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)
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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.
