US TSYS: TSY YIELDS ON RISE POST FOMS/LEAD-UP TO NFP

US TSY SUMMARY: Tsys hold near lows by the bell after trading narrow channel

since midday. Short end yield curve spds forged wider, 3M10Y appr 8bp steeper

from Wed's pre-FOMC lows. Generally quiet ahead Fri's headliner NFP (+190k est),

Fed out of media blackout as well.

- Sources noted pick-up in selling 10s from banks and real$, deal-tied sales

gained. Late morning flow, prop accts joined bank & real$ sellers in

intermediates to long end, two-way in short end w/ fast$ buying.

- Fed funds futures volumes remains well above average. Today's block buy of

15,885 FFK 97.5975, pushes session volume in May futures up to 144,692 -- well

over avg 30-day volume of 44,925.

- On tap for Fri: Nonfarm and private payrolls; unemployment rate; avg hourly

earnings; adv goods trade, wholesale and retail inventories; Markit Services

Index; ISM Non-mfg Index; StL and NY Fed GDP Nowcasts. 

- The 2-Yr yield is up 3.6bps at 2.3408%, 5-Yr is up 4.2bps at 2.3417%, 10-Yr is

up 4.3bps at 2.5432%, and 30-Yr is up 3.1bps at 2.935%.

US TSY FUTURES CLOSE: Lower across the board, long end attempting to bounce off

lows after trading narrow channel since midday. Short end yield curve spds

forged wider, 3M10Y appr 8bp steeper from Wed's pre-FOMC lows. Current levels:

* 3M10Y  +3.493, 11.747 (L: 8.986 / H: 13.857)

* 2Y10Y  +0.861, 20.216 (L: 18.138 / H: 21.566)

* 2Y30Y  -0.363, 59.381 (L: 57.143 / H: 60.896)

* 5Y30Y  -1.064, 59.159 (L: 58.618 / H: 60.787)

Current futures levels:

* Jun 2-Yr futures (TU) down 2.5/32  at 106-11.125 (L: 106-10.75 / H: 106-13.75)

* Jun 5-Yr futures (FV) down 7.25/32  at 115-9.75 (L: 115-08.25 / H: 115-17)

* Jun 10-Yr futures (TY) down 11/32  at 123-7.5 (L: 123-05 / H: 123-21)

* Jun 30-Yr futures (US) down 17/32  at 147-2 (L: 146-28 / H: 147-29)

* Jun Ultra futures (WN) down 20/32  at 164-11 (L: 164-01 / H: 165-14)

US EURODLR FUTURES CLOSE: Weaker across the strip, at/near session lows, front

end outperforms Reds-Greens despite heavy midday selling. Current White pack

(Jun 19-Mar 20):

* Jun 19 -0.015 at 97.440

* Sep 19 -0.030 at 97.480

* Dec 19 -0.040 at 97.480

* Mar 20 -0.045 at 97.580

* Red Pack (Jun 20-Mar 21) -0.07 to -0.055

* Green Pack (Jun 21-Mar 22) -0.065 to -0.055

* Blue Pack (Jun 22-Mar 23) -0.055 to -0.045

* Gold Pack (Sep 22-Jun 23) -0.045 to -0.035

US DOLLAR LIBOR: Latest settles

* O/N -0.0187 at 2.3731% (-0.0269/wk)

* 1 Month -0.0161 to 2.4671% (-0.0160/wk)

* 3 Month -0.0104 to 2.5651% (-0.0176/wk)

* 6 Month +0.0270 to 2.6385% (+0.0228/wk)

* 1 Year +0.0265 at 2.7368% (+0.0193/wk)

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

* Daily Effective Fed Funds Rate holds at 2.45%, Volume: $77B

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

* Secured Overnight Financing Rate (SOFR): 2.54%, $1.074T

* Broad General Collateral Rate (BGCR): 2.50%, $483B

* Tri-Party General Collateral Rate (TGCR): 2.50%, $461B

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

03-May 0830 Apr nonfarm payrolls (196k, 190k); private payrolls (182k, 190k)

03-May 0830 Apr unemployment rate (3.8%, 3.8%)

03-May 0830 Apr avg hrly earnings (0.1%, 0.3%); workwk (34.5hrs, 34.5hrs)

03-May 0830 Apr adv goods trade gap

03-May 0830 Apr adv wholesale inventories; retail inventories

03-May 0945 Apr Markit Services Index (final) (52.9, --)

03-May 1000 Apr ISM Non-manufacturing Index (56.1, 57.3)

03-May 1100 Q2 St. Louis Fed Real GDP Nowcast

03-May 1115 Q2 NY Fed GDP Nowcast

03-May 1015 Chi Fed Pres Evans, "Global Economies Crossroads" Stockholm, Sweden,

Q&A

03-May 1345 NY Fed Pres Williams, mon/pol rules, lower bound rates, Ca

03-May 1945 Fed Pres' Bullard, Daly, Kaplan and Mester; mon/policy strategy,

Stanford, Q&A

US SWAPS: Spd curve continues to steepen, long end lead Wed, short end lead Thu

as incoming supply weighed on front to intermediates. Latest spd levels:

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

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

1:45        -1.06/11.12   -0.62/4.62     -0.56/-0.81   -0.31/-22.06

12:00       -0.88/11.38   -0.62/4.62     -0.62/-0.88   -0.25/-22.00

10:45       -0.94/11.31   -0.25/5.00     +0.19/-0.06   +0.62/-21.19

9:00        -1.06/11.12   +0.00/5.25     +0.31/+0.06   +0.56/-21.25

Thu Open    -0.88/11.38   +0.06/5.31     +0.31/+0.06   +1.06/-20.75

Thu 7:45    -1.12/11.12   -0.06/5.19     +0.31/+0.06   +1.06/-20.75

Wed 3:30    +0.25/11.56   +0.44/4.88     +0.62/-0.50   +1.50/-21.94

Wednesday recap: Spds wider after the bell -- most well off post-Powell conf

levels (30Y holding wides) when spds surged as Tsys reversed off highs. Move

occurred as Fed chair Powell clarifies IOER adjustment is technical, not monpol

related.

PIPELINE: Starbucks, RBS Launched; Saudi Telecom 10Y Sukuk priced

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

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: 

* -17,500 short Jul 81 calls, 1.5 vs. 97.70/0.10%

* +15,000 Green Dec 73 puts, 5.0 vs. 97.73/0.20%

* Update, total -35,000 Sep 76/78 call strip, 3.5 vs. 97.49/0.31%

* -10,000 Sep 75 straddles vs. 76 calls, 10.5

* 5,000 short Dec 81 calls, 8.0 vs. 97.74/0.25%

* 3,000 Green Dec 73/75 3x2 put spds, 2.5

* 3,000 Blue Sep 73/75 2x1 put spds, 0.5 vs. 97.645/0.10%

* -5,000 Jul 73/75/76 call trees, 6.5

* -17,000 Sep 76/78 call strip, 3.5

* 10,500 short Jun 75 puts, 1.5

* -1,000 Red pack 77 straddle strip, 217.0

* +10,000 Oct/Dec 73 put spds, 1.5

* +10,000 Jul/Aug 72 2x1 put spds,0.5 vs. 97.515/0.05%

* +4,000 Dec 72/73/75 2x4x1 put flys, 5.5

* +7,000 Green Dec 73/75 3x2 put spds, 2.5 vs. 97.71/0.05%

* -7,000 Oct 76/78 call spds, 3.75 vs. 97.49

Pre-data flow:

* +8,000 Dec 80/82/85 call flys, 0.75

* 3,000 Sep 73/77 put over risk reversals, 0.0

* 4,000 Dec 82/85 1x2 call spds, 0.0

* 4,000 Dec 82/83 2x3 call spds, 1.5

Salient screen trade by the opening bell

* +12,000 short Sep/Green Sep 81 call spds, 0.0 ongoing buyer

* 7,000 Oct 76/78 call spds

* 5,000 Dec 73/75 put spds

* 3,000 Sep 73/75/76 call flys

Tsy options, Pit/screen:

* +2,000 TYM 122/122.5 2x1 put spds, 1/64

* -3,500 FVM 114.75/115.5 2x1 put spds, 16/64

* 1,700 FVM 115.5 straddles, 48.5/64

* +1,000 TYU 123.25 straddles, 50/64

* Update, appr +7,500 TYU 122/125 call over risk reversals, 4/64 vs.

123-16/0.48%

* 1,300 FVM 115.5 calls, 23.5/64

* Update, appr +5700 TYU 122/125 call over risk reversals, 4/64 vs. 123-16/0.48%

* +1,600 FVN/FVM 115.5 straddle spds, 16.5 earlier

BLOCK, 0925-0927ET

* total +20,000 Jul 77 calls, 0.5

* +6,000 wk1/wk2 TY 114.75/115/115.25 put tree spd, wk2 over, 1.5 net

* +3,500 FVN 114.25/114.75/115.25 2x3x1 put flys, 2/64

* 1,100 TYN 122/125 strangles, 22/64

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

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