US TSYS: RATES AND RISK ASSETS REBOUND AFTER STRONG APRIL NFP

US TSY SUMMARY: Rates firmer after the bell. Tsys extended session highs as

equities opened higher, paring gains late as the latter continued to grind

higher. Yld curves mixed. 

Policy transmission, directional cues from data just not making much sense as

rates and equities reverse Thu's

weakness. Sources noted Post-data selling rather muted for stronger than

expected April employ data (+263k; up rvsn for Feb to 56k) cash offers stacked

above, trading tight wedge. Fed fund futures trading volume alive and well (appr

50k FFK, half blocked, traded at 97.60).

- The 2-Yr yield is down 1bps at 2.335%, 5-Yr is down 1.7bps at 2.3284%, 10-Yr

is down 1.3bps at 2.5286%, and 30-Yr is down 0.5bps at 2.9249%.

US TSY FUTURES CLOSE: Firmer, off midmorning highs to top half of range, decent

volume for an otherwise quiet employ release Friday (TYM>1.3M), yield curves

mixed, 3M10Y giving back fraction of steepening since early Wednesday, update:

* 3M10Y  -1.222, 10.163 (L: 9.053 / H: 14.685)

* 2Y10Y  -0.493, 18.958 (L: 18.777 / H: 20.654)

* 2Y30Y  +0.385, 58.657 (L: 56.669 / H: 60.341)

* 5Y30Y  +1.269, 59.555 (L: 56.636 / H: 60.747)

Current futures levels:

* Jun 2-Yr futures (TU) up 0.5/32  at 106-11.375 (L: 106-08.625 / H: 106-13)

* Jun 5-Yr futures (FV) up 3/32  at 115-11.5 (L: 115-03.5 / H: 115-15)

* Jun 10-Yr futures (TY) up 6/32  at 123-11.5 (L: 122-30 / H: 123-15)

* Jun 30-Yr futures (US) up 13/32  at 147-11 (L: 146-21 / H: 147-21)

* Jun Ultra futures (WN) up 17/32  at 164-23 (L: 163-29 / H: 165-05)

US EURODLR FUTURES CLOSE: Mildly higher across the strip, upper half narrow

range, disappointingly limited volume for a employment data release. Current

White pack (Jun 19-Mar 20):

* Jun 19 steady00 at 97.440

* Sep 19 +0.005 at 97.485

* Dec 19 +0.010 at 97.490

* Mar 20 +0.015 at 97.590

* Red Pack (Jun 20-Mar 21) +0.010 to +0.015

* Green Pack (Jun 21-Mar 22) +0.015 to +0.025

* Blue Pack (Jun 22-Mar 23) +0.025 to +0.030

* Gold Pack (Sep 22-Jun 23) +0.030 to +0.030

US DOLLAR LIBOR: Latest settles

* O/N +0.0047 at 2.3778% (-0.0222/wk)

* 1 Month -0.0005 to 2.4666% (-0.0165/wk)

* 3 Month -0.0053 to 2.5598% (-0.0229/wk)

* 6 Month -0.0212 to 2.6173% (+0.0016/wk)

* 1 Year +0.0087 at 2.7455% (+0.0280/wk)

STIR: Federal Reserve Bank of New York posts yesterday's EFFR:

* Daily Effective Fed Funds Rate declines to 2.41% from 2.45% last 4 days,

volume: $69B

* Daily Overnight Bank Funding Rate: 2.40%, volume: $170B

US TSYS: REPO REFERENCE RATES: (rate, volume) 

* Secured Overnight Financing Rate (SOFR): 2.50%, $1.053T

* Broad General Collateral Rate (BGCR): 2.46%, $485B

* Tri-Party General Collateral Rate (TGCR): 2.46%, $460B

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

06-May 1000 Apr ETI (110.98, --)

06-May 1130 US TSY $39B 13W bill auction (912796SC4)

06-May 1130 US TSY $36B 26W bill auction (912796RM3)

06-May 1500 Apr Treasury STRIPS Holdings

US SWAPS: Continued spd curve flattening shifts to long end lead, limited late

week flow. Latest spd levels:

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

Fri 3:00    -0.12/10.88   +0.06/4.75     -0.38/-1.44   -1.38/-23.69

Fri Open    -0.19/10.81   -0.31/4.38     +0.06/-1.00   -0.06/-23.31

Thu 3:00    -1.19/11.00   -0.50/4.75     -0.81/-1.00   -0.38/-22.12

Thursday recap: Spd curve continues to steepen, long end lead Wed, short end

lead Thu as incoming supply weighed on front to intermediates.

PIPELINE: Limited issuance Friday, but $21.6B/wk beat estimates

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

05/03 $500M #PACCAR Fncl WNG 3Y +37

-

$7.25B priced Thu, $21.6B/wk

05/02 $2B *Starbucks Corp $1B 10Y +103, $1B 30Y +153

05/02 $1.25B *RBS 11NC10 +190

05/02 $1.5B *Saudi Telecom 10Y Sukuk +135

05/02 $1B *Florida Power $ Light 3NC6 +40

05/02 $1B *ENI 10Y +173

05/02 $500M *NWB WNG 1.5Y L+1

Potential issuers this month:

05/?  $1.25B MGM China 5NC2, 7NC3

05/?  Bristol-Myers

05/?  IBM

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* -3,000 Sep 75 calls, 5.5 vs. 97.475/0.10%

* -3,000 Dec 77/Mar 80 call strip, 10.5

* Update, total +20,000 Mar 76/80/83 call flys w/Mar 77/81/83 call fly strip,

11.75 total

* +5,000 Mar 76/80/83 call flys w/Mar 77/81/83 call fly strip, 117.75 total

volumes have really dropped off in the second half

* 9,000 Red Jun 77/81/83 broken call flys, 5.5

* +10,000 Sep 73 puts, 1.25 earlier as did:

* +10,000 Green May 78 calls, 1.0

* -5,000 short May 76 puts, 1.0

* 15,000 Mar 78/81/82 broken call flys, 3.0

* +6,500 short Sep/Green Sep 78 call spds, conditional curve steepener for 1.0

-- looking for more offers. Small rebound in implied vol will be short lived if

underlying hangs out here for long

* +10,000 Blue Jun 80 calls, 1.0

* 7,500 Dec 75 straddles 16.0-16.5 over the 76 calls

* 4,000 Dec 73/75/76 2x3x1 put flys

Tsy options, Pit/screen:

CME getting a little sloppy posting Blocks today, this just showed up -- but

Blocked well before the 25k FFK post

* 22,500 wk2 TY 122.75 puts, 4/64

* 15,000 wk2 TY 123.25 puts, 13/64, 14/64 net on the 3x2 spd

* +8,000 wk2 TY 122.5 puts, 9

* 2,000 FVU 114.25/115.25 3x2 put spds

* +6,800 USM 144/145.5 put spds, 11/64

Pre-data flow updates

* >35,000 wk1 TY 123.25/123.5 call spds, 4/64

* >+12,000 wk1 123 puts, 5- to 3/64

* +3,000 wk2 122.75 puts, 8- to 9/64

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

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