BUNDS: Bund and Buxl Block Trades

SOFR futures have softened in early trade this week, with cross-market inputs (hawkish ECB communique) allowing the weakness seen in early December to extend a little further.

• Goldman Sachs reaffirmed their preference for longer dated curve steepeners (such as SFRZ6/Z7) late on Friday.
• Ahead of this week’s Fed meeting they noted that “the upcoming change in Fed leadership and uncertainty around the composition of the committee could mean that terminal rate pricing proves less sensitive to any changes in the dots than usual”.
• Looking slightly further out they highlighted that “with just 22bp cumulatively priced for the first 3 meetings next year and 3 months of labor market data due before the January meeting, we continue to think risks lean marginally towards further pull-forward in cut pricing on larger-than-expected jumps in the unemployment rate. But with risks beyond the very near-term becoming more two-way given expected growth pick up next year, we stick with our preference for steepening expressions”.

FRBNY EFFR for prior session:

• Daily Effective Fed Funds Rate: 3.89% (+0.00), volume: $88B
• Daily Overnight Bank Funding Rate: 3.89% (+0.00), volume: $167B

Earlier Repo Reference Rates

• Secured Overnight Financing Rate (SOFR): 3.93% (+0.01), volume: $3.221T
• Broad General Collateral Rate (BGCR): 3.90% (+0.03), volume: $1.321T
• Tri-Party General Collateral Rate (TCR): 3.90% (+0.03), volume: $1.295T
• (rate, volume levels reflect prior session)

• 11,520 USG6/USH6 123 put spds 10 net (March over) at 0838:48ET