US TSYS: Nobody Anticipated Huge Upside Job Gain

US TSY SUMMARY: Nobody saw that coming: Huge upside gain in May employment:

+2.5M vs. -7.5m estimate, or at best -- not so soon! 10YY climbed to 0.9555%,

30YY tapped 1.7593%; June S&P futures climbed to 3210.5 high.

- Rate futures cratered following the totally unexpected NFP +2.5M vs. -7.5M

est! (Bbg survey breakdown for NFP yesterday: of the 75 respondents, the highest

est was -800k). Obviously better selling across the curve on heavy volumes w/

stops triggered on the way, bank portfolio and real$ buying intermediates to

long end, prop acct buying on the follow. Moderate late session buying and

unwinds of tactical steepeners noted.

- Still weaker but off initial post data lows (volumes doubled to near 1M Sep

10Y futures in the minutes after the data have receded) TYU added only 200k over

an hour as mkts mulled unexpected jump in jobs data. Futures traded sideways

with a gradual late session bid, while yld curves extended new 3+ year highs -

scaled back a little late.

- The 2-Yr yield is up 2bps at 0.2141%, 5-Yr is up 6.6bps at 0.4742%, 10-Yr is

up 8bps at 0.9035%, and 30-Yr is up 4.3bps at 1.6748%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) One Way Traffic

*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: 136-31 @ 16:15 BST, Jun 05

*SUP 1: 136-22   Low Jun 5

*SUP 2: 136-20   Low Mar 25

*SUP 3: 136-11+ 38.2% March Decline

*SUP 4: 135-30+ 100-dma

A stunning jobs report saw bond markets globally take a leg lower, with US 10yr

futures plumbing a new multi-month low. This puts an end to the recent bullish

trend and raises the risk of a longer-lasting downtrend from recent highs. This

opens 136-22 and, further out, the COVID crisis lows of 133-21. To repair the

upside argument, bulls need to take out 139-16, Apr 21 high to confirm a

resumption of the uptrend to target 139-25, Mar 25 contract high and the 140-00

handle.

AUSSIE 3-YR TECHS: (U0) Floor in For Now 

*RES 3: 100.00 - 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: 99.690 @ 16:33 BST Jun 05

*SUP 1: 99.690 - Low Mar 27 / Jun 05

*SUP 2: 99.645 - Low Mar 20

*SUP 3: 99.580 - 100-dma

The short-end of the Aussie bond market holds the lower-end of the recent range.

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 expanded lower at

the futures roll, now sitting at 99.695 and marks the key near-term support.

AUSSIE 10-YR TECHS: (U0) Stumbles Further

*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: 98.8200 @ 16:34 BST, Jun 05

*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 Friday after the firm May US jobs report. 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): Remains 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: 151.18 @ 16:36 BST, Jun 05

*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: Weaker by the bell but well off post NFP lows, spec unwinds

and profit taking in steepeners contributing, best volumes in weeks (TYU>2M) as

risk tone revitalized after the huge difference in reported May job gains of

+2.5M vs. -7.5M estimated job losses. Update: 

* 3M10Y  +7.253, 74.381 (L: 63.72 / H: 78.981)

* 2Y10Y  +6.089, 68.637 (L: 60.69 / H: 72.152)

* 2Y30Y  +2.668, 146.055 (L: 140.907 / H: 154.518)

* 5Y30Y  -1.848, 120.33 (L: 119.601 / H: 128.526); Current futures levels:

* Sep 2-Yr futures down 1.5/32 at 110-8.625 (L: 110-06.8 / H: 110-10.375)

* Sep 5-Yr futures down 10.5/32 at 124-24.75 (L: 124-18 / H: 125-05.5)

* Sep 10-Yr futures down 21/32 at 137-4.5 (L: 136-22 / H: 137-30.5)

* Sep 30-Yr futures down 1-15/32  at 172-17 (L: 170-30 / H: 174-15)

* Sep Ultra futures down 2-5/32 at 207-13 (L: 203-29 / H: 210-08)

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

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

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

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

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

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

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

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

11 Jun  1130ET   TBA     4W Bill      09 Jun Annc 

11 Jun  1130ET   TBA     8W Bill      09 Jun Annc

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

US EURODLR FUTURES CLOSE: Weaker across the strip, off lows with Whites

outperforming. Unexpected rise in May jobs data creates some doubt about forward

policy guidance with next FOMC next week. Current White pack levels:

* Jun 20 -0.003 at 99.688

* Sep 20 -0.005 at 99.70

* Dec 20 -0.005 at 99.665

* Mar 21 -0.015 at 99.740

* Red Pack (Jun 21-Mar 22) -0.055 to -0.025

* Green Pack (Jun 22-Mar 23) -0.10 to -0.07

* Blue Pack (Jun 23-Mar 24) -0.115 to -0.10

* Gold Pack (Jun 24-Mar 25) -0.115 to -0.11

US DOLLAR LIBOR: Latest settles

* O/N +0.0027 at 0.0625% (+0.0010/wk)

* 1 Month +0.0048 to 0.1801% (-0.0024/wk)

* 3 Month -0.0047 to 0.3129% (-0.0309/wk)

* 6 Month +0.0007 to 0.4812% (-0.0285/wk)

* 1 Year +0.0062 to 0.6340% (-0.0396/wk)

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

* Daily Effective Fed Funds Rate: 0.06%, volume: $61B

* Daily Overnight Bank Funding Rate: 0.06%, volume: $172B

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

* Secured Overnight Financing Rate (SOFR): 0.07%, $1.067T

* Broad General Collateral Rate (BGCR): 0.06%, $443B

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

FED: NY Fed lowers daily avg Tsy sec buys to $4.0B next week ($20B total) from

$4.5B daily average this week:

NY Fed operational purchases schedule for Monday

* 1010-1030ET: Tsy 7Y-20Y, appr $2.0B

NY Fed operational purchases schedule for Tuesday

* 1010-1030ET: Tsy 20Y-30Y, appr $2.5B

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

NY Fed operational purchases schedule for Wednesday

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

NY Fed operational purchases schedule for Thursday

* 1010-1030ET: Tsy 4.5Y-7Y, appr $3B

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

NY Fed operational purchases schedule for Friday

* 1010-1030ET: Tsy 2.25Y-4.5Y, appr $4B

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

08-Jun 1100 Jun NY Fed expectations survey

08-Jun 1130 US Tsy $63B 13W Bill auction (912796TJ8)

08-Jun 1130 US Tsy $54B 26W Bill auction (9127963J6)

08-Jun 1300 US Tsy $44B 3Y Note auction (912828ZU7)

PIPELINE: Issuers sidelined

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

06/05 No new issuance Friday

-

$6.6B priced Thursday; $52.85B/wk

06/04 $2.5B *Crown Castle $500M +5Y +100, $1.1B +10Y +145, $900M +30Y +165

06/04 $1B *Bank of Nova Scotia 5Y +95

06/04 $1B *Mass Mutual 3Y +62

06/04 $1B *Hormel 10Y +102

06/04 $600M *Reinsurance Group 10Y +240

06/04 $500M *PTT Exploration & Production 7Y +195

Eurodollar/Tsy options

EURODLR OPTIONS:

* 16,250 Green Mar 96/97/98 call flys

* 13,000 Green Jun 92 puts, cab

* 5,000 Sep 97/96 call spds

* 3,850 Blue Sep 93 straddles, 26.5

Block, 1154:46ET, 13,404 Blue Sep 93 puts, 15.5 vs. 99.34/0.53%

* 16,850 Red Jun'21 92/95 put spds

* 5,000 Blue Jun/Blue Sep 93 put spds, 11.5

Block, 0803:42ET, 10,000 Green Jun 97 calls vs. Blue Jun 96/98 call spds, 0.0

net vs.

99.46/0.10% adds to appr 3k on screen prior

TSY OPTIONS:

* +2,100 TYN 138.5 calls, 7/64

* appr 4,000 FVU 125.25/125.75 call spds vs. 16,000 FVU 126.5/127.25 call spds

* +2,500 TYU 137 puts, 1-9/64

* +4,000 FVQ 125 calls, 17.5/64, 5Y implied vol back to slightly firmer

* Block, 10,000 TYU 137 straddles, 2-9/64 checking direction but implieds lower

* +5,000 TYQ 138/140.5 call spds vs. TYQ 135.5 puts, 2.5/64 net package

* More TYQ 135.5 puts, total volume over 23,300, 25/64 last

* -5,000 TYQ 135.5/137 put spds, 27- to 29/64

* 1,500 TYN 135.75/136.75/137.75 put flys

* +1,000 USN 173 calls vs. -3,000 TYN 137.75 calls flattener

* heavy volumes in TYN 136 puts, over 50,000 total, 18/64 last

* appr -8,700 FVU 123.75 puts from 14- to 12.5/64

* -3,000 TYN 138 calls, 22/64

* +5,000 TYQ 136.5/137.5 put spds, 25/64

* Block: -15,000 TYN 138 puts, 42/64 vs. +20,000 TYQ 136.5/137.5 put spds, 22/64

* Block: -2,000 USN 174/176 put spds 1-3/64 vs. +5,000 TYQ 136.5/137.5 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$]