STIR: Effective Fed Funds Rate
Jan-06 16:05
New York Fed EFFR for prior session (rate, chg from prev day):
* Daily Effective Fed Funds Rate: 4.33%, no change, volume: $107B
* Daily Overnight Bank Funding Rate: 4.32%, no change, volume: $283B
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BOE: Long-dated sales
Dec-07 16:04
- Around half the sales were of the 1.50% Jul-47 gilt.
- On a back of an envelope calculation the BOE has sold around 15% of its long-dated financial stability portfolio today (in nominal terms). And around 23% in total since the beginning of the sales ops.
ECB: TLTRO Dec Repayment Expectations Centre On E300-400bln
Dec-07 15:58
A few outlooks for this Friday's TLTRO repayments below, from high to low. Submissions are due today shortly (by 1700CET), with the results Friday at 1205CET.
- Recall that in November's operation, banks made E296bln in early repayments, on the low end of expectations. Around E1.8trn remains outstanding.
- Also, note that E52bln of TLTROIII loans mature in December, and the figures below appear to incorporate that amount alongside the amount paid early:
- UniCredit: E400-600bln
- Barclays: E350bln, range of E150-450bln possible
- BNP Paribas: E350bln, with risks to the upside
- ING: E200bln
CANADA: Shift Higher In BAX Curve Limited By BoC Only Considering Further Hikes
Dec-07 15:57
- BAX yields sit 9-14bps higher out to end 2023 since the BoC decision to hike 50bps to 4.25% (~32bp priced).
- It pushes a roughly implied terminal more into the 4.25-4.5% range with further increases capped by “considering” whether to hike further.
- No ‘higher for longer’ type message has meant relatively little change in slopes after inversion had already built ahead of the meeting: BAH3/Z3 sits at -0.62 and BAZ3/BAH4 -0.77.
- Attention turned to any further guidance with Dep Gov Kozicki’s Economic Progress Report tomorrow, remarks published 1230ET.
