US TSYS: Risk Knows No Fear

US TSY SUMMARY: Ignoring ongoing violent protests across the US and abroad, risk

tone held firm with rates trading weaker all session, equities firmer/upper half

of the range (ESM0 +5.0) in late trade.

- Long end made several attempts to pare losses on day while yld curves

continued to forge steeper (5s30s nearing 3 year highs tapped mid-March).

- Swap spds ratchet tighter, session lows by the closing bell, short end leading

move w/5s and 30s not for behind. Incoming supply and tighter FRA/OIS basis

weighing. 5Y bucked move into the open amid some rate paying and receivers out

the curve ahead the open.

- Financial names securing funding helped push high grade debt issuance over

$17.5B on day (>$35B/wk).

- Overall volumes remained below average, however, with many participants close

to the sidelines ahead ADP private employ data early Wed (-9.000M est); NFP Fri

(-8.000M est) while May unemployment rate estimate nears 20%.

- The 2-Yr yield is up 1bps at 0.1663%, 5-Yr is up 1.4bps at 0.3195%, 10-Yr is

up 2.1bps at 0.6803%, and 30-Yr is up 2.6bps at 1.4766%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Sideways

*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: 138-28+ @ 11:21 BST, Jun 02

*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 are softer so far this week, 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 sideways move and confirm a resumption of the

uptrend to target 139-25, the 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 @ 16:29 BST Jun 02

*SUP 1: 99.715 - Low Jun 02

*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: 99.0450 @ 16:30 BST, Jun 02

*SUP 1: 99.0200 - Low Apr 9

*SUP 2: 98.7800 - Low Mar 23 

*SUP 3: 98.5700 - Low Mar 20 

The roll pressured prices further Tuesday, but key support remains intact 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: (U0): Shallow Bounce

*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: 152.16 @ 16:32 BST, Jun 02

*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: Inside range with Tsys trading weaker/off lows after the

bell, yld curves steeper but off first half highs (5s30s nearing 3 year highs

tapped mid-March). Update: 

* 3M10Y  +0.981, 52.400 (L: 48.128 / H: 54.068)

* 2Y10Y  +1.166, 51.045 (L: 48.937 / H: 52.287)

* 2Y30Y  +1.809, 130.837 (L: 127.897 / H: 133.035)

* 5Y30Y  +1.264, 115.646 (L: 113.703 / H: 117.638); Current futures levels:

* Sep 2-Yr futures down 0.75/32 at 110-12.375 (L: 110-12 / H: 110-13.375)

* Sep 5-Yr futures down 3.5/32 at 125-16.75 (L: 125-15.5007999999998 / H:

125-21.25)

* Sep 10-Yr futures down 5.5/32 at 138-27 (L: 138-25 / H: 139-03.5)

* Sep 30-Yr futures down 13/32 at 177-11 (L: 176-30 / H: 178-01)

* Sep Ultra futures down 24/32 at 215-13 (L: 214-10 / H: 216-26)

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

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

03 Jun  1130ET   $40B   105D Bill     (9127963Z0)

03 Jun  1130ET   $40B   154D Bill     (9127964R7)

04 Jun  1130ET   $80B    4W Bill      (9127963C1)

04 Jun  1130ET   $70B    8W Bill      (9127963M9)

US EURODLR FUTURES CLOSE: Steady to mildly lower across the strip, lower half

narrow range. Lead quarterly bounced on open after 3M LIBOR set -0.0066 to

0.3305% (-0.0134/wk). Current White pack levels:

* Jun 20 steady at 99.703

* Sep 20 steady at 99.720

* Dec 20 -0.005 at 99.695

* Mar 21 -0.005 at 99.780

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

* Green Pack (Jun 22-Mar 23) -0.01 to -0.005

* Blue Pack (Jun 23-Mar 24) -0.01

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

US SWAPS: Spds ratchet tighter, session lows by the closing bell, short end

leading move w/5s and 30s not for behind. Incoming supply and tighter FRA/OIS

basis weighing. 5Y bucked move into the open amid some rate paying and receivers

out the curve ahead the open. Current spd levels:

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

Tue 1500  -1.25/+7.75    -0.62/+4.50    -0.25/-1.00    -0.69/-49.38

1330      -0.69/+8.12    -0.56/+4.56    -0.25/-1.00    -0.56/-49.25

1130      -0.50/+8.38    -0.50/+4.62    -0.25/-1.00    -0.50/-49.19

0930      -0.44/+8.44    -0.25/+4.88    -0.25/-1.00    -0.38/-49.00

Tue Open  -0.31/+8.56    +0.19/+5.31    -0.25/-1.00    -0.38/-49.00

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

US DOLLAR LIBOR: Latest settles

* O/N +0.0030 at 0.0650% (+0.0035/wk)

* 1 Month +0.0006 to 0.1787% (-0.0037/wk)

* 3 Month -0.0066 to 0.3305% (-0.0134/wk)

* 6 Month -0.0142 to 0.4820% (-0.0277/wk)

* 1 Year -0.0120 to 0.6255% (-0.0480/wk)

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

* Daily Effective Fed Funds Rate: 0.05%, volume: $66B

* 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%, $1.104T

* Broad General Collateral Rate (BGCR): 0.05%, $454B

* Tri-Party General Collateral Rate (TGCR): 0.05%, $435B

FED: Recap NY Fed operational purchases

* Tsy 7Y-20Y, $2.000B accepted of $7.994B submitted

* TIPS 1Y-7.5Y, $1.000B accepted of $4.825B submitted

-

NY Fed operational purchases schedule for Wednesday

* 1100-1120ET: Tsy 20Y-30Y, appr $3.0B

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

03-Jun 0700 29-May MBA Mortgage Applications (2.7%, --)

03-Jun 0815 May ADP private payrolls (20.236M, 9.000M) 

03-Jun 0945 May IHS Markit Services Index (final) (36.9, 37.3)

03-Jun 1000 Apr factory new orders (-10.4% rev, -13.4%)

03-Jun 1000 Apr factory orders ex transport (-3.6% rev, --)

03-Jun 1000 May ISM Non-manufacturing Index (41.8, 44.4)

03-Jun 1030 29-May crude oil stocks ex. SPR w/w

PIPELINE: $17.55B to price Tuesday, $35.9B/wk already

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

06/02 $5B *EIB 3Y +10

06/02 $3.5B #Credit Suisse $2B 3Y +88, $1.5B 6NC5 +188

06/02 $2B #BNP Paribas 6NC5 +190

06/02 $1.8B #East Ohio Gas $500M 5Y +100, $500M 10Y +135, $800M 30Y +160

06/02 $1.5B #Truist Fncl Corp $750M each 5Y +90, 10Y +130

06/02 $1B #Infor Inc $350M 3Y +125, $650M 5Y +145

06/02 $1B #Nordea 3Y +83

06/02 $500M #Apollo Management 10Y +200

06/02 $500M *Protective Life 3Y +87.5

06/02 $400M #Baltimore Gas & Electric WNG 30Y +147

06/02 $350M #Affiliated Managers 10Y +262.5

Rolled to Wednesday

06/03 $500M COE Covid-19 social bond WNG 3Y +11a

Eurodollar/Tsy options

EURODLR OPTIONS:

* 5,500 Blue Dec 90/95 2x1 put spds

* +6,000 Nov 93/95/96 put flys, 1.5

* 4,000 Blue Oct/Blue Dec 92 put spds, 2.0 net

* Update, +8,000 short Sep 93 puts, 1.0

Latest Block, 0822:16ET,

* +18,200 Blue Sep 93 puts, 0.5 vs. 99.56/0.26%

Overnight trade

* 10,000 Blue Jul 90/93 put spds

* 2,750 Sep 97 straddles

TSY OPTIONS: 

* 5,000 TYU 140 calls 36/64

* over 3,500 TYN/TYQ 137.5 put spds, 11- to 12/64 earlier

* -2,000 TYN 138/140 strangles, 24/64

* scaled buyer over 3,000 TYQ 139.5 calls from 34- to 36/64

* little over 1,000 wk1 TY 138/139 2x1 put spds trade w/ wk2 TY 137.7/139 2x1

put spds/ 35/64 package

* 2,000 TYU 139 straddle traded 1-63 to 2-0 earlier

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

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