US TSYS: "SHOCKINGLY WEAK" NFP, +20K FOR FEBRUARY

     MNI US Closing FI Analysis: "Shockingly Weak" NFP, +20k For February

US TSY SUMMARY: Tsys trading higher after the bell, upper half of range but well

off initial post-data high -- disappointing trade given such a large data miss

(Feb NFP +20k vs. +183k est). US$ index pared good portion of Thu's move (DXY

-.362, 97.305); US equities weaker following global equity decline O/N (SPX

-14.0, 2741.0).

- While everyone expected a lower employ number after last two blow-outs to the

upside, nobody anticipated the "shockingly weak" downside miss for Feb.

Algos/program accts jumped on on offers post release, but initial knee-jerk

rally short lived, Tsys chopped mildly lower midmorning, modest two-way flow in

intermediates to long end. Underlying bid returned after BBG headline 'Barnier:

no progress in Brexit talks', Tsys inched higher into quiet second half trade.

- US Fed Chair Powell on MonPol Normalization & Review event late Friday --

ahead of media blackout. That said, Fed Chair Powell to appear on 60 Minutes

Sunday w/ former Fed Chairman Ben Bernanke & Chair Janet Yellen. Tsy cash/ylds:

2Y 100-02.38 (2.459%), 5Y 99-24.75 (2.422%), 10Y 100-00 (2.623%), 30Y 99-27

(3.007%).

US TSY FUTURES CLOSE: Higher across the board after the bell -- off post data

highs. Yld curves mildly flatter. Update:

* 2s10s -0.377, 16.010 (15.781L/17.915H);

* 2s30s -0.594, 54.490 (54.410L/57.250H);

* 5s30s +0.084, 58.343 (58.067L/60.950H);

Current futures levels:

* Jun Ultra bonds up 16/32 at 162-01 (161-00L/162-03H)

* Jun 30-yr Bond futures up 6/32 at 145-31 (145-14L/146-06H)

* Jun 10-yr futures up 3.5/32 at 122-24.5 (122-17L/122-30.5H)

* Jun 5-yr futures up 1.75/32 at 114-30 (114-26L/115-02.25H)

* Jun 2-yr futures up .75/32 at 106-05.88 (106-04.5L/106-07.38H)

US EURODLR FUTURES CLOSE: Modestly higher across the strip, middle narrow range.

Current White pack (Mar'19-Dec'19):

* Mar'19 +0.002 at 97.400

* Jun'19 +0.000 at 97.390

* Sep'19 +0.000 at 97.390

* Dec'19 +0.005 at 97.385

* Red pack (Mar'19-Dec'20) +0.005

* Green pack (Mar'20-Dec'21) +0.005-0.010

* Blue pack (Mar'21-Dec'21) +0.010-0.015

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

US DOLLAR LIBOR: Latest settles

* O/N 2.3868%

* 1 Month -0.0013 to 2.4915% (+0.0096/wk)

* 3 Month -0.0040 to 2.5966% (-0.0019/wk)

* 6 Month -0.0038 to 2.6790% (-0.0030/wk)

* 1 Year 2.8636%

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

* Secured Overnight Financing Rate (SOFR): 2.38%, $972B

* Broad General Collateral Rate (BGCR): 2.37%, $470B

* Tri-Party General Collateral Rate (TGCR): 2.37%, $456B

US SWAPS: Spds reversed narrowing earlier, holding wider across the curve, front

end leading move into midday. Rather decent flow over last couple hours w/ much

better paying in 5s (near $1B) from 2.5075-2.5865%, payers in 3s, payers in 9s

at 2.6375%, modest receiver flow in 7s and 10s. Mixed fly crosses include 2s4s5s

and 3s4s10s -- both paying the belly, 2s3s7 receiver fly. Latest spd levels

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

Fri 3:00    +0.12/12.00   +0.12/7.62     +0.00/1.88    +0.19/-19.81

1:30        +0.62/12.50   +0.31/7.81     +0.00/1.88    -0.06/-20.06

11:45       +0.75/12.62   +0.38/7.88     +0.12/2.00    +0.00/-20.00

10:00       +0.50/12.38   +0.38/7.88     +0.12/2.00    -0.06/-20.06

Fri Open    -0.50/11.38   +0.00/7.50     -0.31/1.56    -0.25/-20.25

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

11-Mar 0830 Jan retail sales (-1.2%, -0.1%)

11-Mar 0830 Jan retail sales ex. motor vehicle (-1.8%, +0.2%)

11-Mar 0830 Jan retail sales ex. mtr veh, gas (-1.4%, +0.6%)

11-Mar 1000 Dec business inventories (-0.1%, +0.6%)

11-Mar 1000 Feb ETI (109.6, --)

11-Mar 1000 Feb BLS state payrolls

11-Mar 1100 Mar NY Fed expectations survey

11-Mar 1130 US TSY $48B 13W bill auction (912796RU5)

11-Mar 1130 US TSY $39B 26W bill auction (912796RA9)

11-Mar 1300 US TSY $38B 3Y note auction (9128286H8) 

PIPELINE: $46.92B on week, Wed's $12B Qatar 3-part lead

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

No new issuance Friday

-

$1.5B priced Thursday, Citibank SOFR

03/07 $500M *Quest Diagnostics WNG 10Y +160

03/07 $1B *Citibank 2NC1 FRN SOFR+60

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* 5,250 short Jun 73 straddles, 24.5 vs. 97.515/0.40% vs.

* 10,500 Blue Mar 76 calls, 2.5 vs. 97.60/.40%

* +10,000 Red Jun 85/87 call spds, 1.25

* -4,000 Jun 75 straddles, 22.5

* -6,000 Dec 72/73 strangles 12.0 over 3,000 Dec 71 puts

Another Block follows up the Jun 71/72 put spds

* +10,000 Jun 71 puts, cab at 1048:56ET

Block, 1039-1047:22ET repeats 1039ET block

* total +20,000 Jun 71/72 put strips, 1.0

* +10,000 Sep 71/72 2x1 put spds, 1.0

* +3,500 short Apr 77 calls, 1.5

* +2,500 short Sep 76/77/78/80 call condors, 2.0

* Update, +35,000 short Jun 68/71 put spds, 1.0

* appr +100,000 (81k on screen) short Mar 76 calls from 0.5-0.75

* +10,000 Jun 71/72 put spds, 3.25

* +5,000 Jun 71/72 put spds, 3.25 w/

* +5,000 Dec 71/73 2x1 put spds, 5.0, 8.25 total/package

* 5,000 Dec 71/72 2x1 put spds, 0.0

* 2,000 Jun 72/73/75 iron flys, 5.5

* +8,000 Jun 71/72 put strip, 1.0

Block, 0859:30ET,

* -20,000 Dec 68/70 put spds, 1.0

* +20,000 Red Mar 68/70 put spds, 1.5

* +6,750 Jul 72/75 strangles, 4.0

* -4,000 Jun 73 straddles, 7.0

* +8,000 Dec 80 calls vs. 4,000 Apr 75 calls, 1.5

Latest Block, 0847:21ET, desks say unwind

* +20,000 short Jul 71/73 put spds, 4.0

* -20,000 short Jul 76/78 call spds, 6.0

* +8,400 Red Sep'20 97.57

Recap highlight overnight trade

* scale buyer up to 32,000 short Mar 76 calls, 0.5-1.0

* total +16,000 short Jun 71/73/75 put flys

* 2,500 Green Apr 73/75 2x1 put spds

* 6,500 short May 73/75 2x1 put spds

* >9,000 Blue Mar 76/77 1x2 call spds

Tsy options, Pit/screen:

* +3,250 TYJ 123.5 calls, 5/64

* 4,000 TYK 121/122 put spds, 13/64 vs. 122-21

Block, 0923:11ET,

* +12,745 TYK 123 calls, 31/64

* -13,123 TYJ 123 calls, 13/64

* -2,500 TYK 121.5/123.5 strangles, 29

* -4,000 TYK 121.5/124 strangles, 22

* 2,000 TYK 122 puts, 17- to 16/64

* 1,000 TYM 122.5 straddles, 1-33/64

Highlight overnight trade

* -31,000 TYJ 122 puts mostly at 6/64, 7/64 last

* 16,000 TYJ 123 calls, 13/64

* 21,500 TYJ 123.5 calls, 5/64

* 5,000 TYJ 122.2 calls blocked at 41/64

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

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