVN 124/124.5 2x1 put spds, 0.0

* 2,500 FVN 123.75 puts, 1.5/64

Overnight trade, modest volumes

* 5,000 TYQ 135.5/136.5 put spds

* 7,000 TYN 137 puts in small lots mostly between 17- and 18/64

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

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