US DATA: Core PCE Unrounded
Apr-26 12:35
- M/M (SA): 0.317% in Mar (vs cons 0.3 median, 0.31 av)
- Follows 0.266% in Feb (initial 0.261%), 0.502% in Jan (initial 0.452%)
- Y/Y (SA): 2.82% in Mar from 2.84% in Feb
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BONDS: Bund tests initial resistance
Mar-27 12:19
- Bund has broken this week's top range, above 133.28, Monday high, and now test the initial resistance noted at 133.37, so far printed a 133.37.
- A clear break through that level will open to 2.234% = 134.00 (the March low in Yield term).
- Some might want to try to attribute some of the moves on front loading Month End, but have not seen any notable size clips, more likely to see some of these flow into tomorrow.
- Recall that Bond extensions are decent for Europe, Huge for the UK, but only small for the US.
STIR: Repo Reference Rates
Mar-27 12:19
- Secured Overnight Financing Rate (SOFR): 5.32% (+0.01), volume: $1.849T
- Broad General Collateral Rate (BGCR): 5.31% (+0.00), volume: $664B
- Tri-Party General Collateral Rate (TGCR): 5.31% (+0.00), volume: $656B
- (rate, volume levels reflect prior session)
USD: Greenback Regains Lost Ground Into NY Hours
Mar-27 12:17
- Having been led by the JPY earlier in the session, the USD is gaining headed through to NY hours, with both EUR/USD and GBP/USD hitting new daily lows.
- With yesterday marking month-end value date, difficult to see any consistency in month-end flow for the rest of this week, with most sell-side models pointing to moderate USD sales - but others noting potential for corporate USD demand across NY hours this week.
- Volumes so far Wednesday are below average outside of the JPY, with cumulative EUR futures ~17% below average for this time of day, and GBP markets ~25% below average.
- Drift in EUR/USD puts the pair within range of one of the more sizeable options set to roll off at today's NY cut - with E1.9bln rolling off at 1.0800-20 today, which could contain prices headed through the 10am NY cut.
