BELGIUM T-BILL AUCTION PREVIEW: On offer next week

• Secured Overnight Financing Rate (SOFR): 4.40% (+0.07), volume: $2.658T
• Broad General Collateral Rate (BGCR): 4.37% (+0.06), volume: $1.062T
• Tri-Party General Collateral Rate (TCR): 4.37% (+0.06), volume: $1.020T
• (rate, volume levels reflect prior session)

SOFR & Treasury option flow centered around upside calls overnight, modest volumes so far as desks evaluate China's latest response to US raising levy to 104% yesterday with 84% tariff on US imports this morning. Underlying futures under pressure (10Y yield at 4.4367% at the moment), curves steeper but off overnight highs (2s10s currently +7.319 at 63.432 vs. 73.847 high). Projected rate cuts through mid-2025 have consolidated slightly vs. late Tuesday's levels - still pricing in a full point by year end, however. Current levels vs. late Tuesday (*) as follows: May'25 at -13.4bp (-14bp), Jun'25 at -37.9bp (-38.2bp), Jul'25 at -61.4bp (-61.6bp), Sep'25 -78.4bp (-79.3bp).

• SOFR Options:
  • Block, 3,000 SFRU5 97.50/98.50 2x3 call spds, 10.5 ref 96.50
  • 2,000 SFRH6 94.62/95.62 put spds ref 96.825
  • 2,000 SFRM5 95.75/95.93/96.18/96.38 call condors ref 96.12
  • over 8,100 SFRJ5 96.00 calls, 18.0 last ref 96.115
  • 4,500 SFRU5 96.50/97.00 call spds ref 96.435
  • 2,000 0QK5/2QK5 97.25 call spds
  • 2,000 SFRM5 96.75/97.50 call spds vs. 2QM5 97.50/98.25 call spds
  • 2,000 SFRM5 95.75/95.81/95.88 put trees ref 96.085
  • Block/screen, 13,000 SFRM5 96.50/97.25 call spds ref 96.125
  • Block, 5,000 SFRK5 95.81/95.93/96.00/96.06 broken call condors, 5.0 ref 96.155
  • Block, 4,000 SFRM5 95.62 puts, 1.0 ref 96.18
• Treasury Options:
  • 3,500 FVM5 110.5/111 call spds ref 108-07
  • 2,000 FVK5 106.25/106.5/107/107.25 put condors ref 108-04.25
  • 2,000 wk3 TY 110.75/112 strangles ref 110-22 (exp 4/17)
  • over 4,600 TYM5 112 calls, 60 ref 110-24
  • over 10,300 USK5 113 puts, 143 last
  • over 11,000 USK5 116 calls, 131 last
  • 5,200 USK5 117/120 call spds, 25 ref 114-12 to -11
  • over 6,000 TYM5 112.5 calls, 50 last ref 110-30.5 to -31
  • 1,000 TYK5 112.5/113.5/114.5/116.5 broken call condors ref 110-27
  • 1,300 FVM5 107/107.5 put spds, 13 ref 108-08
  • 2,500 TYK5 112/113 call spds ref 110-26

• GBP1.125bln have been on offer.
• This leaves GBP18.335bln of the gilt in issue.