STIR: Effective Fed Funds Rate
Apr-12 13:06
- FRBNY EFFR for prior session:
- Daily Effective Fed Funds Rate: 4.83% volume: $108B
- Daily Overnight Bank Funding Rate: 4.82% volume: $273B
- Earlier Repo Reference Rates
- Secured Overnight Financing Rate (SOFR): 4.80%, $1.365T
- Broad General Collateral Rate (BGCR): 4.78%, $528B
- Tri-Party General Collateral Rate (TGCR): 4.78%, $522B
- (rate, volume levels reflect prior session)
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STIR: Modest Pullback From Extreme Highs
Mar-13 13:05
- Short end Eurodollar, SOFR, FF futures still shrply higher but off extremes last few minutes.
- Fed terminal rate has fallen to 4.720 in June'23, down over 85bp for August late last week. Fed funds implied hike for Mar'23 at 15.7bp, May'23 cumulative 8.8bp to 4.586%, Jun'23 0.000bp to 4.497%. Rate cuts start pricing in for Jul'23: -23.2 cumulative at 4.273%.
- Eurodollar futures are trading firmer across the strip, Whites (EDM3-EDH4) sharply higher: +0.345-0.820, New lead Eurodollar quarterly EDM3 +.345 at 94.77 vs. 94.955 high.
OPTIONS: CBOT Volatility Index Surges Higher
Mar-13 12:53
VIX index currently +5.52 at 30.32 vs. 30.81 high.
STIR: BLOCK: Sep'23 SOFR Put Spread
Mar-13 12:51
- +20,000 SFRU3 95.00/95.25 put spds, 6.0 ref 95.825 at 0846:34ET.
- Note, SFRU3 underlying futures are trading +0.965 at 95.84
