MEXICO: Consumer Prices Rise 0.27% M/M (Est: +0.28%) in July

• A Chinese government rural affairs analyst looks at pork prices, a key component of inflation -- On MNI Policy MainWire now, for more details please contact sales@marketnews.com

Two-way SOFR & Treasury option flow leaned toward puts overnight, modest volumes with few exceptions: large Aug'25 5Y put sale during London hours. Underlying futures remain under pressure following Mon's tariff related move (TYU5 back at June 20 lvls), curves steeper with the short end outperforming. Projected rate cut pricing largely steady vs late Monday (*) levels: Jul'25 steady at -1.2bp, Sep'25 steady at -17bp, Oct'25 at -31.7bp (-32.2bp), Dec'25 steady at -49.9bp.

• SOFR Options:
  • 3,000 SFRU5 95.62/95.75 put spds ref 95.86
  • 8,900 SFRZ5 96.25/96.50 call spds, 6.0 ref 96.15
  • +2,250 SFRZ5 95.50/96.00 put spds vs. 97.00/97.50 call spds, 8.0 net ref 96.155/0.38%
• Treasury Options:
  • -3,000 TYQ5 110/112 call over risk reversals, 7
  • -20,000 FVQ5 108 puts, 15 vs. 108-05.25/0.41%
  • -1,700 TYU5 109 puts, 15
  • +1,500 TYU5 109/110 put spds 2 over 113 calls ref 110-28
  • over 4,000 TYV5 104 puts, ref 110-24.5

New 7-year Dec-32 EU-bond

• Size: E5bln (bottom of the E5-7bln range we expected)
• Books closed in excess of E69bln (inc E7.55bln JLM interest)
• Spread set earlier: MS + 35bps (guidance was MS + 37bps area)
• HR: 105% vs 1.70% Aug-32 Bund
• Coupon: Short first coupon
• Maturity: 13 December 2032
• ISIN: EU000A4ED0K0

3.75% Oct-45 EU-bond tap:

• Size: E4bln up from original E3bln guidance (MNI expected E3-5bln)
• Books closed in excess of E69bln (inc E7.9bln JLM interest)
• Spread set earlier: MS + 95bps (guidance was MS + 97bps area
• HR 102% vs 2.50% Jul-44 Bund
• ISIN: EU000A4EA8Y7 (immediately fungible)

For both:

• Settlement: 15 July 2025 (T+5)
• JLMs: BNP Paribas, Citi, Deutsche Bank (DM/B&D), J.P. Morgan, Nomura
• Timing: Hedge headline 13:05BST / 14:05CET

From market source