STIR: Effective Fed Funds Rate
Mar-28 13:20
FRBNY EFFR for prior session:
- Daily Effective Fed Funds Rate: 5.33% (+0.00), volume: $82B
- Daily Overnight Bank Funding Rate: 5.32% (+0.00), volume: $218B
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STIR: Repo Reference Rates
Feb-27 13:03
- Secured Overnight Financing Rate (SOFR): 5.31% (+0.00), volume: $1.739T
- Broad General Collateral Rate (BGCR): 5.30% (+0.00), volume: $670B
- Tri-Party General Collateral Rate (TGCR): 5.30% (+0.00), volume: $658B
- (rate, volume levels reflect prior session)
GILT PAOF RESULTS: The PAOF for the 0.125% Mar-39 linker was not taken up.
Feb-27 13:02
- A total of GBP225.0mln nominal had been available.
- This leaves GBP11.230bln nominal of the gilt in issue.
US TSYS: Early SOFR/Treasury Option Roundup: Mixed, Rate Cut Pricing Firmer
Feb-27 12:58
SOFR option trade looked more pared overnight compared to better low delta put structures Monday, surprising few Tsy option volumes. Underlying futures firmer at the moment, back near the middle of Monday's range.
- Projected rate cut pricing gaining slightly vs. late Monday levels: March 2024 chance of 25bp rate cut currently -1.3% w/ cumulative of -0.01bp at 5.328%; May 2024 at -18.9% vs. -15% late Monday w/ cumulative -4.8bp at 5.281%; June 2024 -56.9% from -53.9% late Monday w/ cumulative cut -19bp at 5.139%. First full cut priced in at July w/cumulative -33.1bp at 5.00%. Fed terminal at 5.33% in Feb'24.
- SOFR Options:
- 3,500 SFRJ4 94.81 puts, ref 94.88
- -6,750 SFRH4 94.68/94.75 call spds, 0.75 ref 94.6725
- Block, +5,000 SFRU4 94.87/95.12 put spreads 5.0 over SFRZ4 96.25/96.75 call spds
- Block, +5,000 SFRU4 94.93/95.06 put spreads 3.5 over SFRU4 95.50/95.62 call spds
- +4,000 0QH4 95.87/96.12/96.25 1x3x2 call flys, 3.5 ref 95.76
- 1,250 0QJ4 96.50/96.75 call spds vs. 2QM4 95.00/95.50/96.00 put fly
- 2,000 SFRZ4 96.00/96.25 call spds vs. 2QZ4 97.00/97.25 call spd
- 4,000 SFRM4 94.75 puts ref 94.875
- 2,000 SFRZ4 97.50/98.00 call spds ref 95.48
- Treasury Options:
- over 5,600 TYK4 108 puts, 27 last
