US TSYS: Early SOFR/Treasury Option Roundup
Nov-18 13:06
Mixed SOFR options on decent volume overnight, Treasury option flow muted so far. Underlying futures weaker extending lows, curves bear steepening (2s10s +1.195 at 14.388; 5s30s +1.403 at 32.251). Projected rate cuts into early 2025 look largely steady vs. late Friday (*) : Dec'24 cumulative -14.6bp (-14.6bp), Jan'25 -22.6bp (-22.6bp), Mar'25 -37bp (-37.9bp), May'25 -44.2bp (-44.7bp).
- SOFR Options:
- 8,000 SFRZ4 95.56/95.62/95.68 call flys ref 95.547
- 11,000 SFRZ4 95.50 puts ref 95.547
- over 18,500 SFRZ4 95.50 calls
- over 28,000 SFRZ4 95.62 calls
- Block, -10,000 SFRH5 95.37/95.50/95.62 put trees, 1.0 net ref 95.785
- 10,000 SFRF5 95.37/95.50/95.63 put trees ref 95.785
- Block, 3,500 3QG5 95.75/95.87 put spds, 3.0 ref 96.18/0.07%
- Treasury Options:
- 2,800 TYZ 109/109.5 strangle vs. TYF5 108.5/109.5 strangles
- 2,300 FVZ4 106 puts vs. 106.5/107.25 call spds ref 106-13.25
- over 6,900 TYZ4 108.5 puts, 3-4 ref 109-10
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RATINGS: UK, Italy Affirmed by S&P; Scope Downgrades France
Oct-18 21:02
Recapping sovereign ratings actions today:
- S&P affirms Italy's Long-Term Local Currency Debt Rating at BBB, outlook remains stable
- S&P affirms the UK's Long-Term Local Currency Debt Rating at AA, outlook remains stable
- Scope downgraded France to AA- (from AA) with a stable outlook
- S&P did not affirm/update the ratings of Greece or the Netherlands as part of their semi-annual review of the sovereigns.
US FISCAL: Budget Deficit Rises As Interest Payments Soar
Oct-18 20:27
The US's September budget balance came in very close to expectations with a $64B surplus, just the 2nd monthly surplus posted in the 2024 fiscal year just ended (Monthly Treasury Statement here - PDF).
- For the fiscal year as a whole (Oct-Sep), the nominal deficit came in at $1.83T, equating to 6.4% of GDP - that's up from $1.70T in FY 2023 (6.2% of GDP).
- For the year, revenues rose by a little under $500B but outlays grew by over $600B. Notably, interest rose 29% to $1.13T (net $882B), with the net figure 3.06% of GDP: the highest since 1996. That came as the weighted average interest rate of debt outstanding rose 35bp on the year to 3.32%, while social security payments rose by $103B on higher cost of living increases and more retirees.
- The 2025 fiscal year deficit is not expected to be much changed as a percentage of GDP, though that could depend on the November election results.
- CBO director Phillip Swagel told MNI recently America has fiscal headroom in the near-term but spending is on an unsustainable track over the long-term (link).
MNI: US SEP TREASURY BUDGET $64.3B
Oct-18 20:00
- MNI: US SEP TREASURY BUDGET $64.3B
