BRAZIL: Unemployment Rate Rises To 7.0% In March, As Expected

Bund futures operate off session lows ahead of the German nation CPI reading, last 129.15.

• If the data comes in the soft side it is worth remembering that session highs in futures are located at 129.59, with the March 5 low in 10-Year yields located at 2.654% (today’s low is 2.659%).
• If we get an upside surprise in inflation then bears will look to close opening gaps in Bund futures (128.91) and 10-Year yields (2.727%).

• Size: E5bln
• Final Spread set earlier: MS+30bps (guidance was MS+32bps area)
• Books closed in excess of E19.5bln (ex JLM interest)
• Hedge ratio 99% vs 2.40% Apr-30 Bobl
• Maturity: 07-May-2030
• Settlement: 07-Apr-2025 (T+5)
• Coupon: Long first to 07-May-2026
• Bookrunners:    CITI/CACIB(DM/B&D)/SG
• ISIN: EU000A2SCAT6
• Timing: Hedge deadline 13:05BST, pricing to follow.

SOFR and Treasury option trade was a little more mixed overnight but still leaning toward low delta/upside calls. Underlying futures add to Friday's rally, Jun'25 10Y futures marks 111-22.5 high (March 11 lvls), resistance above at 112-01 (High Mar 4 and a bull trigger). Meanwhile, curves are steeper near levels since early Jan'22 (5s30s 67.406 high). Projected rate cuts through mid-2025 adding to late Fri levels (*) as follows: May'25 at -6bp (-5.2bp), Jun'25 at -23.6bp (-21.8bp), Jul'25 at -40.6bp (-36.5bp), Sep'25 -58bp (-52bp).

• SOFR Options:
  • 4,000 0QM5 97.00/97.50 call spds, 7.5 ref 96.62
  • 2,000 0QJ5 96.37/96.50 3x2 put spds ref 96.62
  • Block/screen, 10,000 SFRU5/SFRZ5 95.68/95.81 put spd spds, 0.0
  • Block, 5,000 SFRZ5 96.25/96.50/96.75/97.00 call condors, 4.5 ref 96.435
  • 2,000 2QM5 95.62/95.75/95.93 put flys ref 96.60
  • Block, 5,000 SFRU5/SFRZ5 95.62/95.87 put spd spds, 0.0
  • Block, 6,000 SFRM5 96.25/96.50 call spds, 2.0 ref 95.955
  • Block 5,000 SFRZ5 96.25/96.50/96.75 call trees, 13.0
  • 3,000 0QK5 95.75/95.87/96.00/96.12 put condors ref 96.635
  • 1,900 SFRN5 95.56/95.62/95.68 put flys ref 96.245
• Treasury Options:
  • over 4,400 TYK5 110.5 puts, 21 last ref 111-19
  • 3,500 FVK5 108.25/109.25 call spds ref 108-14.5
  • 2,000 FVM5 110/111/112 call trees ref 108-13.75
  • 5,000 wk1 TY 110.5 puts, 6 ref 111-19
  • 12,000 TYK5 113.5/115 call spds ref 111-19 to -19.5
  • 1,750 TYK5 112/113 call spds ref 111-21.5
  • 3,000 FVM5 109.25/110 call spds, 10.5 ref 108-14.5
  • 8,000 TYK5 113/114.5 call spds, ref 111-14.5