STIR: Repo Reference Rates

Option desks reported mixed SOFR & Treasury option flow overnight, modest volumes at the start of the shortened pre-Easter holiday week. Underlying futures firmer, off early overnight lows, notable spread in SOFR: large fly: +20,000 SFRH7/SFRM7/SFRU7, 0.0 net. Little change in projected rate hike pricing: current levels vs. late Friday  (*) as follows: May'25 at -5.7bp (-6bp), Jun'25 at -21.6bp (-22.2bp), Jul'25 at -39.4bp (-40.1bp), Sep'25 -55.8bp (-54.8bp).

• SOFR Options:
  • 3,000 0QQ5 97.00/97.50/98.00 call flys ref 96.655
  • 1,500 0QM5 97.00/97.25 call spds ref 96.655
  • 3,000 SFRM5 95.81/0QM5 96.12 put spds
  • 5,000 SFRU5 95.62/96.06 put spds ref 96.25
• Treasury Options: 
  • 8,000 TYM5 111/113 call spds, 24 ref 110-03
  • over 11,800 TYK5 110 puts, wide range from 49 to 38 last
  • over 15,300 TYK5 111 calls, 18 ref 110-05
  • -7,000 TYK5 106.75 puts, 3-2 ref 109-31.5
  • 3,000 USK5 109/112 put spds
  • 4,000 FVM5 108/108.5/109/110 broken call condors ref 107-17
  • 4,500 FVM5 106 puts, 18 last
  • 2,000 Mon wkly 111/112 call spds 

The following publication provides a summary and analysis of ECB speak in the weeks leading up to and following US President Trump's April 2 reciprocal tariff announcement: 250414 - Weekly ECB Speak Wrap.pdf

• Since US President Trump’s initial reciprocal tariff announcement on April 2, the median Governing Council view appears to have more clearly shifted towards a 25bp cut on April 17. 
• The MNI Policy team’s April 4 sources piece provided a much-needed signal amongst the noise, noting that U.S. tariffs were tipping the scales towards a 25bp rate cut, particularly after encouraging inflation data. 

• Cable is finding some resistance at the 1.3207 level, so far managed a 1.3201 high, this level is not only the April high but also the 2025 high and best traded level since early October.
• The Scandies are still leading in G10, and the SEK and the NOK are printing fresh highs.
• USDSEK made a 9.6053 low (prices are according to Bloomberg) on the 3rd April, its lowest since April 2022.