US: MNI POLITICAL RISK - Economy Weighs On Trump At 100 Days

• Size: E5bln
• Final Spread set earlier: MS+30bps (guidance was MS+32bps area)
• Books closed in excess of E19.5bln (ex JLM interest)
• Hedge ratio 99% vs 2.40% Apr-30 Bobl
• Maturity: 07-May-2030
• Settlement: 07-Apr-2025 (T+5)
• Coupon: Long first to 07-May-2026
• Bookrunners:    CITI/CACIB(DM/B&D)/SG
• ISIN: EU000A2SCAT6
• Timing: Hedge deadline 13:05BST, pricing to follow.

SOFR and Treasury option trade was a little more mixed overnight but still leaning toward low delta/upside calls. Underlying futures add to Friday's rally, Jun'25 10Y futures marks 111-22.5 high (March 11 lvls), resistance above at 112-01 (High Mar 4 and a bull trigger). Meanwhile, curves are steeper near levels since early Jan'22 (5s30s 67.406 high). Projected rate cuts through mid-2025 adding to late Fri levels (*) as follows: May'25 at -6bp (-5.2bp), Jun'25 at -23.6bp (-21.8bp), Jul'25 at -40.6bp (-36.5bp), Sep'25 -58bp (-52bp).

• SOFR Options:
  • 4,000 0QM5 97.00/97.50 call spds, 7.5 ref 96.62
  • 2,000 0QJ5 96.37/96.50 3x2 put spds ref 96.62
  • Block/screen, 10,000 SFRU5/SFRZ5 95.68/95.81 put spd spds, 0.0
  • Block, 5,000 SFRZ5 96.25/96.50/96.75/97.00 call condors, 4.5 ref 96.435
  • 2,000 2QM5 95.62/95.75/95.93 put flys ref 96.60
  • Block, 5,000 SFRU5/SFRZ5 95.62/95.87 put spd spds, 0.0
  • Block, 6,000 SFRM5 96.25/96.50 call spds, 2.0 ref 95.955
  • Block 5,000 SFRZ5 96.25/96.50/96.75 call trees, 13.0
  • 3,000 0QK5 95.75/95.87/96.00/96.12 put condors ref 96.635
  • 1,900 SFRN5 95.56/95.62/95.68 put flys ref 96.245
• Treasury Options:
  • over 4,400 TYK5 110.5 puts, 21 last ref 111-19
  • 3,500 FVK5 108.25/109.25 call spds ref 108-14.5
  • 2,000 FVM5 110/111/112 call trees ref 108-13.75
  • 5,000 wk1 TY 110.5 puts, 6 ref 111-19
  • 12,000 TYK5 113.5/115 call spds ref 111-19 to -19.5
  • 1,750 TYK5 112/113 call spds ref 111-21.5
  • 3,000 FVM5 109.25/110 call spds, 10.5 ref 108-14.5
  • 8,000 TYK5 113/114.5 call spds, ref 111-14.5

Latest slippage in stock futures presses the e-mini S&P through the mid-March lows of 5559.75, making for fresh YTD lows for the June-25 future, making for a 10.9% drop off the December high.

• Price was lower in the March future (5509.25) ahead of expiry here - meaning the continuation chart is still off support for now. Tech and growth-sensitive names still quite clearly underperforming ahead of the open; the NASDAQ comp is off 1.6% vs. The e-mini S&P's 1.2% and the Dow's 0.6%.
• Magnificent Seven names are slipping pre-market: Tesla (-5.3%), Microsoft (-1.3%), NVIDIA (-4.0%), Meta Platforms (-2.3%), Apple (-0.6%), Amazon (-2.2%).
• Tariff concerns remain quite clearly the driver here, with markets still uncertain over the specifics and details of tariffs set to be unveiled on Wednesday's Liberation Day. Should convention for the previous phases of tariffs be followed, tariffs will come into effect at 0001ET/0501BST on Wednesday - leaving a tight timeline for the White House to provide further details.