US TSYS: Rates And Equities Sold Ahead May NFP

US TSY SUMMARY: Choppy trade in the first half for rates with Tsys trading close

to session lows after the closing bell. Yld curves at new 3Y highs amid better

selling w/accts off sidelines ahead of Fri's headline May employment data. USD

stronger for first time in a couple weeks, equity off lows late (ESM0 -7.0

around 3110.7). 

- Little react to weekly claims (1.877M) but a lot of unwinds and open interest

declining last couple sessions. Knock-on selling in EGBs, GGBs spilled over to

Tsys; likelihood of more stimulus weighing. 

- Contributing to latest directional bear steepening as 10Y broke appr 2M range:

1) Exp of yld curve control probably in short end within next five years

(Mester). 2) Rebound in equities (no V or sideways L, more like the Nike swish

logo) evaporates buying riskless long-end assets. 3) Mild) increase in infln

expns: ULC 5.1%, UofM exps, rising oil. 4) one desk suggests Tiananmen Sq anniv

"is center of a lot of long end callable..move is global." 

- The 2-Yr yield is up 0.2bps at 0.192%, 5-Yr is up 3.3bps at 0.3989%, 10-Yr is

up 6.4bps at 0.8102%, and 30-Yr is up 8bps at 1.6109%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Eyeing April Lows

*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: 137-23+ @ 16:01 BST, Jun 04

*SUP 1: 137-22   Low Jun 4

*SUP 3: 137-19+ Low Apr 14

*SUP 3: 137-06+ 50% March Sell-Off

*SUP 4: 136-20   Low Mar 25

10yr futures slipped further Thursday, taking out the base of the recent risk

range at 137-30+. This pressures the medium-term outlook, betraying the

until-now bullish outlook. This exposes the early April lows and key support at

137-19+ and the 50% Fib below at 137-06+. 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) Weak 

*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: 99.695 @ 16:09 BST Jun 04

*SUP 1: 99.690 - Low Mar 27

*SUP 2: 99.645 - Low Mar 20

*SUP 3: 99.580 - 100-dma

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

Thursday. 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) Stumbling

*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: 98.9000 @ 16:10 BST, Jun 04

*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 deteriorated further Thursday, with Aussie 10yr bonds slipping

alongside global bond markets. 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): Sinking 

*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: 151.50 @ 16:16 BST, Jun 04

*SUP 1: 151.06 - Low Mar 24

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

*SUP 3: 150.57 - 1.0% 10-dma envelope

JGB took another leg lower amid a global bond sell-off Thursday, 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 all day, futures finishing session near lows after

holding narrow range since midmorning, heavier volumes (TYU>1.5M) on better

selling in intermediates to long end ahead Fri's headline May employment report

(-7.5M est). Yld curves  climb to new 3Y highs. Update: 

* 3M10Y  +7.439, 66.554 (L: 56.951 / H: 67.216)

* 2Y10Y  +6.725, 62.115 (L: 54.733 / H: 62.611)

* 2Y30Y  +8.527, 142.387 (L: 133.181 / H: 143.153)

* 5Y30Y  +5.072, 121.42 (L: 116.344 / H: 122.027); Current futures levels:

* Sep 2-Yr futures up 0.375/32 at 110-10.125 (L: 110-09.37 / H: 110-10.875)

* Sep 5-Yr futures down 3.75/32 at 125-3.25 (L: 125-01.25 / H: 125-10.5)

* Sep 10-Yr futures down 12/32 at 137-26 (L: 137-22 / H: 138-12)

* Sep 30-Yr futures down 1-14/32 at 174-02 (L: 173-28 / H: 176-01)

* Sep Ultra futures down 3-2/32 at 209-17 (L: 209-09 / H: 213-25)

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: Steady in Whites through first half of Reds,

moderately weaker out the strip with Golds underperforming. Current White pack

levels:

* Jun 20 steady at 99.690

* Sep 20 steady at 99.705

* Dec 20 steady at 99.675

* Mar 21 steady at 99.760

* Red Pack (Jun 21-Mar 22) -0.01 to steady

* Green Pack (Jun 22-Mar 23) -0.02 to -0.01

* Blue Pack (Jun 23-Mar 24) -0.045 to -0.03

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

US DOLLAR LIBOR: Latest settles

* O/N -0.0021 at 0.0598% (-0.0017/wk)

* 1 Month +0.0016 to 0.1752% (-0.0072/wk)

* 3 Month -0.0090 to 0.3176% (-0.0262/wk)

* 6 Month +0.0040 to 0.4805% (-0.0292/wk)

* 1 Year +0.0052 to 0.6277% (-0.0458/wk)

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

* Daily Effective Fed Funds Rate: 0.06%, volume: $62B

* Daily Overnight Bank Funding Rate: 0.06%, volume: $173B

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

* Secured Overnight Financing Rate (SOFR): 0.06%, $1.024T

* Broad General Collateral Rate (BGCR): 0.05%, $447B

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

FED: Recap NY Fed operational purchases for Thursday

* Tsy 4.5Y-7Y, $3.400B accepted of $10.183B submitted

* TIPS 7.5Y-30Y, $1.000B accepted of $2.797B submitted

-

NY Fed operational purchase schedule for Friday

* 1010-1030ET: Tsy 2.25Y-4.5Y, appr $5B

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

05-Jun 0830 May nonfarm payrolls (-20.537M, -8.000M)

05-Jun 0830 May private payrolls (-19.557M, -7.250M) 

05-Jun 0830 May unemployment rate (14.7%, 19.5%)

05-Jun 0830 May average hourly earnings (4.7%, 1.0%)

05-Jun 0830 May average workweek, all workers (34.2hrs, 34.3hrs)

05-Jun 1100 Q2 St. Louis Fed Real GDP Nowcast

05-Jun 1115 Q2 NY Fed GDP Nowcast

05-Jun 1500 Apr consumer credit (-$12.044B, -20.000B)

PIPELINE: Slower to price in late trade; $6.6B/day

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

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:

Block, 0925:15ET, +10,000 Green Aug 93/95 put spds, 1.5 vs. 99.665/0.10%

* +10,000 Dec 92/95 put spds, 2.0

* 3,000 Mar 100 calls, 3.5 last

* 2,000 short Sep 95/96 1.5x1 put spds

* 1,000 Blue Aug 76 puts, cab

TSY OPTIONS:

* +4,700 FVQ 124.75 puts 13.5- to 14/64

* >21,500 TYN 137 puts, 13- to 14/64

* -5,000 TYN 136.5 puts, 9/64

* >7,700 TYQ 137 puts, 27/64 last

* 4,500 TYN 139.5 calls, 11/64

* 1,450 TYN 195 calls actually traded sub-cab

* >7,700 FVN 125 puts, 11.5/64 last

Early overnight Block recap

* +5,000 TYQ 139.5/141 call spds, 16/64

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

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