US TSYS: Trump To Address China HK Actions Fri

US TSY SUMMARY: Trading mixed after the bell, long end weaker all day but off

second half lows on heels of Trump headlines re: China and looking to announce

sometime Friday a response to actions in HK. Rates bounced, equities reverse

gains, USD/CNH gapped >80 points (from 7.1608 to 7.1701) but paring back to

7.1662 last.

- Tsys started weaker post data dip with  durables and weekly claims not as bad

as estimated; yld curves held steeper levels w/long end underperforming all

session.

- Reminder, Sep Tsy futures take lead quarterly position Friday while Jun

futures won't expire until mid-late June: 10s, 30s and Ultras on 6/19; 2s & 5s

6/30. 

- US Tsy $38B 7Y Note auction (912828ZS2) tailed w/ 0.553% awarded rate (0.525%

last month) vs. 0.547% WI; 2.55 bid/cover vs. 2.56 prior. Indirects drew 63.58%

vs. 66.40% prior, directs 12.39% vs. 12.30%, dealers 24.02% vs. 21.30%.

- The 2-Yr yield is down 1bps at 0.1701%, 5-Yr is down 1.3bps at 0.3352%, 10-Yr

is up 1bps at 0.6917%, and 30-Yr is up 1.8bps at 1.4579%.

TECHNICALS:

US 10YR FUTURE TECHS: (M0) Going Nowhere Fast  

*RES 4: 141-26   0.764 projection of Feb 6 - Mar 9 rally from Mar 19 low

*RES 3: 140-24   High Mar 9 and key contract high

*RES 2: 140-00   Round number resistance

*RES 1: 139-21/22  High May 15 / High Apr 21 and key resistance  

*PRICE: 139-02+ @ 16:02 BST, May 28

*SUP 1: 138-08+/06 Low May 06 / Low Apr 15

*SUP 2: 137-29+ 50-day EMA

*SUP 3: 137-16   Low Apr 7 and key near-term support

*SUP 4: 136-29+ Low Mar 24

10yr futures continue to trade sideways within its current range. The range

parameters are 139-21/22 at the top and 138-08+ at the base. The underlying

theme remains bullish, however futures still need to clear 139-22, Apr 21 high

to end the current consolation and confirm a resumption of the uptrend that

would target 140-00 and beyond. On the downside, clearance of 138-08+, May 6 low

would be bearish and expose 137-16.

     AUSSIE 10-YR TECHS: (M0) 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: 99.1150 @ 16:14 BST, May 28

*SUP 1: 99.0200 - Low Apr 9

*SUP 2: 98.7800 - Low Mar 23 

*SUP 3: 98.5700 - Low Mar 20 

10yr futures recovered into the tail-end of last week but came well off the

highs into the close, doing little to reverse the outlook. 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): Still Holding Above Supports

*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: 152.27 @ 16:17 BST, May 28

*SUP 1: 152.15 - Low May 12

*SUP 2: 151.86 - Low Apr 9

*SUP 3: 151.59 - Low Mar 26 

The (very) gradual recovery off the May 12 low stalled at Monday's high of

152.47. Price though remains above key support at 152.15, May 12 low. 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: Trading mixed after the bell, long end weaker all day but off

second half lows. Update: 

* 3M10Y  +1.235, 54.419 (L: 51.283 / H: 56.469)

* 2Y10Y  +2.353, 51.962 (L: 49.547 / H: 52.875)

* 2Y30Y  +3.099, 128.515 (L: 125.871 / H: 130.069)

* 5Y30Y  +2.984, 112.04 (L: 109.476 / H: 113.542); Current futures levels:

* Jun 2-Yr futures up 0.5/32 at 110-8.125 (L: 110-07.25 / H: 110-08.375)

* Jun 5-Yr futures up 0.5/32 at 125-20.5 (L: 125-17.5 / H: 125-22)

* Jun 10-Yr futures down 2/32 at 139-2 (L: 138-28.5 / H: 139-07)

* Jun 30-Yr futures down 18/32 at 178-29 (L: 178-12 / H: 179-18)

* Jun Ultra futures down 1-12/32 at 217-20 (L: 216-23 / H: 218-23)

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

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

01 Jun  1130ET   $63B    13W Bill     (912796XH7)

01 Jun  1130ET   $54B    26W Bill     (912796TU3)

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

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

04 Jun  1130ET   TBA     4W Bill      02 Jun Annc

04 Jun  1130ET   TBA     8W Bill      02 Jun Annc

US TSY FUTURES: Late session roll update, pace accelerates ahead first notice

this Friday, May 29. Jun futures expire in mid-late June: 10s, 30s and Ultras on

6/19; 2s & 5s 6/30. Percentage completion:

* TUM/TUU appr 1,206,800 from -4.75 to -4.25, -4.62 last; appr 68% complete

* FVM/FVU appr 1,878,300 from 5.25 to 6.0, 5.5 last; appr 69% complete

* TYM/TYU appr 2,242,000 from 8.25 to 9.0, 8.5 last; appr 55% complete 

* UXYM/UXYU 312,600 from -9.5 to -6.75, -7.25 last; appr 47% complete

* USM/USU 433,000 from 1-17.75 to 1-18.5, 1-18 last; appr 53% complete

* WNM/WNU 313,700 from 1-17.25 to 1-18, 1-17.75 last; appr 53% complete

MONTH-END EXTENSIONS: Updated Bloomberg-Barclays US month-end index extension;

forecast summary compared to the avg increase for prior year and the same time

in 2019. TIPS -0.01Y; Govt inflation-linked, -0.01.

*........................EST.....1Y Avg Incr..Last Year

*US Tsys.................0.14........0.08........0.11

*Agencies................0.02........0.11........0.01

*Credit..................0.14........0.08........0.08

*Govt/Credit.............0.14........0.08........0.10

*MBS.....................0.07........0.06........0.05

*Aggregate...............0.12........0.08........0.09

*Long Govt/Credit........0.13........0.09........0.10

*Interm Credit...........0.12........0.07........0.08

*Interm Govt.............0.10........0.08........0.08

*Interm Govt/Cred........0.12........0.08........0.08

*High Yield..............0.10........0.06........0.04

US EURODLR FUTURES CLOSE: Mildly lower for the most part. Lead quarterly well

bid/near highs after another drop in 3M LIBOR -0.0125 to 0.3500% (-0.0192/wk).

Current White pack levels:

* Jun 20 +0.010 at 99.698

* Sep 20 steady at 99.710

* Dec 20 -0.005 at 99.690

* Mar 21 -0.005 at 99.765

* Red Pack (Jun 21-Mar 22) -0.01 to -0.005

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

* Blue Pack (Jun 23-Mar 24) -0.01 to -0.005

* Gold Pack (Jun 24-Mar 25) -0.015 to -0.01

US DOLLAR LIBOR: Latest settles

* O/N +0.0014 at 0.0630% (+0.0023/wk)

* 1 Month -0.0010 to 0.1726% (-0.0011/wk)

* 3 Month -0.0125 to 0.3500% (-0.0192/wk)

* 6 Month -0.0334 to 0.5150% (-0.0550/wk)

* 1 Year -0.0036 to 0.6769% (-0.0049/wk)

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

* Daily Effective Fed Funds Rate: 0.05%, volume: $79B

* Daily Overnight Bank Funding Rate: 0.05%, volume: $205B

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

* Secured Overnight Financing Rate (SOFR): 0.06%, $1.069T

* Broad General Collateral Rate (BGCR): 0.04%, $461B

* Tri-Party General Collateral Rate (TGCR): 0.04%, $439B

FED: Recap NY Fed operational purchases for Thursday

* Tsy 2.25Y-4.5Y, $4.000B accepted, $18.793B submitted 

* TIPS 7.5Y-30Y, $700M accepted vs. $1.423B submitted, smallest buy yet

w/exclusions

NY Fed operational purchase schedule for Friday

* 1010-1030: Tsy 0-2.25Y, appr 6.500B

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

29-May 0830 Apr advance goods trade gap (-$64.4B rev, -$65.0B)

29-May 0830 Apr advance wholesale inventories (-0.8%, -0.7%)

29-May 0830 Apr advance retail inventories (0.9%, -0.8%)

29-May 0830 Apr personal income (-2.0%, -6.0%)

29-May 0830 Apr current dollar PCE (-7.5%, -12.8%)

29-May 0830 Apr total PCE price index (-0.3%, -0.6%)

29-May 0830 Apr core PCE price index (-0.1%, -0.3%)

29-May 0945 May MNI Chicago PMI (35.4, 40.0)

29-May 1000 May Michigan sentiment index (f) (73.7, 74.0)

29-May 1100 Q2 St. Louis Fed Real GDP Nowcast

29-May 1100 Fed Chairman Powell moderated virtual discussion

29-May 1115 Q2 NY Fed GDP Nowcast

30-May Fed enters blackout period through June 11 (FOMC Jun 9-10)

PIPELINE: HSBC launched, Health Care Srvc Corp earlier

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

05/28 $3.5B #HSBC Holdings $2B 6NC5 +175, $1.5B 11NC10 +215

05/28 $2B #Health Care Srvc Corp $500M 5Y +120, $750M Each 10Y +155, 30Y +180

05/28 $750M #Yara 10Y +245

05/28 $Benchmark Bank of Nova Scotia Perp NC5 5.25%

Eurodollar/Tsy options

EURODLR OPTIONS:

* 2,000 Sep 96 straddles 13.5

* +10,000 Sep 96/97/98 call flys, 5.5

* 4,000 Jun 96 puts, cab earlier

US TSY OPTIONS:

* -4,100 FVU 126/126.5 call spds, 6/64

* total 44,200 FVQ 121.25 puts, 2.5/64 remains well offered (near 60k)

* +3,000 TYN 134.75 puts, 3/64

* just over 3,600 TYN 135 puts also 3/64 last

* appr -2,000 TYU 138.5/139 straddle strips at 3-63/64

* 1,650 TYN 137.5/139.5 strangles trade 30/64

Limited early volumes, implieds near steady

* near 3,000 TYN 139.5 calls from 18- to 21/64

* +2,000 USQ 190 calls, 19- to 20/64

* small buyers TUU 110.62 calls, 3/64

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

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