MNI ASIA MARKETS ANALYSIS: Ylds Climb, Curves Invert Post-Jobs

US TSYS: Positive Start to New Quarter

New quarter underway with FI markets extending jobs-data lows, June 30Y bond futures through early Wed lows to 147-29 (-2-05), 30YY taps 2.5416 high before grinding higher around midmorning.

• Short end back to pricing in more aggressive/multiple 50bp rate hikes for year (216bp by year end vs. 220bp on Monday). Broad-based inversions vs. 10s: yield curves bear flattened -- 2s10s slipped to -8.135 low, 5s10s slips to -18.522 low.
• TYM2 currently at 122-07 (-21), above key resistance of 120-30+ Low Mar 28 and the bear trigger where a break would confirm a continuation of the downtrend and would open the 120-00 handle.
• Decent jobs data (431k vs. 490k est but Fed up-revision of 95k and unemployment rate drop to 3.6%) initially underpinned stocks with SPX eminis to 4502.0 second half low.
• Stock indexes traded mixed after the FI close, off midday lows to near middle of the session range. S&P eminis trading +4.75 at 4535.5, ESM2 well above key support of 4440.90 50-day EMA.
• Cross asset update, crude see-sawed in weaker territory (WTI -$0.88 (-0.88%) at $99.37; Gold -$14.34 (-0.74%) at $1923.42.
• Limited data next week, FOMC minutes release on Wednesday.
• The 2-Yr yield is up 12.2bps at 2.4564%, 5-Yr is up 10.7bps at 2.5671%, 10-Yr is up 5.5bps at 2.3932%, and 30-Yr is down 0.6bps at 2.4416%.

SHORT TERM RATES

US DOLLAR LIBOR: Latest settlements:

• O/N -0.00442 at 0.32729% (+0.00072/wk)
• 1 Month -0.01443 to 0.43757% (-0.00757/wk)
• 3 Month +0.00043 to 0.96200% (-0.02086/wk) ** Record Low 0.11413% on 9/12/21
• 6 Month +0.01928 to 1.48914% (+0.03800/wk)
• 1 Year +0.07014 to 2.17157% (+0.08286/wk)

STIR: FRBNY EFFR for prior session:

• Daily Effective Fed Funds Rate: 0.33% volume: $57B
• Daily Overnight Bank Funding Rate: 0.32% volume: $145B

US TSYS: Repo Reference Rates

• Secured Overnight Financing Rate (SOFR): 0.29%, $979B
• Broad General Collateral Rate (BGCR): 0.30%, $303B
• Tri-Party General Collateral Rate (TGCR): 0.30%, $288B
• (rate, volume levels reflect prior session)

FED Reverse Repo Operation, Usage Recedes on New Quarter

NY Fed reverse repo usage recedes to 1,666.063B w/ 77 counterparties from Thu's new year-to-date high of $1,871.970B. Compares to all-time high of $1,904.582B on Friday, December 31.

EURODOLLAR/SOFR/TREASURY OPTIONS SUMMARY

• Eurodollar options saw better volumes in 2- and 3Y midcurve puts as Reds through Greens (EDM3-EDH5) hammered -0.210-0.170 on the day as pricing of more aggressive rate hikes resume.
  • Salient trade includes 12,000 short Apr 96.75/96.87 put spreads and 10,000 short May 97.25 puts vs. 5,000 97.50 puts. In 3Y midcurves, paper bought 5,000 Green Jun/Sep 94.50 put strip, 84.0 covered
• Treasury options saw better two-way call trade as underlying futures managed to bounce off early session lows (still weaker by the close amid broad-based yield curve inversions.
  • Highlight trade included a buy of 25,000 TYK 122 calls, 49 vs. 121-25 followed by sale of -20,000 TYM 123 calls, 52 later in the session. Tsy 5Y call highlights included a scale buyer of over 42,000 FVK 114.5 calls, 20.5-23 and over 12,500 FVK 115.5 calls, 6.

• +5,000 Green Jun/Sep 94.50 put strip, 84.0 covered
• 2,500 short Apr 9656 puts, 5.5
• Block, -20,000 Jun 98.37 combo, 0.25 vs. 98.375/1.08%
• Overnight trade
• 12,000 short Apr 96.75/96.87 put spds
• 7,000 short May 97.25 puts vs. 4,000 97.50 puts
• 2,500 Green Apr 96.87/97.00 put spds
• 4,000 short Apr 96.87 calls
• 2,000 Dec 97.00/Red Jun 95.87 put spds

• update, over 42,000 FVK 114.5 calls, 20.5-23
• over 12,500 FVK 115.5 calls, 6
• -20,000 TYM 123 calls, 52
• 2,500 TYK 124.25/124.75 call spds
• 3,000 TYM 125 calls, 19
• +10,000 FVK 115.5 calls, 6
• +10,000 TYK 122 calls, 49 vs. 121-25, total volume >25k
• -7,000 FVK 113.5 puts, 27-27.5
• Overnight trade
• 20,500 FVK 113.75 puts mostly 27.5-28.5 w/8k blocked 23-26
• 13,500 wk1 5Y 114.75 calls, 2.5
• 2,500 TYK 120.5 puts, 20
• 2,500 TYK 119/120 put spds, 7
• 2,000 TYK 119.5/120/121 put flys

EGBs-GILTS CASH CLOSE: Yields Fade Late

German and UK yields faded lower toward the end of Friday's session, reversing most of the morning's initial rise. European curves flattened in sympathy with their US counterparts.

• The US employment report was the most anticipated event of the session but came in almost exactly in line with survey.
• Spanish and Italian PMIs came in weaker than expected; Eurozone inflation beat stale expectations, little discernable market reaction.
• Periphery spreads widened; BTPs underperformed.

Closing Yields / 10-Yr Periphery EGB Spreads To Germany

• Germany: The 2-Yr yield is up 0.6bps at -0.068%, 5-Yr is up 0.3bps at 0.378%, 10-Yr is up 0.7bps at 0.555%, and 30-Yr is up 0.6bps at 0.672%.
• UK: The 2-Yr yield is up 2.2bps at 1.374%, 5-Yr is up 1.2bps at 1.417%, 10-Yr is down 0.2bps at 1.608%, and 30-Yr is down 2.6bps at 1.737%.
• Italian BTP spread up 4.7bps at 153.8bps / Spanish up 2.9bps at 91.7bps

FOREX: USDJPY Set To Post Fourth Consecutive Week Of Gains

• The week’s price action was centred around volatility in the Japanese Yen. Following USDJPY’s multi-year high print above the 125 handle, a sharp retracement ensued, resulting in a near 400 pip weekly range.
• With gains of 0.75% on Friday, the pair looks set to post its fourth consecutive week of gains and close around 122.60 with initial support now established at 121.28. On the upside, initial resistance is seen at 123.20, the Mar 30 high with the bull trigger unchanged at 125.09.
• US NFP data did little to move the dial in the currency space, with the greenback extending its recovery off the Wednesday lows. The dollar index gained 0.3% on Friday and looks set to post very minor losses for the week.
• AUD displayed clear outperformance, rising a quarter of a percent against the dollar. Breaching back above $0.7500, the pair has narrowed the gap with the cycle high at 0.7540 printed on Mar28. Progress through here opens 0.7556, the Oct 28 High and a key resistance.
• A quiet data day on Monday, however there may be comments from BoE’s Bailey on Monday, before the RBA meeting/decision on Tuesday. China observes holidays on Monday and Tuesday.
• In the US, ISM Services data is scheduled for Tuesday before the FOMC minutes will be released on Wednesday. Currency markets remain on watch for any further steps toward a ceasefire made at new negotiations between Russian and Ukrainian representatives.

FX: Expiries for Apr04 NY cut 1000ET (Source DTCC)

• EUR/USD: $1.0800(E1.2bln), $1.0865-75(E574mln), $1.1000-10(E1.1bln), $1.1100(E725mln)
• USD/JPY: Y122.50($509mln), Y123.50-60($799mln)
• EUR/GBP: Gbp0.8390-00(E611mln), Gbp0.8460(E793mln), Gbp0.8570-75(E611mln)
• USD/CNY: Cny6.3800($525mln)

EQUITIES: Late Equity Roundup: Off Lows, DJIA Mildly Higher

Stock indexes trading mixed after the FI close, off midday lows to near middle of the session range. S&P eminis trading -12.5 (-0.28%) at 4518 -- ESM2 well above key support of 4440.90 50-day EMA.

• A clear break of this average would be seen as a bearish development with the next key support at 4320.25 Low Mar 17. Dow currently trades +25.86 (0.07%) at 34704.77, and Nasdaq -42.8 (-0.3%) at 14177.83.
• New month/quarter underway -- early risk on as month-end rebalance buying in Tsys evaporated. March jobs data in-line (+431k w/Feb uprevised to +750k). While Tsys climbed off midmorning lows, they remain weaker, huge 5Y Block sale on the bell anchoring the short end (-21,577 FVM 114-00.75, -21.25; 113-31 last, -23).
• Broad based yield inversion (recession signal despite recent Fed talk) continues to weigh w/ 2s10s falling to -7.853 inverted low, 5s30s -12.857L.
• SPX leading/lagging sectors: Real Estate extends gains (+1.65%) followed by Utilities (+1.14%) and Consumer Staples (+1.03%). Laggers: Industrials off earlier lows (-0.77 weighed down air freight, road and rail sectors on recession concerns
• Dow Industrials Leaders/Laggers: Visa (V) holds strong +4.35 at 226.12 while Home Depot (HD) extends bounce (+3.57 at 302.90) after weeks of selling pushed it to lowest levels since Mar 2021.Caterpillar (CAT -2.47 at 220.35, while Intel (INTC) displaces earlier lagger Boeing (BA), -1.61 at 47.95.

• RES 4: 4730.50 High Jan 1
• RES 3: 4663.50 High Jan 18
• RES 2: 4578.50 High Feb 9 and a key resistance
• RES 1: 4633.44 76.4% retracement of the Jan 4 - Feb 24 downleg
• PRICE: 4526.50 1420ET Apr 1
• SUP 1: 4440.90 50-day EMA
• SUP 2: 4320.25 Low Mar 17
• SUP 3: 4129.50/4094.25 Low Mar 15 / Low Feb 24 and a bear trigger
• SUP 4: 4055.60 Low May 19 2021 (cont)

The S&P E-Minis outlook remains bullish and the recent pullback is considered corrective. Bullish conditions have been reinforced by the recent break of both the 20- and 50-day EMAs. Furthermore, resistance at 4578.50, Feb 9 high has been cleared. The break opens 4663.50, Jan 18 high. Initial firm support is at 4440.90, the 50-day EMA. A clear break of this average would be seen as a bearish development.

COMMODITIES: WTI Dips On IEA Agreement, But Only In Front Contracts

• Oil prices have been mixed today, with WTI slipping further but Brent largely unchanged on the day as IEA Nations agreed to join Biden’s oil release. Biden says allies may release 30-50million barrels but precise timings and volumes will be agreed within a week.
• European natural gas prices meanwhile fell back heavily (-14%) as immediate supply disruption fears eased although there could still be significant disruption ahead.
• WTI is -0.8% at $99.5. It earlier cleared the Mar 29 low of $98.44, leaving next support at the 50-day EMA of $97.30 whilst resistance is the Mar 30 high of $108.75.
• The additional release of oil reserves sees the decline in prices concentrated in the front contract, with increases further out.
• Brent is unch % at $104.7, having got close to support at $102.19 (Mar 29 low).
• Gold is -0.7% at $1924.5 as Treasury yields and the dollar increased after a solid payrolls report that whilst largely in line with consensus, removes one hurdle for the Fed going ahead with a 50bp hike in May. Support remains the bear trigger of $1890.2 (Mar 29 low) whilst resistance is seen at $1966.1 (Mar 24 high).

Monday Data Calendar

Date	GMT/Local	Impact	Flag	Country	Event
04/04/2022	0600/0200	*		TR	Turkey CPI
04/04/2022	0600/0800	**		DE	trade balance
04/04/2022	0830/0930			UK	BOE Mann Speech at Resolution Foundation on Economic Outlooks
04/04/2022	0905/1005			UK	BOE Bailey Speech at Stop Scams Conference
04/04/2022	1400/1000	**		US	factory new orders
04/04/2022	1400/1500			UK	BOE Cunliffe at European Economics & Financial Centre Seminar
04/04/2022	1430/1030	**		CA	BOC Business Outlook Survey
04/04/2022	1530/1130	*		US	US Treasury Auction Result for 13 Week Bill
04/04/2022	1530/1130	*		US	US Treasury Auction Result for 26 Week Bill