US TSYS: Early SOFR/Treasury Option Roundup: Projected Cuts Cooling
Sep-19 12:04
SOFR & Treasury option flow looked mixed overnight: Treasury calls and SOFR puts on modest volumes. Underlying futures extending lows ahead the NY open, TYZ5 back to September 4 levels. Projected rate cut pricing recedes slightly from late Thursday levels (*): Oct'25 at -22.9bp (-23.1bp), Dec'25 at -44.4bp (-45bp), Jan'26 at -56bp (-57.2bp), Mar'26 at -69.1bp (-70.9bp).
- SOFR Options:
- 2,500 0QZ5 96.68/96.93/97.18 call flys ref 96.99
- +2,800 2QZ5 96.37/96.50 put spds, 1.5 ref 96.895
- +3,000 SFRX5 96.12/96.31/96.43 broken put flys, 1.75 vs. 96.31/0.05%
- +12,500 3QZ5 95.87/96.25 put spds, 2.5 ref 96.70
- Treasury Options:
- -1,500 TYX5 114 calls, 16
- -3,000 wk2 TY 113 calls, 30 ref 112-28/0.46% (exp 10/10)
- +2,500 TYV 113.25 calls, 9 vs. 112-28.5/0.30%
- over 4,100 USV5 115 puts, 8 last
- -5,000 wk3 FV 109.5 puts, 5-4.5
- 2,200 TYX5 114 calls, 16 ref 112-25
- 5,000 TUZ5 105.25 calls, ref 104-09.88
- +1,500 USX5 118/121 call spds, 35 ref 116-11
- +1,800 TYV5 112 puts, 3 vs. 112-25/0.10%
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STIR: Repo Reference Rates
Aug-20 12:03
- Secured Overnight Financing Rate (SOFR): 4.33% (-0.01), volume: $2.760T
- Broad General Collateral Rate (BGCR): 4.31% (-0.02), volume: $1.144T
- Tri-Party General Collateral Rate (TCR): 4.31% (-0.02), volume: $1.118T
- (rate, volume levels reflect prior session)
US TSY FUTURES: September'25-December'25 Roll Update
Aug-20 11:59
Latest Tsy quarterly futures roll volumes from September'25 to December'25 below. Pace is rising slowly ahead the "First Notice" date on August 29. Current roll details:
- TUU5/TUZ5 appr 88,900 from -8.12 to -7.88, -8.0 last; 6% complete
- FVU5/FVZ5 appr 32,700 from -5.0 to -4.5, -4.75 last; 10% complete
- TYU5/TYZ5 appr 28,700 from -0.5 to +0.0, -0.25 last; 5% complete
- UXYU5/UXYZ5 under 6,900 from 0.5 to 1.0, 0.5 last; 3% complete
- USU5/USZ5 appr 500 from 13.25 to 13.75, 13.25 last; 8% complete
- WNU5/WNZ5 appr 3,600 from 8.0 to 8.5, 8.25 last; 4% complete
- Reminder, Sep futures don't expire until next month: 10s, 30s and Ultras on September 22, 2s and 5s on September 30. Meanwhile, Sep'25 Tsy options will expire this Friday, August 22.
EGB SYNDICATION: Finland New 7-year Apr-32 RFGB: Allocations
Aug-20 11:56
- HR: 110% vs 0% Feb-32 Bund
- Spread set earlier at MS + 29bp (guidance was MS + 31bps area)
- Size: E4bln (MNI expected E3bln but noted upsizing to E4bln was possible)
- Books in excess of E33bln (inc E2.25bln JLM interest)
- Maturity: 15 April 2032
- Coupon: Short first
- Settlement: 28 August 2025 (T+6)
- ISIN: FI4000591862
- Bookrunners: Barclays (DM/B&D) / Bofa Securities / Danske Bank / Deutsche Bank / J.P. Morgan
- Timing: Hedge deadline is 13:00 UKT / 14:00 CET
From market source / MNI colour
