STIR: Effective Fed Funds Rate

Mar-17 13:04

FRBNY EFFR for prior session:

  • Daily Effective Fed Funds Rate: 0.08% volume: $74B
  • Daily Overnight Bank Funding Rate: 0.07% volume: $260B

Repo Reference Rates

  • Secured Overnight Financing Rate (SOFR): 0.05%, $1.016T
  • Broad General Collateral Rate (BGCR): 0.05%, $375B
  • Tri-Party General Collateral Rate (TGCR): 0.05%, $364B
  • (rate, volume levels reflect prior session)

Historical bullets

STIR: Canada: Holding On To At Least 6 Hikes In 2022

Feb-15 13:00
  • Ahead of Canadian housing and US PPI data, OIS is pricing 33bps for the March 2 BOC meeting, back where it was prior to US CPI.
  • There continues to be more than 6 hikes priced through 2022 after which BAX futures imply a material flattening in the path with the Z2-Z3 spread hovering in the 40-45bp range.
  • The BAX curve has shifted higher since the BOC/FOMC meeting, with at least one extra hike priced from U2 through to Z3.
  • Recall that yesterday’s Bloomberg economist survey had unanimous support for a 25bp hike in March and then widespread calls for following up in April but after that there is a greater range of views. Ultimately, most analysts surveyed expect 4-5 hikes in 2022.

What to Watch: PPI, Geopol Risk Cools, Fed Nomination Hearings

Feb-15 12:59
  • More likely to induce gap moves in rates: Geopolitical headlines on Russia/Ukraine. Markets react positively (risk on) amid headlines that Russia withdrawing some troops from Ukraine border.
    • Tsys gapped lower (30YY tapped 2.3447% high, 2.3277% last), equities surged, SPX emini currently +68.0 at 4462.0.
    • NATO head Stoltenberg said there's "no concrete sign of de-escalation", yet remains "cautiously optimistic", Bbg.
  • Data picks up Tuesday with Jan PPI: MoM (0.3% rev, 0.5%); YoY (9.7%, 9.1%) at 0830ET.
    • On PPI, Morgan Stanley economists forecast headline data to "increase 0.38%M vs. +0.17%M prior, lowering the y/y from 9.8% to 8.9% ... supported by a pickup in food prices and little change in energy prices. We expect core PPI to rise a lesser 0.29%M vs. +0.37% prior, lowering the y/y from 6.9% to 6.2%."
  • Senate Banking Comm nomination hearing of Fed members scheduled to start at 1415ET.

CNH: USD/CNH Extending Downtick, Nearing YTD Low

Feb-15 12:58
  • CNH remains firm headed into the NY crossover, with USD/CNH printing fresh daily lows of 6.3396 in recent trade - the lowest level since January 27th. Further weakness exposes 6.3356 initially ahead of the January and multi-year lows of 6.3238 - a key support level.
  • Broad greenback weakness follows an unwind of the risk-off poise posted since the beginning of the week, with the reports of a demobilization of Russian troops responsible for a covering of positions evident across markets today.
  • Moves come ahead of the release of Chinese Inflation data overnight, with markets expecting a moderation in price pressures across both CPI and PPI measures. Y/Y CPI and PPI are expected at 1.0% and 9.5% respectively.