US: Trump To Speak At White House w/Inter Miami Soccer Team Shortly

SOFR & Treasury options continued to rotate around downside puts Tuesday, upside call unwinds while underlying futures look mildly mixed after the bell, off lows, curves twisting flatter (2s10s -.382 at 69.993) with the short end underperforming. Projected rate cut pricing cools vs. late Monday levels (*): Mar'26 at -2.2bp (-3bp), Apr'26 at -6.4bp (-6.9bp), Jun'26 at -17.9bp (-18.4bp), Jul'26 at -25.9bp (-26.9bp).

• SOFR Options:
  • +8,000 SFRM6 96.43/96.56/96.62/96.75 call condors, 4.0
  • +40,785 2QG6 96.43/96.50 put spds, 1.5 vs. 96.56/0.13% (expires in 10 day)
  • over 4,300 SFRH7 98.5 calls, 2.5 ref 96.75
  • over 6,200 SFRU6 100 calls ref 96.70
  • 2,000 2QH6 96.75 calls ref 96.575
  • -2,500 SFRJ6 96.43/96.62 call over risk reversals
  • 1,250 SFRH6 96.37/96.43/96.50 put flys, 0.25
  • 1,500 SFRJ6 96.43/96.50 3x2 put spds ref 96.52
  • +1,500 SFRH6 96.43/96.50/96.56/96.62 put condors, 0.5 ref 96.36
  • +2,000 SFRM6 96.43/96.56 2x1 put spds, 1.75
  • 1,250 SFRU6 96.31/96.62 put spds ref 96.695
• Treasury Options:
  • 2,000 TYJ6 110/112.5 strangles, ref 111-10.5
  • -16,000 USJ6 121 calls, 9 ref 114-13 (after paper -14.2k USJ6 120 calls)
  • 2,000 TYH6 110.75/111/111.5 broken put trees
  • 1,500 FVJ6 108/109.25 strangles, 108-19
  • 2,000 TYH6 111.5 puts, 23 (total volume over 16.5k)
  • over 9,500 TYH6 113 calls, 4 ref 111-19.5 to -16.5
  • -10,000 USJ6 120 calls, 12 vs. 113-27/0.06%
  • 4,000 TYJ6 111/111.5 call spds ref 111-11
  • +1,000 TYH6 111.5 straddles, 47
  • 2,500 FVJ6 108 puts, 12-12.5 ref 108-21.25
  • over 10,500 USJ6 109/111 put spds, 21 ref 113-30
  • over -8,100 TYH6 111.25 puts, 14 vs. 111-18.5/0.35%
  • +4,400 TYH6 111 puts, 10 ref 111-17.5
  • +5,000 TYH6 111.5 puts, 22

• US Treasuries look mildly mixed after the bell, off lows, curves twisting flatter (2s10s -.382 at 69.993) with the short end underperforming.
• The House approved latest funding package - sending bill to Pres Trump for signing, ending latest government shutdown.
• This morning's JOLTS data delayed due to the Gov shutdown, Friday's employment report will still be delayed until Monday earliest. However, both US ADP and ISM Services are scheduled on Wednesday’s calendar.
• TYH6 currently +1 at 111-20, next important resistance to watch is 112-07+, the 50-day EMA. A clear break of the 50-day average is required to signal scope for a stronger recovery.
• Despite a moderate dip for the dollar, the DXY is broadly consolidating the bounce from last week’s lows, which has helped USDJPY maintain a resilient profile over most of the session. The pair briefly rose to a fresh recovery high of 156.08 before fading in late US trade.
• Look ahead, S&P Global Japan PMI Composite/Services data at 1930ET, RatingDog China Composite PMI Output expected 2045ET.

Analyst views on Treasury Refunding in alphabetical order of institution, including their expected timing for the next nominal coupon auction size change:

• CIBC: “we may see a shortening of the 20yr WI period (33% chance), a step toward issuing only one new 7yr per quarter (with two reopenings), and a step towards issuing SOFR floaters. We see almost no chance of exchange buybacks, where off-the-runs would be exchanged for the nearest on-therun (increasing the outstanding size of that on-the-run). We think it is extremely unlikely that we see any change in the distribution of issuance across the curve.” Next nominal coupon auction size change: February 2027.
• Danske: “With the US Treasury ramping up reserve purchases at the start of the year, we no  longer expect the Quarterly Refunding Announcement (QRA) to reveal any changes to nominal coupon auction sizes in the first half of 2026...Bessent could use the improved near-term deficit outlook given the reserve management purchases to cut or halt the issuance in the long end (20-30Y segment). This is not our baseline expectation, but something increasingly worth following.” Next nominal coupon auction size change: 2nd half of 2026
• Deutsche: “The last three QRAs have produced higher yields and tighter swap spreads, which suggests market disappointment with Treasury’s announcements, although the moves were mostly short lived. In part of what has been driving this outcome is what we view as quite extreme expectations for Treasury to take drastic policy measures, for example announcing an outright move to shorten the weighted average maturity of its debt or to slash long-end coupon issuance. We view these options as incompatible with Treasury’s longstanding debt management approach, which is long-term focused and based on being regular and predictable.”  Next nominal coupon auction size change: November 2026
• Goldman Sachs: “Despite episodic volatility on the back of policy and geopolitical headlines, the broader backdrop of low vol, compressed dispersion, and wider swap spreads suggests little issues around supply absorption. While the administration’s focus on affordability measures has brought back questions about potential efforts to lower borrowing costs via more active adjustments to the issuance mix, we do not expect Treasury to do so at this point.” Next nominal coupon auction size change: November 2026
• JPMorgan: “We think it’s unlikely Treasury would consider cuts to long-end sizes at the upcoming refunding: it would be a significant pivot from last quarter’s guidance and thus would not be consistent with a “regular and predictable” approach to debt management.” Next nominal coupon auction size change: February 2027 (changed from Nov 2026 previously)
• Morgan Stanley: “we see Treasury upholding its "regular and predictable" mantra, rather than cutting coupons to opportunistically lower mortgage rates. Deficit progress and Fed bill purchases skew the risk to coupons remaining stable beyond February 2027.”
• TD: “the emergent risks since the previous refunding (in order of likelihood) are: 1) later auction size increases; 2) later auction size increases only in the 2-5y part of the curve; 3) no auction size increases; 4) auction size cuts in the 20s and 30s financed with more bills. The language around the forward guidance at the February refunding announcement will likely help us answer some of those questions”. Next nominal coupon auction size change: “Coupon auction size cuts in the long-end are still possible, but our base case remains that auctions begin to grow in late-2026.”
• Wells Fargo: “We do not expect any major surprises from the U.S. Treasury at next Wednesday's Treasury refunding announcement…Over the past three months, there have been no major changes to the outlook that would lead us to believe coupon auction size increases are coming earlier.” Next nominal coupon auction size change: February 2027