MNI ASIA MARKETS ANALYSIS: Risk Retreats Ahead Liberation Day

HIGHLIGHTS

• Treasuries bounced off Thursday's 4Wk lows early Friday, curves scaling off the steepest levels since early January 2022 (5s30s tapped 63.866 high yesterday).
• A rise in long term inflation expectations and retreating consumer sentiment as reflected by the latest University of Michigan data weighed heavily on stocks, adding to the steady bid in Tsys.
• Focus on next week's "liberation Day" Trump tariff rollout on April 2 not to mention next Friday's employment data for March.

MNI US TSYS: Risk Sentiment Retreats Ahead April 2 Liberation Day, NFP Next Friday

• A strong risk-off tone gathered momentum after this morning's drop in Consumer Sentiment and rising inflation expectations as reported by the University of Michigan, accounts squaring positions ahead of next week's "liberation Day" Trump tariff rollout on April 2, not to mention next Friday's employment data for March.
• Jun'25 10Y futures have breached initial technical resistance of 110-26 (Mar 25 high) marking session high of 111-07.5 (+26) -- medium-term trend condition is bullish, the first key resistance is located at 111-17+, the Mar 20 high.
• While curves have scaled off steepest levels since early Jan'22 (short end lagging), projected rate cuts through mid-2025 have gained significantly vs. early morning levels (*) as follows: May'25 at -5.2bp (-3.9bp), Jun'25 at -21.8bp (-17.2bp), Jul'25 at -36.5bp (-28.5bp), Sep'25 -52bp (-43.5bp).
• Cross asset update: CBOE's VIX volatility index has climbed to 22.18 (+3.49) recedes to 21.34 in late trade, Gold near highs of 3086.09 at 3080.45, Bbg US$ index weaker at 1271.92 (-1.38) is off low of 1270.18.
• Fading risk appetite on Friday worked heavily in favour of the Japanese Yen, USDJPY, has extended its pull lower, oscillating around 150.00 as we approach the close, and notably 120 pips off the overnight session highs. Price action suggests the breach of 150.95 resistance earlier in the week appears to have been a false break.

SOFR FIXES AND PRIOR SESSION REFERENCE RATES
​​​​​​​
SOFR Benchmark Settlements:

• 1M -0.00127 to 4.32365 (+0.00354/wk)
• 3M -0.00156 to 4.29761 (-0.00022/wk)
• 6M -0.00099 to 4.21561 (+0.01095/wk)
• 12M -0.00594 to 4.05286 (+0.02948/wk)

US TSYS: Repo Reference Rates

• Secured Overnight Financing Rate (SOFR): 4.36% (+0.01), volume: $2.468T
• Broad General Collateral Rate (BGCR): 4.34% (+0.00), volume: $962B
• Tri-Party General Collateral Rate (TCR): 4.34% (+0.00), volume: $926B
• (rate, volume levels reflect prior session)

STIR: FRBNY EFFR for prior session:

• Daily Effective Fed Funds Rate: 4.33% (+0.00), volume: $109B
• Daily Overnight Bank Funding Rate: 4.33% (+0.00), volume: $276B

FED Reverse Repo Operation

RRP usage retreats to $286.575B this afternoon from $291.785B Thursday. Compares to $58.770B (lowest level since mid-April 2021) on February 14. The number of counterparties at 45.

US SOFR/TREASURY OPTION SUMMARY

SOFR and Treasury options continue to revolve around low delta/upside calls Friday as underlying futures look to finish at/near late session highs. While curves have scaled off steepest levels since early Jan'22 (short end lagging), projected rate cuts through mid-2025 have gained significantly vs. early morning levels (*) as follows: May'25 at -5.2bp (-3.9bp), Jun'25 at -21.8bp (-17.2bp), Jul'25 at -36.5bp (-28.5bp), Sep'25 -52bp (-43.5bp).

SOFR Options:
over 10,700 2QQ5 97.00/97.50 call spds ref 96.465
over 7,000 SFRM5 95.62/95.75 put spds, 2.75-3.0
+6,000 SFRM5 95.93/96.06 call spds, 2.25 vs. 95.865/0.12% 
-5,000 SFRM5 96.0 calls, 7.0 ref 95.88 to -.885
+1,500 SFRM5 96.00/96.25/96.37 broken call flys 2.5 ref 95.875
-10,000 SFRN5 95.68/SFRU5 95.62 put spds, 0.5
+10,000 SFRN5 95.75/SFRU5 95.62 put spds, 0.5
8,000 SFRJ5/SFRM5 95.87/95.93 put spd spds (similar to earlier in wk: SFRU5/SFRZ5 95.68/95.81 put spd spds)
1,500 SFRJ5 95.93/96.00 call spds vs. SFRK5 96.00 calls
5,000 0QM5 96.87/97.25 call spds vs. 95.87/96.12 put spds ref 96.455
3,000 0QM5 97.50 calls ref 96.455

Treasury Options:
5,000 FVK5 108.25/109.25 call spds, ref 108-06
-8,000 TYK5 110/112.5 strangles, 39 ref 111-06
2,700 TYK5 108.25/109 2x1 put spds
2,500 wk2 US/USM5 117 straddle spds, 256 net
3,000 FVK5 108.25/109.25 call spds, 14 ref 108-03.75
3,200 TYK5 109/110 put spds, 13 ref 111-00
10,100 TYK5 111/112 call spds 27 ref 111-01.5
1,500 USK5 118/120/121 broken call flys ref 117-00
4,000 TYK5 112/113 call spds over 109.5/110 put spds ref 111-01.5
3,000 TYK5 109/113.5 strangles vs. 1,500 TYM5 108.5/114 strangles ref 111-01.5
3,300 TYM5 112 calls, 42 ref 111-00.5
3,000 TYK5 112.5/113.5 call spds, 7 ref 110-26
2,000 TYK5 111 calls, 38 ref 110-25
2,000 FVM5 108/109.5/111 call flys
over 4,600 TYM5 111.5 calls
3,000 TYK5 112 calls, 13 last, total volume over 7,400
over 7,300 Wed/wkly TY 111.5 calls, 5 (exp Apr 2) total volume over 18,800

MNI BONDS: EGBs-GILTS CASH CLOSE: Core FI Gains On Tariff And Growth Concerns

European yields fell sharply Friday, with tariff concerns weighing on risk appetite and Eurozone inflation data coming in on the low side.

• French and Spanish flash March inflation readings were softer than expected, resulting in Bunds hitting what would be their richest levels of the session.
• The rest of the day proved more mixed, with tariff headlines again the main driver. Core FI pulled back on reports that the EU was considering some trade concessions to the US, and later on positive US-Canada trade tones.
• But risk aversion would pick up again toward the cash close, with equities falling to 2-week lows on poor US consumption data and Atlanta Fed GDP nowcast, as well as Trump confirming that the US would follow through on tariffs to Canada.
• On the day, Gilts outperformed Bunds, with bellies outperforming in both the German and UK curves.
• For the week, both the UK (2s10s +5.2bp) and German (2s10s +7.4bp) bull steepened.
• Periphery EGB spreads widened alongside the equity drawdown, with BTPs underperforming.
• Next week's early highlights include German and Italian inflation, with Wednesday's US tariff announcements in focus globally. 

Closing Yields / 10-Yr EGB Spreads To Germany

• Germany: The 2-Yr yield is down 4.9bps at 2.02%, 5-Yr is down 5.3bps at 2.32%, 10-Yr is down 4.6bps at 2.727%, and 30-Yr is down 3.2bps at 3.102%.
• UK: The 2-Yr yield is down 7.8bps at 4.195%, 5-Yr is down 9.4bps at 4.298%, 10-Yr is down 8.9bps at 4.694%, and 30-Yr is down 8bps at 5.288%.
• Italian BTP spread up 1.6bps at 112.2bps / Spanish up 1bps at 63.3bps 

MNI EGB OPTIONS: Some More Upside Lean Across Rates To End Week

Friday's Europe rates/bond options flow included:

• RXK5 131.00c, bought for 26.5 uo to 27 in 2.5k.
• ERK5 97.875/97.8125/97.75p ladder, bought for half in 10k.
• ERK5 97.75/97.8125, bought for 4.5 in 5k
• ERZ5 97.75 puts, paper sells -10k at 6.5-6.25
• ERZ5 97.875 calls (+5k) vs 2RZ5 97.6758 calls (-5k), pays 3 to buy the front ERZ5
• SFIM6 97.00/97.50/98.00c fly, bought for 3.75 in 6k.
• SFIM6 97.25/97.75/98.25c fly, bought for 2.75 in 4k.

MNI FOREX: USDJPY Extends Decline Amid Renewed Pessimism for US Equities

• Fading risk appetite on Friday worked heavily in favour of the Japanese Yen, as slippage for US equities puts the e-mini S&P (-2.08%) below 5625 and the e-mini Nasdaq (-2.7%) below 19,500. As such USDJPY, has extended its pull lower, oscillating around 150.00 as we approach the close, and notably 120 pips off the overnight session highs. Price action suggests the breach of 150.95 resistance earlier in the week appears to have been a false break.
• While the USD index remains 0.25% softer on the session, it is the risk sensitive currencies such as AUD and NZD that have suffered equally, as the market reignites its concern around US stagflation. The Atlanta GDPNow posted a big downward revision to Q1 growth: now -2.8% (was -1.8% two days ago).
• AUDJPY downside has continued to pick up, declining over 1% on the day, also marking a failure to break the key resistance we noted this week at the 50-dma (today at 95.30), which has failed to break on several occasions across this year.
• NZD remains the weakest in G10 Friday, following weaker ANZ consumer confidence, along with barely positive filled jobs growth. NZDJPY has declined 1.1% swiftly erasing the bulk of the week’s advance.
• We noted that spot vol here is supporting the front-end of the implied curve: EUR/USD one-week vols capturing 'Liberation Day' on Wednesday now clear 9 points, bucking the trend of slipping vol over the course of the month. The Euro has stood out in G10 today, shrugging off the waning risk sentiment and rising back above 1.0820. Overall, recent weakness in EURUSD has appeared technically corrective. On the topside, focus will be on 1.0861, the March 21 high, followed by 1.0955, the Mar 18 high and bull trigger.

MNI FX OPTIONS: Expiries for Mar31 NY cut 1000ET (Source DTCC)

• EUR/USD: $1.0800(E672mln), $1.0875-90(E672mln)
• USD/JPY: Y150.00($868mln)
• EUR/GBP: Gbp0.8360-70(E1.1bln)
• AUD/USD: $0.6300(A$542mln)
• USD/CNY: Cny7.2800($915mln)

MNI US STOCKS: Late Equities Roundup: Hugging Lows, Discretionary & Tech Lagging

• Stocks remain broadly weaker in late Friday trade, risk-off tone gathers momentum after this morning's drop in Consumer Sentiment and risking inflation expectations as reported by the University of Michigan this morning while accounts square positions ahead of next week's "liberation Day" Trump tariff rollout on April 2.
• Currently, the DJIA trades down 741.09 points (-1.75%) at 41552.8, S&P E-Minis down 115.25 points (-2.01%) at 5622.75, Nasdaq down 475.6 points (-2.7%) at 17325.91.
• Consumer Discretionary and Information Technology sectors continued to underperform in late trade, a mix of apparel and travel shares weighing on the former: Lululemon Athletica down a whopping 15.35% after missing earnings, Ralph Lauren Corp -5.23%, Caesars Entertainment -4.92%, Las Vegas Sands -4.44%, Airbnb -4.43%, Carnival -4.38% and Royal Caribbean Cruises -4.37%.
• Semiconductor took the place of software stocks weighing on the Tech sector: ON Semiconductor -5.53%, Palantir Technologies -5.27%, NXP Semiconductors -4.98% and Monolithic Power Systems -4.22%.
• On the positive side, Utilities and Health Care sectors outperformed, independent energy providers buoyed the former: PPL Corp +2.49%, Eversource Energy+1.74%, Pinnacle West Capital +1.73% and FirstEnergy Corp +1.67%.
• Meanwhile, pharmaceutical stocks supported the Health Care sector: Merck & Co +2.10%, AbbVie Inc +1.02%, Bristol-Myers Squibb +0.81%, Gilead Sciences and Regeneron Pharmaceuticals both +0.70%.

MNI EQUITY TECHS: E-MINI S&P: (M5) Pullback Exposes Key Support

• RES 4: 5970.87 61.8% retracement of the Feb 19 - Mar 13 bear leg 
• RES 3: 5907.55 50-day EMA 
• RES 2: 5864.25 Low Jan 13 and a recent breakout level
• RES 1: 5747.75/5837.25 Intraday high / High Mar 25                    
• PRICE: 5621.75 @ 14:50 ET Mar 28 
• SUP 1: 5618.75 Low Mar 28                 
• SUP 2: 5559.75 Low Mar 13 and the bear trigger
• SUP 3: 5483.50 2.00 proj of the Dec 6 ‘24 - Jan 13 - Feb 19 swing
• SUP 4: 5396.00 2.236 proj of the Dec 6 ‘24 - Jan 13 - Feb 19 swing         

S&P E-Minis have pulled back from Tuesday’s high and today’s sell-off strengthens the bearish importance of the latest pullback. The move down signals the end of the corrective cycle between Mar 13 - 25. Support at 5650.75 has been pierced, Mar 18 low. A clear break of this level would expose the key support and bear trigger at 5559.75, Mar 13 low. On the upside, key S/T resistance has been defined at 5837.25, the Mar 25 high. 

MONDAY DATA CALENDAR

Date	GMT/Local	Impact	Country	Event
31/03/2025	0600/0800	**	DE	Import/Export Prices
31/03/2025	0600/0800	**	DE	Retail Sales
31/03/2025	0800/1000	***	DE	Bavaria CPI
31/03/2025	0800/1000	***	DE	North Rhine Westphalia CPI
31/03/2025	0800/1000	***	DE	Baden Wuerttemberg CPI
31/03/2025	0830/0930	**	GB	BOE Lending to Individuals
31/03/2025	0830/0930	**	GB	BOE M4
31/03/2025	0900/1100	***	IT	HICP (p)
31/03/2025	-		GB	DMO Quarterly Investors/GEMM consultation
31/03/2025	1200/1400	***	DE	HICP (p)
31/03/2025	1345/0945	***	US	MNI Chicago PMI
31/03/2025	1430/1030	**	US	Dallas Fed manufacturing survey
31/03/2025	1530/1130	*	US	US Treasury Auction Result for 13 Week Bill
31/03/2025	1530/1130	*	US	US Treasury Auction Result for 26 Week Bill
31/03/2025	1600/1200	**	US	USDA GrainStock - NASS
31/03/2025	1600/1200	***	US	USDA PROSPECTIVE PLANTINGS - NASS
01/04/2025	2200/0900	**	AU	S&P Global Manufacturing PMI (f)
01/04/2025	2301/0001	*	GB	BRC Monthly Shop Price Index
01/04/2025	2330/0830	*	JP	Labor Force Survey
01/04/2025	2350/0850	***	JP	Tankan
01/04/2025	0030/1130	**	AU	Retail Trade
01/04/2025	0030/0930	**	JP	S&P Global Final Japan Manufacturing PMI
01/04/2025	0145/0945	**	CN	S&P Global Final China Manufacturing PMI
01/04/2025	0330/1430	***	AU	RBA Rate Decision