US TSYS: NFP/AHE MISS, FED SPEAKBACK/LET INFLATION RUN

US TSY SUMMARY: Late bounce in long end, curves re-flatten on thin volume. Rates

had rotated in lower range after midday Fri, well off early session highs

following +164k jobs miss (vs. +185k est), AHE little soft at 0.1% (vs. 0.2%

est). Rates held narrow/higher range post data, showing little reaction to data,

early flow 2-way, implied vols hammered on the range trade.

- Rates slipped lower as US% gained strength midmorning, DXY climbed to 92.900,

apparent trigger to better sellers in 10s-30s, curve flattener unwinds by fast$

in 2s and 5s vs. 30s. DXY gradually pared gains through midday while strong

gains in equities took over (emini +25.0, 2656.75). Exhibiting decent positive

correlation to equities this week, West Texas crude also surged (WTI +1.33,

69.76 vs. 69.97H).

- Strong buying in Jun 10Y futures around 119-28.5 to -29.5 post data, reversed

by midmorning w/fast- and real$ selling down to 119-18. NY Fed Pres Dudley

interview on Bbg sees "healthy" employ gains for Apr, expects investment

acceleration to be modest, see LIBOR end in 2021.

- Tsy ylds: 2Y 2.497%, 3Y 2.628%, 5Y 2.780%, 7Y 2.895%, 10Y 2.944%, 30Y 3.114%

US TSY FUTURES CLOSE: Treasury futures trading steady/mixed, long end rebounded

late. Curves re-flattening Curve update:

* 2s10s -2.245, 44.312 (46.348H/44.125L);

* 2s30s -2.728, 61.379 (64.077H/61.297L);

* 5s30s -0.739, 33.186 (35.119H/32.879L);

Current futures levels:

* Jun Ultra bonds up 07/32 at 156-23 (156-01L/157-15H)

* Jun 30-yr Bond futures up 03/32 at 143-21 (143-05L/144-08H)

* Jun 10-yr futures up 0.50/32 at 119-22.5 (119-18L/119-31.5H)

* Jun 5-yr futures down 0.25/32 at 113-16.75 (113-14.75L/113-23.25H)

* Jun 2-yr futures down 1.25/32 at 106-0.25 (106-00L/106-03H)

US EURODOLLAR FUTURES CLOSE: Trade steady/mixed by the bell, Blues and Golds out

performing the short end. Current White pack (Jun'18-Mar'19):

* Jun'18 -0.020 at 97.610

* Sep'18 -0.020 at 97.490

* Dec'18 -0.020 at 97.340

* Jun'19 -0.020 at 97.235

* Red pack (Jun'19-Mar'20) -0.020-0.015

* Green pack (Jun'20-Mar'21) -0.010-Even

* Blue pack (Jun'21-Mar'21) +0.005-0.010

* Gold pack (Jun'22-Mar'22) +0.005-0.010

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0012 to 1.7056% (+0.0012/wk) 

* 1 Month +0.0050 to 1.9277% (+0.0207/wk)

* 3 Month +0.0059 to 2.3690% (+0.0110/wk)

* 6 Month +0.0054 to 2.5202 (+0.0007/wk)

* 1 Year +0.0039 to 2.7766% (-0.0038/wk)

REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): down to 1.74% from 1.75% prior, $759B

* Broad General Collateral Rate (BGCR): steady at 1.70%, $342B

* Tri-Party General Collateral Rate (TGCR): steady at 1.70%, $329B

US SWAPS: Spds back to mostly steady by the bell, near middle decent range after

kicking off day wider/spd curve flatter. Light two-way in the second half

included more steepeners (3s9s) and switches in light size in 3s and 5s. Spds

reversed widening earlier following Tsys reversal off early session highs as US$

gained. Consistent flow on lighter volume includes varied spd steepeners: 2s5s,

4s6s and 5s8s, switches in 3s, 5s, 9s and 10s, receivers in 3s. Coming into the

session, the short end leads widening across curve, very light flow with appr

$100k DV01 2s5s flattener, payer in 5s at 2.90109% most recently. Latest spd

levels:

* 2Y  +0.00/26.75

* 5Y  +0.12/12.62

* 10Y +0.00/3.25

* 30Y +0.00/-11.50

PIPELINE: Near $6B priced Thursday, No new supply for Friday

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

Potential upcoming issuance:

* $Benchmark, United Technologies

* $Benchmark, Coca-Cola (KO)

* $Benchmark Qualcomm, history of large annual issuance

- 

Near $6B priced Thursday

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 $800M *Republic Services 10Y +118

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

05/03 $400M *S&P Global 30Y +145

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

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

- May 06 Fed VC Supervision Gov Quarles, 23rd Ann Fncl Mkts Conf/Atlanta Fed,

Florida, 1900ET

- May 07 Apr ETI (107.72, --) 1000ET

- May 07 Richmond Fed Pres Barkin, George Mason Univ, Virginia, 1400ET 

- May 07 Mar consumer credit ($10.6B, --) 1500ET

- May 07 Apr Treasury Allotments (final) 1500ET

- May 07 Dallas Fed Pres Kaplan, Chi Fed Pres Evans discussion "Learning About

an ML-Driven Economy" 23rd Ann Fncl Mkts Conf/Atlanta Fed, Florida, 1530ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +20,000 short Sep 73/76 call spds, 2.0

Late vol buyers include

* +12,500 short Jun 71 straddles, 11.0 vs. 11.5 settle

* +2,000 Green May 70 straddles, 6.5

* +1,000 Green Jul 70 straddles, 20.0

* +1,00 Green Aug 70 straddles, 24.5

* 3,000 Aug 73/75 2x1 put sprd at 3.5

UPDATE: Total 9,500 Sep 75/76 call sprd at 3.75

* 8,000 Jun 75/Jul 72 1x2 put sprd at 1

* 5,500 Jul 75/76 call sprd at 3 vs 9749.5/0.20%

* 3,000 Jun 75/78 Strangle at 0.75

UPDATE: Total 8,600 Mar 58/67 4x1 put sprd at 1

* 10,000 Jul 73/75 put sprd at 4.25

* 10,000 Sep 73/75 put sprd at 5.5

* 3,600 Mar 58/67 4x1 put sprd at 1

* 4,500 Sep 72/73 2x1 put sprd at 1.25

* 4,000 Jul 75/76 call sprd at 3

* 4,000 Sep 75/76 call sprd at 3.75

* 4,950 Short Jun 72 call at 2.5 vs 9715.5/0.24%

* 2,475 Short Aug 70/71 Strangle at 13.5 vs 9709/0.12%

* 5,000 Jun 75/76 put sprd 1.5 over May 76 put

* 5,000 Short Jun 70/71/72 put tree at 7

* 32,000 Short May 71 puts at 1.0, on screen

* 10,000 Red Dec 65 puts at 5.5, on screen

* 4,000 Green Jun 67/68 put sprd at 1.5 vs 9703/0.13%

* 3,100 Green Jun 66 put at CAB vs 9703/0.05%

* 2,500 Short Dec 72/77 call sprd at 7

* 2,500 Blue Dec 71/75 call sprd at 9.5

* 3,000 May 75 put/May 77 call iron fly at 3

* 3,000 May 76 put at 2

UPDATE: Total 11,000 Green Sep 62/67 put sprd at 5 vs 9699/0.22%

UPDATE: Total 8,500 Blue Jun/Blue Jul 70 Straddle at 5

* 14,000 Short Sep/Green Sep 73 call at 0 vs 9709/0.10%

* 3,000 Sep 76/77 1x2 call sprd at 0.5

* 2,000 Dec 75 call/Green Dec 72 call at 4.5

UPDATE: Total 15,000 Sep 73/76 put sprd at 13.5, (adding to 10k BLOCK)

Block, 08287:28ET,

* +10,000 Sep 73/76 put spds, 13.5 net

Block, 0817:45ET,

* +10,000 Mar 80 calls, 1.0, still offered

Blocks, 0757:30-0757:57ET,

* total 22,000 Green Jun 67/70 put spds, 6.5 vs. 97.00

* total 22,000 Green Sep 62/67 put spds, 5.0 vs. 97.00

Modest overnight trade includes

* 4,250 Jun 77/78 1x2 call spds

* 2,000 Sep 76/77 1x2 call spds

Tsy Options, Pit/Screen:

* 3,255 FVM 114.5 puts vs.

* 4,069 FVU 113.75 puts, 12/64 net ratio spd

* 2,000 TYM 120 calls, 14/64 vs. 119-20/0.34%

* 2,100 FVN 112.75/113.25 2x1 put spds, 3.5/64

* 18,000+ TYN 117/118 put spds, 7/64 on screen

* 2,200 TYM 119/120 2x1 put spds, 15/64 vs. 119-27

* 1,800 USN 140/138 put spds, 15/64 on screen

* 1,000 TYM 118.5/119.5 put strip, 15/64

* 1,700 FVM 114.5/FVU 114 put spds, 4/64

* 2,000 FVU 113.5 calls, 29.5/64 vs. 113-10

* 1,000 TYU 116.5/119.5 3x1 put spds, 32/64

* 2,000 TYU 118/120 strangles, 50/64 pre-dataPre-data flow

* 2,000 TYM 120.25/120.5 call spds, 4/64 vs. 119-24.5/0.10%

Ongoing 10Y call trade

* total +39,200 TYM 120.25 calls, 12- to 13/64

More option trade in short end now

* over 11,600 105.75/105.88 put spds trade on screen at 1/64

Decent 10Y call buying on screen earlier

* over +32,000 TYM 120.25 calls, 12/64

* just over 11,200 TYM 120 calls, mostly 17- to 19/64

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

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