US TSY FUTURES: BLOCK: Jun'26 30Y Ultra-Bond Buy

SOFR & Treasury option flow continued to revolve around low delta put structures - carry-over from Monday, underlying futures climbing (TYH6 testing resistance at 112-16), curves bull flattening (2s10s currently -1.835 at 69.447 vs. 71.504 high). Projected rate cut pricing slightly higher vs. late Monday levels (*): Mar'26 at -5.6bp (-4.7bp), Apr'26 at -11.1bp (-10.1bp), Jun'26 at -25.8bp (-24.8bp), Jul'26 at -35.1bp (-34.1bp).

• SOFR Options:
  • 3,000 SFRH6 96.37/96.43/96.50 put flys ref 96.395
  • +11,500 SFRM6/SFRZ6 96.31/96.43 put spd spd, 0.5 - flattener
  • 8,000 SFRG6 96.43/96.50 call spds ref 96.40
  • 4,000 0QM6 96.37/96.50 put spds
  • -5,000 SFRH6 96.37/96.50 put spds, 9.75 ref 96.40
  • -2,000 0QG6 96.62/96.87/97.12 2x3x1 put flys, 11.0 ref 96.885
  • +2,000 SFRZ6 97.00/97.25 call spds vs. 96.37 put, 3.0 ref 96.885
  • 0qm6 96.50/96.375 ps vs 96.83 7% seller 2s 4k 644am
• Treasury Options:
  • 8,000 FVH6 108.25/108.5/108.75 put flys ref 109-09
  • 6,000 Wednesday wkly 109 puts, 4 ref 109-07.25
  • 3,000 FVH6 109/109.25 call spds, 8 ref 109-06.75
  • over +33,500 FVH6 109 puts, 8.5 ref 109-06.25
  • 3,500 FVH6 109.25 calls, 13 ref 109-06.5
  • -3,000 TUJ6 104.37 puts, 10 vs 104-13.75/0.46%
  • +2,000 TYH6 111/112 put spds, 11 ref 112-09.5
  • +2,000 TYH6 112.5/112.75/113.25 broken call trees, 1.0 ref 112-04.5
  • +3,000 TYH6 112.25 straddles, 40 ref 112-10.5
  • -1,500 USK6 110 puts, 25 ref 115-11
  • -2,000 TYK6 113.5 calls, 26
  • over 7,800 TYH6 112 puts, 12 ref 112-08.5
  • over +10,000 USJ6 118/119 call spds, 11 vs. 115-31 to -22/0.06%
  • over 4,900 wk2 TY 111.75 puts, 4
  • over 6,900 wk2 TY 112.25 puts, 17-15
  • 2,000 wk2 TY 112.25 calls, 16

2.75% Dec-32 EU-bond

• Size: E6bln from E5bln guidance (MNI expected E4-5bln)
• Books closed in excess of E89bln (inc E4.9bln JLM interest)
• Spread set at MS + 17bp (guidance was MS +19bps area)
• HR 100% vs DBR 2 ½ 11/15/32 (DE000BU27014)

3.75% Oct-45 EU-bond

• Size: E5bln confirmed (MNI expected E4-5bln)
• Books in excess of E83bln (inc E4.5bln JLM interest)
• Spread set at MS + 70bp (guidance was MS +72bps area)
• HR 107% vs DBR 2 ½ 07/04/44 (DE0001135481)

For both:

• Bookrunners: Goldman Sachs Bank Europe SE, J.P. Morgan (DM / B&D), Natixis, NatWest and Nordea
• Settlement: 17 February 2026 (T+5)
• Timing: Hedge deadline 14:40 UK. Pricing to follow

From market source / MNI colour

Walt Disney returns to credit market after near 6 year absence. For reference, Disney issued $11B over 6 tranches on May 11 '20 ($1.5B 5Y +145, $1B 7Y +170, $2.5B 10Y +195, $1.75B 20Y +210, $2.75B 30Y +220 and $1.5B 40Y +240) after issuing $7B in September 2019. Rate locks and speculative selling helping keep lid on this morning's bid in rates, today's Disney issuance estimated at $7.5B:

• Date $MM Issuer (Priced *, Launch #)
• 02/10 $2.5B Bank of England 3Y +5
• 02/10 $750M #IADB 5Y SOFR+28
• 02/10 $Benchmark Cencora 3Y +80a, -5Y +90a, 7Y +100a, 10Y +105a, 30Y +115a
• 02/10 $Benchmark Walt Disney* 3Y +55a, 3Y SOFR, 5Y +65a, 10Y +85a
• 02/10 $Benchmark Alexandria Real Estate 10Y +140a
• 02/10 $Benchmark Pulte Group 5Y +90a, 10Y +115a
• 02/10 $Benchmark Sysco +5Y +95a, 10Y +110a
• 02/10 $500M Loews Corp 10Y +105a
• 02/10 $Benchmark Tyson 10Y +115a