HYBRIDS: Hybrids: Week in Review

• Secured Overnight Financing Rate (SOFR): 3.69% (-0.06), volume: $3.319T
• Broad General Collateral Rate (BGCR): 3.64% (-0.09), volume: $1.336T
• Tri-Party General Collateral Rate (TCR): 3.64% (-0.09), volume: $1.296T
• (rate, volume levels reflect prior session)

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Executive summary:

• President Donald Trump confirmed via a Truth Social post that he will deliver an address to the nation this evening at 21:00 ET 02:00 GMT. White House Press Secretary Karoline Leavitt fleshed out what the president is likely to talk about in the address, saying to reporters that “He’s going to talk a lot about the accomplishments over the past 11 months...”, as well as his plans to “continue delivering for the American people over the next three years.”
• The ratcheting-up of tensions with Venezuela continued on 16 December, when Trump formally designated the country’s government as a ‘foreign terrorist organisation’ and ordered all US-sanctioned oil tankers servicing Venezuela to be blockaded.
• The president is set to interview Federal Reserve Board of Governors member Christopher Waller later today for the position of Fed chair. This comes after Trump has already interviewed former Fed governor Kevin Warsh, who is viewed as one of the two front-runners alongside Director of the National Economic Council Kevin Hassett.
• Poll of the Day: A Marist poll for NPR/PBS News shows that prices and inflation remain by a significant margin the single most important economic issue concerning Americans at present.

FI Option desks reported mixed SOFR & Treasury trade overnight, continued interest in high-strike Jan'26 10Y calls. Underlying futures weaker - near lows at the moment while projected rate cut pricing recedes vs. late Tuesday levels (*): Jan'26 at -5.5bp (-6.1bp), Mar'26 at -14.4bp (-15.2bp), Apr'26 at -20.5bp (-21.6bp), Jun'26 at -33.7bp (-36.1bp).

• SOFR Options:
  • over 12,500 SFRF6 96.62 calls, 1.75 last
  • 8,476 SFRF6 96.50/96.56/96.81 broken call trees
  • Block, 2,500 0QG6 96.68/96.81/96.87/96.93 put condors ref 96.87
  • over 4,000 SFRH6 96.25/96.37/96.43/96.50 broken put condors
  • 1,500 SFRH6 96.56 calls ref 96.465
  • +2,500 SFRU6 97.00/97.25/97.50 call flys, 2.25 ref 96.83
• Treasury Options:
  • -5,000 wk3 TY 112.75/113.25/113.5 broken call fly seller, 2
  • +5,000 TYF6 113.5 calls, 3 ref 112-11
  • +2,500 TYG6 114 calls, 10
  • -2,500 TYF6 111.25/112.75 put spds, 26
  • +1,500 TYF6 112/112.5 2x1 put spds, 7 ref 112-11.5
  • +1,500 TYG6 113/114.5 call spds, 17 ref 112-12
  • over 5,300 TYF6 113 calls, 6 (large buyers in low delta calls over last week)
  • over +12,300 TYF6 113.5 calls, 2-3
  • +3,000 TYF6 110.5 puts, cab-7
  • 2,500 TYF6 112.25 puts, 12 ref 112-13