EU TRANSPORTATION: Air France-KLM: FINAL

• Secured Overnight Financing Rate (SOFR): 4.36% (+0.00), volume: $2.783T
• Broad General Collateral Rate (BGCR): 4.35% (+0.00), volume: $1.142T
• Tri-Party General Collateral Rate (TCR): 4.35% (+0.00), volume: $1.101T
• (rate, volume levels reflect prior session)

• GBP1.250bln have been on offer.
• This leaves GBP42.042bln of the gilt in issue.

Option desks report better upside call trade in SOFR & Treasury options overnight, much better SOFR volumes as they segue from earlier put interest. Underlying futures firmer, projected rate cut pricing mostly steady vs. late Monday (*) levels: Jul'25 at -0.8bp, Sep'25 at -16.6bp (-17.4bp), Oct'25 at -28.1bp (-28.2bp), Dec'25 at -44.4bp (-44.5bp). Year end projection well off early July level of appr -65.0bp.

• SOFR OPTIONS
  • Block, 20,000 SFRZ5 96.25/96.50/96.75/97.00 call condors, 3.25 ref 96.075
  • Block, 5,000 SFRQ5 95.81/95.93/96.00 broken call flys, 3.75 ref 95.84
  • 1,500 SFRZ5 95.25/95.62/95.75 broken put flys ref 96.075
  • 9,200 SFRZ5 96.25/96.50/96.75/97.00 call condors ref 96.05
  • 2,000 SFRZ5 96.25/0QZ5 97.18 call spds, 0.5 
  • +10,300 SFRQ5 95.87/95.93 call spds, 1.25 vs. 95.835/0.15%
  • Block, 2,500 SFRV5 96.18/96.43 call spds, 4.75 ref 96.07
  • 3,000 SFRU5 96.62/97.25 2x1 put spds, 6.5 ref 96.655
  • 2,000 SFRH6 95.87/96.25 2x1 put spds over 96.87/97.12 call spds ref 96.28
  • 9,000 SFRV5 96.25/96.31 put spds over 96.50/96.75 call spds, 3.5 net ref 96.07
  • +1,200 SFRU5 96.00/96.18, 1.0
  • 1,250 SFRU5 95.68/95.75/95.81 put flys, 0.75 ref 95.835
  • +1,300 0QV5 96.31 puts, 3.0
• Treasury Options
  • 12,000 TUV5 104.12/104.37 call spds ref 103-25.62
  • +1,500 wk2 TY 107.75/108.75 put over risk reversals, 0.5 net
  • 2,450 TYU5 112/113 call spds, 8 ref 110-25
  • 1,000 TUU5 103.75/104.12 call spds, 4.5 vs. 103-18.87/0.20%