US TSYS: Tsy Yields Recede Ahead Wed's FOMC Policy Annc

US TSY SUMMARY: Choppy trade belies the rather modest volumes Monday (TYU<890 by

the bell), accts plying the sidelines ahead of Wed's FOMC policy annc missed the

bounce in Tsys after a weaker open, yld curves scaling back a fraction of last

week's steepening with the long end outperforming (even as equities continue to

climb, ESM0 +36.0 late).

- On the flipside, after a firmer open, short end Eurodollar futures traded

weaker by the bell, EDU0 -1.25 at 99.675; decent selling in July and Sep FF

futures also report

- Small stop, US Tsy $44B 3Y Note auction (912828ZU7) awarded 0.280% vs. 0.282%

WI, on a bid/cover 2.55 vs. 2.54 previous. Meanwhile, just over $12B in

high-grade corporate debt was issued.

- No discernable react to the Fed late announcement they will expand Main St

loan limits, lowering minimum loans to $250, from $500K.

- The 2-Yr yield is up 1.6bps at 0.2222%, 5-Yr is down 2.1bps at 0.4423%, 10-Yr

is down 2.5bps at 0.8702%, and 30-Yr is down 2.9bps at 1.6368%.

TECHNICALS:

US 10YR FUTURE TECHS: (U0) Bearish Following Range Breakout

*RES 4: 139-25   Contract high, Mar 25

*RES 3: 139-13+/16  High May 15 / High Apr 21 and key resistance

*RES 2: 138-12   High Jun 4

*RES 1: 137-30+ Low Jun 6 and former range base 

*PRICE: 137-13+ @ 15:56 BST, Jun 08

*SUP 1: 136-22   Low Jun 5

*SUP 2: 136-20   Low Mar 25

*SUP 3: 136-10+2.000 projection of Apr 21 - May 6 swing from May 15 high

*SUP 4: 135-31  2.236 projection of Apr 21 - May 6 swing from May 15 high

US 10yr futures traded to new multi-month lows Friday. The break below support

at 137-30+ confirmed an end to the recent bull trend and also confirmed a range

breakout, raising the risk of a longer-lasting downtrend from recent highs. This

opens 136-20, Mar 25 low and, further out, the COVID crisis lows of 133-21.

Initial resistance is seen at 137-30, a break above this level would see price

move back into the recent range.

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: 99.700 @ 15:58 BST Jun 08

*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) Stable at Lower Levels

*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: 98.8675 @ 16:07 BST, Jun 08

*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 following the firm US jobs report Friday. 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 @ 16:07 BST, Jun 08

*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: Firmer for the most part, yld curves scaling back a fraction

of last week's steepening with the long end outperforming (even as equities

continue to climb, ESM0 +36.0 late). Update: 

* 3M10Y  -2.590, 71.456 (L: 69.79 / H: 77.315)

* 2Y10Y  -3.032, 65.072 (L: 64.168 / H: 71.019)

* 2Y30Y  -3.031, 142.12 (L: 141.852 / H: 150.309)

* 5Y30Y  -0.080, 119.864 (L: 119.685 / H: 124.274); Current futures levels:

* Sep 2-Yr futures down 0.5/32 at 110-7.875 (L: 110-07.75 / H: 110-09)

* Sep 5-Yr futures up 4.25/32 at 124-28 (L: 124-22.75 / H: 124-31.5)

* Sep 10-Yr futures up 8/32 at 137-11 (L: 136-30 / H: 137-15.5)

* Sep 30-Yr futures up 16/32 at 173-0 (L: 171-23 / H: 173-13)

* Sep Ultra futures up 1-7/32 at 208-17 (L: 205-16 / H: 208-31)

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

DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC

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

08 Jun  1130ET   $63B    13W Bill     (912796TJ8)   0.175%

08 Jun  1130ET   $54B    26W Bill     (9127963J6)   0.180%

08 Jun  1300ET   $44B    3Y Note      (912828ZU7)   0.280%

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 (9127963D9)

11 Jun  1130ET   TBA     8W Bill      09 Jun Annc (9127963N7)

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

US EURODLR FUTURES CLOSE: Trading weaker in Whites to first half of Reds, firmer

out the strip. After opening with a modest bid (3M LIBOR set -0.0031 to

0.3098%), lead quarterly EDM0 came under pressure from noon on, trading on lows

after the bell. Current White pack levels:

* Jun 20 -0.012 at 99.675

* Sep 20 -0.025 at 99.675

* Dec 20 -0.010 at 99.650

* Mar 21 -0.010 at 99.725

* Red Pack (Jun 21-Mar 22) -0.005 to +0.015

* Green Pack (Jun 22-Mar 23) +0.025 to +0.045

* Blue Pack (Jun 23-Mar 24) +0.055 to +0.060

* Gold Pack (Jun 24-Mar 25) +0.055 to +0.060

US DOLLAR LIBOR: Latest settles

* O/N -0.0017 at 0.0608% (+0.0010 last wk)

* 1 Month -0.0035 to 0.1766% (-0.0024 last wk)

* 3 Month -0.0031 to 0.3098% (-0.0309 last wk)

* 6 Month +0.0021 to 0.4833% (-0.0285 last wk)

* 1 Year -0.0041 to 0.6299% (-0.0396 last wk)

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

* Daily Effective Fed Funds Rate: 0.07% (highest since late March) volume: $57B

* Daily Overnight Bank Funding Rate: 0.06%, volume: $153B

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

* Secured Overnight Financing Rate (SOFR): 0.07%, $1.021T

* Broad General Collateral Rate (BGCR): 0.06%, $440B

* Tri-Party General Collateral Rate (TGCR): 0.06%, $418B

FED: Recap NY Fed operational purchase for Monday

* Tsy 7Y-20Y, $2.000B accepted of $7.493B submitted

-

NY Fed operational purchases schedule for Tuesday

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

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

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

09-Jun 0600 May NFIB Small Business Index (90.9, 92.0)

09-Jun 0855 06-Jun Redbook retail sales m/m 

09-Jun 1000 Apr wholesale inventories (0.4%, 0.4%)

09-Jun 1000 Apr wholesale sales (-5.2%, --)

09-Jun 1000 Apr JOLTS quits rate (1.8%, --)

09-Jun 1000 Apr JOLTS job openings level (6191k, --) 

09-Jun 1000 Jun IBD/TIPP Optimism Index

09-Jun 1130 US Tsy $60B 42D Bill auction (912796WX3)

09-Jun 1130 US Tsy $40B 119D Bill auction (912796TN9)

09-Jun 1300 US Tsy $29B 10Y Note R/O auction (912828ZQ6) 

PIPELINE: $12.15B to price Monday

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

06/08 $3B *GE Capital $1.5B each 10Y +290, 30Y +270

06/08 $2.6B #Equinix $500M 5Y +85, $500M 7Y +115, $1.1B 10Y +130, $00M 30Y +145

06/08 $1B #Phillips 66 WNG 5Y +85, 10Y +135

06/08 $1B #Lloyds 3NC2 +110

06/08 $750M *EBay $300M 5Y Tap +70, $450M 10Y tap +145

06/08 $750M #Plains All American 10Y +295

06/08 $750M #Magna Int 10Y +162.5

06/08 $700M #Northern States Power WNG 31Y +105

06/08 $600M *Roper WNG 10Y +125

06/08 $500M #Kepco 5Y Green bond, +75

06/08 $500M #Duke Energy Fl WNG 10Y +90

Eurodollar/Tsy options

EURODLR OPTIONS:

* appr 10,000 Green Aug 96/97/98 1x2.5x1 call flys, helping push Green Aug 97

call volume over 53k after outright sales earlier at 2.5

* -4,000 Red Jun'21 100 calls, 5.0

* Ongoing, another 10,000 Green Aug 97 calls, 2.5 last

* 5,500 Blue Sep 85/90 put spds,

* 4,500 Sep/short Sep 96 put spds

* +12,300 Green Jul/Green Aug 97 call strip on a 1x1 ratio, 3.5 total

* +6,600 Green Jul/Green Aug 97 call strip on a 2x1 ratio, 4.5 total

* 5,000 Green Sep 93/95/96 put trees earlier

Overnight trade

* +4,000 Green Jun 95/96 2x1 put spds, 1

* -4,750 Green Dec 95/97/100 call fly, 7.5

* 3,000 Blue Jun 95 calls, 1.5 last

* 2,000 Aug 97/98 1x2 call spds

TSY OPTIONS:

* 47,000 TYN 130 puts, 1/64, opener w/ OI only 2,521 coming into the session

* 2,500 TYU 138/140 1x2 call spds, 18/64

* 4,300 TYQ 141 calls, 6/64

* 5,000 TYQ 136.5/137.5 call over risk reversals earlier

* -1,500 TYU 137 straddles 2-11/64 vs. 137-05

* TYQ 135/136.5/138 put flys trading 22/64

* Update +11,000 FVN 125.25/125.75 call spds, 4.5 to 5/64

* +5,000 FVN 125.25/125.75 call spds, 4.5

Overnight trade includes

* 2,500 TYQ 134/135.5 call spds

* +6,500 TYN 135 puts, 9/64

* -3,800 TYN 136.5/138 put spds, 48/64

* +4,700 FVQ 124.5 puts, 19- 19.5/64

Early overnight Block

* -5,000 TYQ 136.5/138 put spds, 45/64 vs.

* +5,000 TYQ 140.5/141 1x2 call strip, 21/64 vs.

* 2,500 TYU 136-06

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

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