US TSYS: MILD RATE BID AHEAD FRI'S EMPLOY DATA, FED SPEAKERS

US TSY SUMMARY: Tsys mildly higher, near mid-range on moderate volume (TYM appr

1.3M) on quiet trade following Wed's no-go FOMC. Accts sidelined ahead Fri's

April NFP (185k est) and AHE (0.2% est) as well as Fed speakers coming out of

blackout (4 Fed pres' Fri as well VC Supervision Quarles). 

- US$ index mildly lower (DXY -.156, 92.357; US$/Yen 109.19); equities well off

steep losses earlier (emini -.75, 2626.75 vs. 2591.25L); gold firmer (XAU +9.16,

1314.10); West Texas crude little firmer (WTI +0.56,

68.49). Sources note strong correlation between WTI and equities on day.

- Limited react to wkly claims (211k), trade def -$49.0B, prelim nonfarm prod

+0.7%, ISM 56.8 and factory orders +1.6%, again waiting on Fri's headline data

and Fed speaker docket for more direction

- Heavy Eurodlr option volume, >125k EOM 71p sales, ongoing closer, Blue Jun

call spd sales vs buying puts. 

- Swaps, steady to marginally wider, light volume includes payer 3s (2.8375%),

two-way switches in 5s.

- Tsy ylds: 2Y 2.480%, 3Y 2.621%, 5Y 2.782%, 7Y 2.897%, 10Y 2.946%, 30Y 3.121%

US TSY FUTURES CLOSE: Higher, late sideways trade, well off mid-day highs. Curve

update:

* 2s10s -1.456, 46.152 (48.769H/45.502L);

* 2s30s -1.796, 63.784 (66.681H/62.868L);

* 5s30s -0.958, 33.921 (35.292H/33.427L);

Current futures levels:

* Jun Ultra bonds up 09/32 at 156-13 (155-17L/157-02H)

* Jun 30-yr Bond futures up 07/32 at 143-15 (142-29L/143-30H)

* Jun 10-yr futures up 04/32 at 119-20.5 (119-14L/119-26H)

* Jun 5-yr futures up 02.75/32 at 113-16.75 (113-14L/113-20.25H)

* Jun 2-yr futures up 01/32 at 106-01.5 (106-0.25L/106-02.5H) 

US EURODOLLAR FUTURES CLOSE: Mildly higher across the strip by the bell, Greens

outperforming. Current White pack (Jun'18-Mar'19):

* Jun'18 +0.005 at 97.630

* Sep'18 +0.005 at 97.505

* Dec'18 +0.015 at 97.360

* Jun'19 +0.020 at 97.255

* Red pack (Jun'19-Mar'20) +0.025-0.030

* Green pack (Jun'20-Mar'21) +0.030-0.025

* Blue pack (Jun'21-Mar'21) +0.025-0.015

* Gold pack (Jun'22-Mar'22) +0.015-0.010

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0000 to 1.7044% (+0.0000/wk) 

* 1 Month +0.0056 to 1.9227% (+0.0157/wk)

* 3 Month +0.0002 to 2.3631% (+0.0051/wk)

* 6 Month +0.0021 to 2.5148 (-0.0047/wk)

* 1 Year -0.0042 to 2.7727% (-0.0077/wk)

REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): down to 1.75% from 1.76% prior, $753B

* Broad General Collateral Rate (BGCR): steady at 1.70%, $350B

* Tri-Party General Collateral Rate (TGCR): steady at 1.70%, $334B

US SWAPS: Spds running wider for the most part, short end off wides late amid

light two-way flow on day: sporadic switch action in 2s and 5s earlier, 2s and

5s vs. 10s spd curve steepener , deal-tied hedging in the mix. Latest spd

levels:

* 2Y  -0.12/26.56

* 5Y  +0.19/12.56

* 10Y +0.19/3.31

* 30Y +0.44/-11.12

PIPELINE: Transcanada Pipelines, Hershey and Florida Power & Light launched

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

05/03 $550M *EBRD 4Y FRN 3ML +1a, launched late Wednesday

05/03 $2.5B #Transcanada Pipelines $1B 10Y +135, $500M 20Y +165, $1B 30Y +180

05/03 $1.2B #Hershey $350M 2Y +45, $ 350M 3Y +50, $500M 5Y +60

05/03 $500M #Florida Power & Light WNG 30Y +100

05/03 $400M S&P Global 30Y +155a

05/03 $Benchmark Republic Services 10Y +130a

Potential issuance this week:

* $Benchmark, United Technologies

* $Benchmark, Coca-Cola (KO)

* $Benchmark Qualcomm, history of large annual issuance

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

- May 04 Apr nonfarm payrolls (103k, 185k), private payrolls (102k, 193k) 0830ET

- May 04 Apr unemployment rate (4.1%, 4.0%), avg hourly earnings (0.3%, 0.2%)

0830ET

- May 04 Apr average workweek, all workers (34.5hrs, 34.5hrs) 0830ET

- May 04 Q2 St. Louis Fed Real GDP Nowcast 1100ET

- May 04 Q2 NY Fed GDP Nowcast (3.2%, --) 1115ET

- May 04 NY Fed pres Dudley, "Financial Tumult of Our Times and Challenges

Ahead", Q&A, 1245ET

- May 04 Apr Treasury STRIPS Holdings 1500ET

- May 04 SF Fed pres Williams, Currencies, Capital, and Cnt Bnk Balances: A

Policy Conf, Ca, 1500ET

- May 04 VC Supervision Quarles, at Policy Conf, Ca, 1730ET

- May 04 SOMA Dep Mngr SOMA Logan at Policy Conf, Ca, 1845ET

- May 04 Dallas Fed pres Kaplan, Atl Fed pres Bostic, KC Fed pres George at

Policy conf, Ca, 2000ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 4,000 Short Sep/Green Sep 73 call sprd at 0 vs 9708/0.10%

UPDATE: Total 6,700 Short Jul 70/75 call sprd at 12.5 vs 9708/0.60%

UPDATE: Total 6,700 Green Jul 68/73 call sprd at 16 vs 9798/0.60%

* 10,000 Green Mar 65/75 Strangle at 15

* 5,000 Mar 68 put at 2 vs 9722/0.10%

* 8,250 Green Mar 65/75 strangles, 15.0

Additional recent vol trades

* +2,000 short Mar 70 straddles, 41.5

* +2,000 short May/short Jun 71 straddle spds, 6.0

* +4,000 Jun 76 straddles, 7.0

Block, 1137:07ET

* 10,000 Green Dec'20, 96.99, post-time bid

* 20,500 Blue Jun 70/72 call sprd 5 over Blue Jun 66 put vs 9697.5/0.40%

* 4,000 Jun 75 put at 0.5 vs 9761.5/0/10%

* 3,900 Jun 76 Straddle at 7

* 3,000 Jun 76/80 put over risk reversal at 3 vs 9763/0.50%

UPDATE: Total 24,000 Mar 71/75 put sprd at 22 vs 9726/0.40%

* 20,000 Blue Jun 70/72 call sprd 4.5 over Blue Jun 66 put vs 9693/0.10%

* 6,000 Dec 61/65 2x1 put sprd at 1

UPDATE: Total 7,000 Green Sep 66/67/68 put fly at 1.5 vs 9698/0.05%

* 15,000 Blue Jun 70/72 call sprd 4 over Blue Jun 66 put vs 9693/0.10%

* 4,000 Blue May 67/68 put sprd at 1

* 4,000 Jun 77/78 1x2 call sprd at CAB

* 2,500 Green Jun 71/72 2x3 call sprd at 2.5

* 5,000 Short Jun 72/73 1x2 call sprd at 1 vs 9718.5/0.10%

* 13,000 Blue Jun 70/72 call sprd 5 over Blue Jun 66 put

* 5,000 Green Sep 66/67/68 put fly at 1.5 vs 9698/0.05%

* 4,000 Mar 71/75 put sprd at 22 vs 9726/0.40%

* 3,500 Short Jun 70 put at 1 vs 9715/0.10%

Blocks,

* 25,000 short Jun 71 puts, 4.0 vs. 97.16/0.42% at 0748:51ET, 121,750 total

volume w/screen sales

* -10,000 Mar 71/75 put spds, 22.0 vs. 97.255/0.20% at 0750:50ET

* -10,000 Mar 73/75 put spds, 9.0 vs. 97.255/0.20% at 0750:56

Ongoing midcurve put sales/closer

* total 89,500 (25k Blocked, screen balance) short Jun 71 puts at 4.0-4.5. This

after volume of 165k Wed, open interest declines 71.7k.

Additional screen trade this morning includes

* 9,750 short Dec 62 puts, 1.0

* 4,000 short Dec 73/76 call spds

* 3,750 short May 71 puts

* 8,750 short Jun70 puts, 1.0

Blocks, 0731:10ET

* 20,000 Dec 70/72 2x1put spds, 4.5

More short Jun 71 puts at 4.0

* total 25,000 short Jun 71 puts, 4.0 vs. 97.16/0.42%, adds to 7.5k on screen

Tsy options, Pit/screen:

* 5,000 FVN 113.5 calls, 18/64 vs. 113-10/0.40%

* 5,000 wk3 TY 120.5 calls, 6/64 on screen

* 4,000 TYM 118.5 puts, 4/64 vs.

* 3,298 TYM 117 puts, 1/64

* total +18,000 pit/screen TYM 122 calls, 2/64

* -4,000 TYM 120 calls, 17/64

* -2,000 TYM 119 puts, 10/64

* -1,100 FVM 113.75 calls, 10.5/64

Earlier flow includes

* 2,500 pit/screen TUN 106.2/106.3 call spds, 1.5/64 vs. 106-04.25/0.05%

* 1,650 TYM 118.5 puts, 5/64 vs. 119-22

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

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