EM LATAM CREDIT: Brazil: Inflation

SOFR & Treasury options see moderate volumes overnight, trade relatively mixed compared to better upside SOFR calls the last couple sessions. Underlying futures weaker, near recent lows. Curves bear steepen (2s10s +3.802 at 50.527) while projected rate cut pricing largely steady vs. late Tuesday levels (*): Jul'25 at -5.2bp (-4.7bp), Sep'25 at -25.8bp (-25.3bp), Oct'25 steady at -41.2bp, Dec'25 at -59.7bp (-59.6bp).

• SOFR Options:
  • Block, 2,500 2QN5 96.68/96.93/97.18 call flys, 0.75 ref 96.775
  • 2,500 0QN5 97.12/97.18 call spds vs. 96.12/96.37 put spds ref 96.82
  • 2,000 SFRH6 98.50 calls, 2.5
  • 2,000 SFRZ5 95.68/SFRU6 96.12 put spds
  • +2,000 SFRQ5 95.93/96.06 call spds, 4.0 vs. 95.965/0.17%
  • 3,200 SFRU5 95.62/95.75 put spds, 2.5 ref 95.96
• Treasury Options:
  • 8,500 TUQ5 105/106.5 1x2 call spds ref 103-27.75
  • +1,700 TYQ5 108/109.5 2x1 put spds, 3 ref 111-19.5
  • +5,000 TYU5 107/108 put spds, 4 ref 111-14/0.04%
  • +1,500 TYQ5 112.5/114.5 call spds, 21 vs. 111-21/0.23%
  • 1,370 wk4 TU 103.62/103.75/103.87/104 call condors, exp 6/27
  • 4,300 TYQ5 113 calls ref 111-23.5
  • 3,000 TYQ5 111.5 calls

• GBP812.5mln have been on offer.
• This leaves GBP27.364bln of the gilt in issue.

• Secured Overnight Financing Rate (SOFR): 4.30% (+0.01), volume: $2.733T
• Broad General Collateral Rate (BGCR): 4.28% (+0.01), volume: $1.088T
• Tri-Party General Collateral Rate (TCR): 4.28% (+0.01), volume: $1.066T
• (rate, volume levels reflect prior session)