US TSY FUTURES: Paring Gains Ahead NY Open

Morgan Stanley the first bank to issue new debt upon exiting earning blackout.

• Date $MM Issuer (Priced *, Launch #)
• 04/14 $Benchmark Morgan Stanley 4NC3 +130a, 4NC3 SOFR, 6NC5 +135a, 6NC5 SOFR, 11NC10 +145a
• 04/11 - No new corporate bond issuance Friday, tariff-tied uncertainty keeping issuers on the sidelines, only $16.6B issued in April so far.

• Secured Overnight Financing Rate (SOFR): 4.33% (-0.04), volume: $2.584T
• Broad General Collateral Rate (BGCR): 4.32% (-0.04), volume: $1.046T
• Tri-Party General Collateral Rate (TCR): 4.32% (-0.04), volume: $1.007T
• (rate, volume levels reflect prior session)

Option desks reported mixed SOFR & Treasury option flow overnight, modest volumes at the start of the shortened pre-Easter holiday week. Underlying futures firmer, off early overnight lows, notable spread in SOFR: large fly: +20,000 SFRH7/SFRM7/SFRU7, 0.0 net. Little change in projected rate hike pricing: current levels vs. late Friday  (*) as follows: May'25 at -5.7bp (-6bp), Jun'25 at -21.6bp (-22.2bp), Jul'25 at -39.4bp (-40.1bp), Sep'25 -55.8bp (-54.8bp).

• SOFR Options:
  • 3,000 0QQ5 97.00/97.50/98.00 call flys ref 96.655
  • 1,500 0QM5 97.00/97.25 call spds ref 96.655
  • 3,000 SFRM5 95.81/0QM5 96.12 put spds
  • 5,000 SFRU5 95.62/96.06 put spds ref 96.25
• Treasury Options: 
  • 8,000 TYM5 111/113 call spds, 24 ref 110-03
  • over 11,800 TYK5 110 puts, wide range from 49 to 38 last
  • over 15,300 TYK5 111 calls, 18 ref 110-05
  • -7,000 TYK5 106.75 puts, 3-2 ref 109-31.5
  • 3,000 USK5 109/112 put spds
  • 4,000 FVM5 108/108.5/109/110 broken call condors ref 107-17
  • 4,500 FVM5 106 puts, 18 last
  • 2,000 Mon wkly 111/112 call spds