MNI ASIA MARKETS ANALYSIS: Shrugging Off Vaccine, Geopol Risk

US TSY SUMMARY: Vaccine, Russia/Ukraine Tension Take CPIs Spotlight

• Sharp risk-off move ahead of the NY open: Tsys gap bid, equities reversed course traded lower on J&J headlines that US calling for pause in J&J vaccine due to blood clotting issues. Vaccine headlines dominated the first half while Russia/US geopol angst plays close second amid following:
• Russia warns U.S. warships to steer clear of Crimea 'for their own good', Rtrs
• NATO demands Russia end Ukraine build-up, West examines options, Rtrs
• RUSSIA'S TAKING MEASURES IN RESPONSE TO NATO'S THREATS, Bbg
• Rates and equities gradually recovered by midmorning into the second half when Bonds surged after a strong 30Y auction Re-Open: Yield curves whipped around as short end reversed earlier steeper levels to flatter post auction, 5s and 10s vs. 30s holding steeper. 30Y R/O drew high yld of of 2.320%. Stop through of 1.5bp well above five auction avg of only 0.1bp, topping last Dec's 1.2bp stop. Bid-to-cover 2.47x well above 2.34x five auction avg.
• Equities shrugged off the exogenous risk factors in the second half, S&P eminis making new all-time high of 4139.75.
• The 2-Yr yield is down 0.8bps at 0.1589%, 5-Yr is down 4.2bps at 0.8386%, 10-Yr is down 4.2bps at 1.6233%, and 30-Yr is down 2.6bps at 2.3077%.

SHORT TERM RATES

US DOLLAR LIBOR: Latest settles

• O/N +0.00125 at 0.07475% (+0.00000/wk)
• 1 Month +0.00238 to 0.11463% (+0.00338/wk)
• 3 Month -0.00200 to 0.18375% (-0.00375/wk) (Record Low of 0.17525% on 2/19/21)
• 6 Month +0.00487 to 0.21950% (+0.00912/wk)
• 1 Year +0.00337 to 0.28775% (+0.00200/wk)

• Daily Effective Fed Funds Rate: 0.07% volume: $68B
• Daily Overnight Bank Funding Rate: 0.06%, volume: $252B

• Secured Overnight Financing Rate (SOFR): 0.01%, $863B
• Broad General Collateral Rate (BGCR): 0.01%, $377B
• Tri-Party General Collateral Rate (TGCR): 0.01%, $350B
• (rate, volume levels reflect prior session)

• Wed 4/14 1010-1030ET: Tsy 0Y-2.25Y, appr $12.825B
• Thu 4/15 1010-1030ET: Tsy 20Y-30Y, appr $1.750B
• Fri 4/16 1010-1030ET: TIPS 7.5Y-30Y, appr $1.225B
• Mon 4/19 1010-1030ET: Tsy 2.25Y-4.5Y, appr $8.825B
• Tue 4/20 1010-1030ET: Tsy 20Y-30Y, appr $1.750B
• Wed 4/21 1010-1030ET: Tsy 4.5Y-7Y, appr $6.025B
• Thu 4/22 1010-1030ET: Tsy 20Y-30Y, appr $1.750B
• Fri 4/23 1010-1030ET: TIPS 1Y-7.5Y, appr $2.425B

US TSYS/OVERNIGHT REPO: Steady-On Specials

Largely steady in special territory; 3M Bill gains. Current levels:
T-Bills: 1M 0.0051%, 3M 0.0152%, 6M 0.0355%; Tsy General O/N Coll. 0.01%

EURODOLLAR/TREASURY OPTIONS SUMMARY

• +30,000 Green Jun 90/91/92 put flys, 1.75 legged
• Block, 14,000 Blue Jun 98.37/98.62 put spds, 9.0 at 1403:04ET
• 15,000 short Dec 91/93/96 put flys
• +40,000 Green Dec 92/93/95/96 call condors, 2.25
• -5,000 short Dec 93/96 put spds, 7.5 and still offered
• +10,000 short Dec 95/96/97 call trees 3.0 over the 99.12 puts vs. 99.54/0.20%
• Overnight trade
• 2,500 short Jun 99.75/99.81 1x2 call spds
• 2,000 Green Jun 97 calls, cab
• 1,600 Green May 99.312/99.37/99.50 call trees

• +3,500 TYM 132.5/133.5 1x2 call spds, 6
• Block, +10,000 TYM 130.5/133 put over risk reversals, 3
• over -10,500 FVM 122/123 put spds from 8- tyo 11.5
• Additional post-data trade includes
• -2,000 TYM 131.5 straddles 140-139
• -1,000 TYN 123.5/137.5 strangles, 5
• -3,000 FVM 122.5 puts, 6.5
• -1,300 FVM 123.5/124 strangles, 27
• 2,000 USM 153 puts 16 over USK 155 puts
• Overnight trade
• Block, +10,000 FVM 123/124 put over risk reversals, 2.5
• +2,750 wk3 TY 131/131.5 2x1 put spds, 5
• +3,000 wk3 TY 130.75/131.25 put spds, 8-9 vs. 131-14.5 to -17/0.22%

EGBs-GILTS CASH CLOSE: Heavy Supply Ends Up Well-Absorbed

The theme of Tuesday was issuance, unsurprising given the heavy auction/syndication schedule going into the day. This weighed on the space in the morning, though news that J&J's COVID vaccine rollout would be paused in the US and Europe boosted Gilts and Bunds midday London time.

• In the end, Bunds and Gilts were little changed, with periphery spreads mixed.
• Supply this morning came from the UK (Gilt , GBP1bn), Germany (Linker, E0.387bn allotted), Italy (BTPs, E7.75bn) Syndications today include: Spain 15-year bond (E6bn) Austria (dual tranche 4-/50-year issues for combined E5.75bn, and the Netherlands (0% Jan-38 DSL, E5.9bn).
• German ZEW and UK Feb GDP disappointed, but little reaction. ECB's Villeroy said that he didn't favor the bank adopting yield curve control.
• Note Slovakia today announced a 15-Yr syndication mandate. Auctions Weds include 30-Yr Gilt linker and Germany Aug-48 Bund.

Closing yields/10-Yr Spreads to Bunds:

• Germany: The 2-Yr yield is down 0.1bps at -0.702%, 5-Yr is unchanged at -0.631%, 10-Yr is up 0.1bps at -0.292%, and 30-Yr is up 0.2bps at 0.264%.
• UK: The 2-Yr yield is down 0.5bps at 0.049%, 5-Yr is down 0.5bps at 0.356%, 10-Yr is down 1bps at 0.779%, and 30-Yr is down 0.3bps at 1.307%.
• Italian BTP spread up 1.3bps at 104.1bps / Spanish spread down 0.3bps at 67.9bps

OPTIONS/EUROPE SUMMARY: Mixed Trades

Tuesday's options flow included:

• RXM1 174.00 call bought for 11 in 5k. Hearing closing
• 0RM1 100.50/100.625/100.75 call fly with 100.50/100.625 call spread v 2x 100.50/100.375 put spread. Sells the fly and call spread at 7.5 in 5k
• 3RZ1 100.25/100.375 call spread sold at 5.25 in 4k
• 0LM1 99.625/99.75/100.125/100.25 broken call condor sold at 9.25 in 5k (v 99.75)

FOREX: CPI Headfake Sees Greenback Slip to April Lows

• The USD initially found some support after a higher-than-expected CPI print for March, but price action swiftly reversed and the USD slipped against most others in G10 ahead of the close.
• Much attention was paid to the decision that the US would pause the rollout of the J&J vaccine on blood-clotting concerns, prompting some equity selling and JPY strength in early US hours. JPY remained strong into the US close, narrowing the gap with the April lows at Y109.00.
• GBP found another headwind following news that Bank of England Chief Economist and MPC member Haldane is due to step down from his role after the June MPC meeting.
• Haldane had been one of the more hawkish members of the BoE rate-setting committee, raising the risk that the Bank could adopt a more active approach later this year. EUR/GBP broke to new April highs in response, with the 50-dma undercutting as firm support going forward.
• Focus Wednesday turns to US import/export price indices and Australia's Westpac consumer confidence data. Central bank speak picks up further, with ECB's de Guindos, Panetta and Lagarde due to speak as well as Fed's Powell & Clarida and BoE's Haskel.

FX OPTIONS: Expiries for Apr14 NY cut 1000ET (Source DTCC)

• EUR/USD: $1.1795-00(E855mln), $1.1900(E1.1bln - EUR puts), $1.1925(E1.3bln-EUR puts), $1.1945-55(E813mln)
• USD/JPY: Y108.00-16($1.1bln), Y108.50($525mln), Y108.95-00($738mln)
• GBP/USD: $1.3840-50(Gbp792mln-GBP puts), $1.4050(Gbp762mln)
• EUR/GBP: Gbp0.8600-15(E1.1bln)
• AUD/USD: $0.7700(A$700mln)
• USD/CAD: C$1.2465-60($750mln), C$1.2500($1.1bln-USD puts)

PIPELINE: $8B World Bank Dual-Tranche Lion's Share $15B Total Debt Issuance

• Date $MM Issuer (Priced *, Launch #)
• $15B to price Tuesday
• 04/13 $8B #World Bank (IBRD) $3B 2Y -5, $5B 7Y +7
• 04/13 $4.25B *IADB 5Y +0.0
• 04/13 $1.5B *Ontario Teachers Finance Trust 10Y +40
• 04/13 $1.25B *JFM 5Y +18
• 04/13 $Benchmark Tencent investor calls
• Expected this week:
• 04/14 $500M Kommunalbanken WNG 3.5Y +2a
• 04/14 $Benchmark Quebec 10Y +29a
• 04/15 $5.5B United Airlines $2.75B 5Y, $2.75B 8Y
• 04/?? $Benchmark/Euro Altice France 8NC3

EQUITIES: J&J Drags on Dow, DJIA Underperforms

• Markets read concern into Johnson & Johnson's decision to delay and stall the rollout of their COVID-19 vaccine across Europe, with the US CDC also deciding to pause the jab's use domestically over blood-clotting concerns.
• In response, the three main US indices slipped sharply alongside J&J shares, which fell as much as 3% and dragged on the Dow Jones Industrial Average, which traded lower against minor gains for the S&P 500 and NASDAQ. Utilities, consumer discretionary and tech outperformed, while financials and industrials lagged.
• The e-mini S&P wholly erased the initial vaccine-induced dip, which was preceded by a new all time high, keeping the recent run of strength very much in tact. The index trades with month-to-date gains of close to 4%.
• Earnings season kicks off materially Wednesday, with JPMorgan, Goldman Sachs and Wells Fargo all reporting.

COMMODITIES: Soft Dollar Benefits Precious Metals, Oil Maintains Tight Range

• Despite a brief spike on the release of US CPI, the US dollar index remained under pressure which helped bolster precious metals on Tuesday.
• Spot gold (+0.8%) and silver (+2.35%) recovered well off session lows and extended their rallies as lower treasury yields garnered further USD weakness.
• Gold has been holding onto the bulk of recent gains. Key resistance at $1755.5, Mar 18 high was probed on April 8. The yellow metal also needs to clear $1759.2, the 50-day EMA to suggest scope for a stronger bounce.
• Oil prices gained just shy of 1% on Tuesday but both Brent and WTI crude had subdued daily ranges of around $1. The daily gains have been largely attributed to strong Chinese import data, but the rally was capped by fresh vaccine anxieties stemming from likely delays on the rollout of J&J shots over clotting concerns.
• The counteracting factors dominating the newswires continue to keep WTI crude pinned to the $60 mark. The largely rangebound trade has seen the WTI active contract close each of the past thirteen sessions less than $2 above or below $60.
• Bitcoin surged to record highs above $63,000 amid the weak dollar, amounting daily gains of around 5.5%.