BOE: Pill summary: Nothing about his personal view in his briefing

• Spot USD/JPY edges through the earlier lows of Y144.61, hitting the lowest level since early October last year in the process. A turn back toward low for the e-mini S&P and further weakness in US bonds are largely responsible.
• Given the broad spot volatility, no surprise to see very healthy G10 FX activity today, evident in volumes being well ahead of average for this time of day. Following the flurry of trade on the China counter-tariff headlines, CME JPY futures are posting total volumes near 40% ahead of average for this time of day. This activity will likely remain supported as markets are on watch for any comments from Trump on Beijing's actions today: Y144.13 marks next key support: the 76.4% retracement for the Sep 16 '24 - Jan 10 bull leg.
• Interestingly, Bessent highlighted that higher European and Japanese fiscal spending due to US-led measures are the reason for the dollar weakening bilaterally - and that a strong JPY is "natural".

• Secured Overnight Financing Rate (SOFR): 4.40% (+0.07), volume: $2.658T
• Broad General Collateral Rate (BGCR): 4.37% (+0.06), volume: $1.062T
• Tri-Party General Collateral Rate (TCR): 4.37% (+0.06), volume: $1.020T
• (rate, volume levels reflect prior session)

SOFR & Treasury option flow centered around upside calls overnight, modest volumes so far as desks evaluate China's latest response to US raising levy to 104% yesterday with 84% tariff on US imports this morning. Underlying futures under pressure (10Y yield at 4.4367% at the moment), curves steeper but off overnight highs (2s10s currently +7.319 at 63.432 vs. 73.847 high). Projected rate cuts through mid-2025 have consolidated slightly vs. late Tuesday's levels - still pricing in a full point by year end, however. Current levels vs. late Tuesday (*) as follows: May'25 at -13.4bp (-14bp), Jun'25 at -37.9bp (-38.2bp), Jul'25 at -61.4bp (-61.6bp), Sep'25 -78.4bp (-79.3bp).

• SOFR Options:
  • Block, 3,000 SFRU5 97.50/98.50 2x3 call spds, 10.5 ref 96.50
  • 2,000 SFRH6 94.62/95.62 put spds ref 96.825
  • 2,000 SFRM5 95.75/95.93/96.18/96.38 call condors ref 96.12
  • over 8,100 SFRJ5 96.00 calls, 18.0 last ref 96.115
  • 4,500 SFRU5 96.50/97.00 call spds ref 96.435
  • 2,000 0QK5/2QK5 97.25 call spds
  • 2,000 SFRM5 96.75/97.50 call spds vs. 2QM5 97.50/98.25 call spds
  • 2,000 SFRM5 95.75/95.81/95.88 put trees ref 96.085
  • Block/screen, 13,000 SFRM5 96.50/97.25 call spds ref 96.125
  • Block, 5,000 SFRK5 95.81/95.93/96.00/96.06 broken call condors, 5.0 ref 96.155
  • Block, 4,000 SFRM5 95.62 puts, 1.0 ref 96.18
• Treasury Options:
  • 3,500 FVM5 110.5/111 call spds ref 108-07
  • 2,000 FVK5 106.25/106.5/107/107.25 put condors ref 108-04.25
  • 2,000 wk3 TY 110.75/112 strangles ref 110-22 (exp 4/17)
  • over 4,600 TYM5 112 calls, 60 ref 110-24
  • over 10,300 USK5 113 puts, 143 last
  • over 11,000 USK5 116 calls, 131 last
  • 5,200 USK5 117/120 call spds, 25 ref 114-12 to -11
  • over 6,000 TYM5 112.5 calls, 50 last ref 110-30.5 to -31
  • 1,000 TYK5 112.5/113.5/114.5/116.5 broken call condors ref 110-27
  • 1,300 FVM5 107/107.5 put spds, 13 ref 108-08
  • 2,500 TYK5 112/113 call spds ref 110-26