US TSYS: Listen Before Speaking, Will Trump Address Nation?

US TSY SUMMARY: Quiet start to the week on light volumes in rate futures (TYU <

835k), Tsys weaker all day but off midmorning lows after the bell, yld curves

steeper. Tsys opened near overnight lows, extending bottom end of the range

despite weekend protests (at times violent with a minority setting fires,

looting) over social/racial justice after George Floyd's death. Multiple cities

including NY implementing curfews again tonight.

- Equities actually trading higher (ESM0 +10.0 after the bell) after Hang Seng

climbed

3.4% after Fri's speech by Trump proved ineffectual (trade angst cooled, at

least temporarily).

- Amazon 6pt jumbo lion's share of Mon's over $18B issuance;no coupon selling

this week.

- Many plied sidelines ahead week's headline data (prior, estimate), NFP

estimates improved while unemployment rate estimate nears 20%. 

- The 2-Yr yield is down 0.2bps at 0.1584%, 5-Yr is up 0.2bps at 0.3052%, 10-Yr

is up 1bps at 0.6624%, and 30-Yr is up 5.2bps at 1.4586%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Edging Lower 

*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: 138-27 @ 16:14 BST, Jun 01

*SUP 1: 138-09   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 edged lower from the open, but key supports remain intact for now.

The range parameters are 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 consolation and confirm a resumption of the

uptrend that would target 139-25, Mar 25 contract high and the 140-00 handle.

Clearance of 137-30+, May 6 low would be bearish and expose 137-19+.

AUSSIE 3-YR TECHS: (U0) Softer Within The Range 

*RES 3: 100.000 - Handle Psychological Resistance

*RES 3: 99.840 - Range projection on a break of 99.780

*RES 1: 99.780 - High Apr 01 and bull trigger 

*PRICE: 99.720 @ 16:15 BST Jun 01

*SUP 1: 99.720 - Low Apr 15 / Jun 01

*SUP 2: 99.645 - Low Mar 20

*SUP 3: 99.565 - 100-dma

The short-end of the Aussie bond market has pulled back from recent highs. The

contract continues to trade within a range that has been in place since peaking

at 99.780 on Apr 1. A break of this resistance is required to confirm a

resumption of the broader uptrend and open 99.840, the range projection and the

100.00 psychological level further out. The base of the range at 99.720, low Apr

14/15 and marks the key near-term support.

AUSSIE 10-YR TECHS: (U0) Key Supports Remain Intact

*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: 99.0650 @ 16:22 BST, Jun 01

*SUP 1: 99.0200 - Low Apr 9

*SUP 2: 98.7800 - Low Mar 23 

*SUP 3: 98.5700 - Low Mar 20 

The roll resulted in lower prices early Monday. Key support remains at 99.0200,

Apr 9 low where a break is still required to confirm a near-term bearish

outlook. The lower peaks since Apr 2 suggest futures are likely to break the

support eventually. This would open 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: (M0): Turning Lower

*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: 152.04 @ 16:34 BST, Jun 01

*SUP 1: 151.99 - Low Apr 20

*SUP 2: 151.86 - Low Apr 9

*SUP 3: 151.59 - Low Mar 26

JGB futures extended recent weakness Monday, keeping focus on recent support at

152.15/16 and a fall through here will damage the outlook. A break if seen,

would concern bulls and expose the 152.00 handle and support at 151.86, Apr 9

low. An ability to hold above supports and more importantly a break of 153.06,

Mar 31 high is required to confirm a bullish cycle and allow for a recovery

towards 153.30, Mar 16 high.

TSY FUTURES CLOSE: Quiet start to the week on light volumes (TYU < 835k), Tsys

weaker all day but off midmorning lows after the bell, yld curves steeper.

Update: 

* 3M10Y  +2.177, 52.182 (L: 48.634 / H: 54.536)

* 2Y10Y  +1.432, 50.076 (L: 47.966 / H: 51.638)

* 2Y30Y  +5.267, 129.291 (L: 123.827 / H: 130.628)

* 5Y30Y  +4.484, 114.606 (L: 110.153 / H: 116.02); Current futures levels:

* Sep 2-Yr futures down 0.5/32 at 110-13 (L: 110-12.25 / H: 110-14)

* Sep 5-Yr futures steady at 125-20 (L: 125-16.5 / H: 125-22.75)

* Sep 10-Yr futures down 1.5/32 at 139-0.5 (L: 138-25 / H: 139-07.5)

* Sep 30-Yr futures down 21/32 at 177-23 (L: 177-02 / H: 178-26)

* Sep Ultra futures down 2-0/32 at 216-01 (L: 215-08 / H: 218-23)

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

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

02 Jun  1130ET   $65B    42D Bill     (9127962J7)

02 Jun  1130ET   $40B   119D Bill     (912796SZ3)

04 Jun  1130ET   TBA     4W Bill      02 Jun Annc (9127963C1)

04 Jun  1130ET   TBA     8W Bill      02 Jun Annc (9127963M9)

US EURODLR FUTURES CLOSE: Marginally bid in the short end, steady to weaker out

the strip after the bell. Current White pack levels:

* Jun 20 +0.005 at 99.703

* Sep 20 +0.005 at 99.720

* Dec 20 +0.005 at 99.70

* Mar 21 +0.005 at 99.785

* Red Pack (Jun 21-Mar 22) +0.005 to +0.005

* Green Pack (Jun 22-Mar 23) steady to +0.005

* Blue Pack (Jun 23-Mar 24) steady to +0.005

* Gold Pack (Jun 24-Mar 25) -0.01 to steady

Spds tighter across the curve after the bell, spd curve reversing from steeper

on the open to flatter in the second half as the long end lead compression. Over

$15B in swappable corporate issuance contributed to the move. Current spd

levels:

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

Mon 1500  -0.38/+9.00    -0.12/+5.38    -0.38/-0.62    -1.38/-48.38

1300      -0.38/+9.00    -0.06/+5.44    -0.19/-0.44    -1.12/-48.12

1100      -0.62/+8.75    -0.75/+4.75    -0.75/-1.00    -1.38/-48.38

Mon Open  -0.88/+8.50    -0.19/+5.31    -0.38/-0.62    -0.50/-47.50

Mon 0730  -1.38/+8.00    -0.19/+5.31    -0.25/-0.50    -0.25/-47.25

Mon 0630  -1.00/+8.38    -0.12/+5.38    -0.25/-0.50    -0.25/-47.25

Fri 1500  -0.12/+9.12    +0.12/+4.75    +0.56/-0.12    +0.38/-47.00

US DOLLAR LIBOR: Latest settles

* O/N +0.0005 at 0.0620% (+0.0008 last wk)

* 1 Month -0.0043 to 0.1781% (+0.0087 last wk)

* 3 Month -0.0068 to 0.3371% (-0.0252 last wk)

* 6 Month -0.0135 to 0.4962% (-0.0602 last wk)

* 1 Year -0.0360 to 0.6375% (-0.0083 last wk)

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

* Daily Effective Fed Funds Rate: 0.05%, volume: $65B

* 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): 0.06%, $1.061T

* Broad General Collateral Rate (BGCR): 0.05%, $451B

* Tri-Party General Collateral Rate (TGCR): 0.05%, $428B

FED: NY Fed operational purchase

* Tsy 0Y-2.25Y, $7.000B accepted of $33.412B submitted

-

NY Fed operational purchases schedule for Tuesday

* 1010-1030ET: Tsy 7Y-20Y, appr $2B

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

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

02-Jun  -   May NA-made light vehicle sales SAAR (8.58M, 11.0M)

02-Jun 0855 30-May Redbook retail sales m/m

02-Jun 0945 May ISM-NY current conditions (4.3, --)

02-Jun 1130 US Tsy $65B 42D Bill auction (9127962J7)

02-Jun 1130 US Tsy $40B 119D Bill auction (912796SZ3)

PIPELINE: Amazon 6pt jumbo lion's share of Mon's over $18B issuance

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

06/01 $10B #Amazon $1B 3Y +25, $1.25B 5Y +50, $1.25B 7Y +70, $2B 10Y +85, $2.5

30Y +110, $2B 40Y +130

06/01 $2.5B #Colombia $1B 10.9Y +250, $1.5B 30.9Y +275

06/01 $1.25B #Ralph Lauren $500M 2Y +160, $750M 10Y +240

06/01 $1B# MetLife 3Y +75

06/01 $900M #John Deere Cap $450M each 2Y +40, 3Y +53

06/01 $500M #Agilent WNG 10Y +150

06/01 $600M #WRKCo 13Y +240

06/01 $450M #Southwest Gas Corp WNG 10Y +155

06/01 $350M #PECO Energy WNG 30Y +135

06/01 $300M #PACCAR Fncl 3Y +65

06/01 $Benchmark American Tower Corp 5Y +110a, 10Y +155a, 30Y +175a

Eurodollar/Tsy options

EURODLR OPTIONS:

* +4,000 Dec 98/100.12 call spds, 1.5

* 3,000 Sep 97/Mar 98 call spds, 2.5

* * +6,000 Green Oct/Green Dec 93/96 2x1 put spd strip, 3.5

Block, 1019:20ET,

* 13,500 Blue Jul 96/98 call spds, 4.0

* 6,000 Blue Sep 91/93 put spds

* 4,000 Green Jun 82/97 4x1 put spd/roll-up

* total +7,600 Blue Jul 96/98 call spds, 4.0 -- while some sources say some vs.

Green Jul 97 puts at 3.0

* +1,000 Sep 87/90/95 put trees, 2.5

* +2,000 short Dec 100 calls, 4.0

* +2,150 Green Aug 97/98/100 call flys, 2.0

TSY OPTIONS:

* -2,000 TYN 140 calls, 13/64, just over 4,600 on day

Limited overnight trade

* +15,000 TYN 136.5 puts, 4/64

* 3,400 TYN 138.75 puts, 31/64 last

* 1,700 TYN 140 calls, 16/64 last

* 3,000 TYQ 140 calls, 35/64

* 2,000 TYQ 141 calls, 17/64 last

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

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