STIR: Effective Fed Funds Rate
Jun-05 13:12
FRBNY EFFR for prior session:
- Daily Effective Fed Funds Rate: 5.33% (+0.00), volume: $100B
- Daily Overnight Bank Funding Rate: 5.32% (+0.00), volume: $280B
Earlier Repo Reference Rates
- Secured Overnight Financing Rate (SOFR): 5.33% (-0.02), volume: $2.092T
- Broad General Collateral Rate (BGCR): 5.32% (+0.00), volume: $787B
- Tri-Party General Collateral Rate (TGCR): 5.32% (+0.00), volume: $769B
- (rate, volume levels reflect prior session)
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FOREX: Lower Core Yields Prompting Moderate Yen Recovery, Greenback Softens
May-06 12:59
- Core Fixed income heading modestly higher has allowed the Japanese Yen to reverse a portion of the overnight weakness in recent trade with USDJPY briefly paring the overnight advance by around 60 pips amid the holiday thinned US session.
- US 5-year yields declining by 4bp on the day are weighing on the greenback, with EURUSD and GBPUSD extending session highs and keeping Antipodean FX among the best performers in G10, benefiting overnight from stronger Chinese equity markets.
- The RBA is widely expected to leave rates at 4.35% at its May decision on Tuesday. There is some chance that the tightening bias will be reinstated following the higher-than-expected Q1 CPI data, however, we believe that is unlikely.
- AUDUSD traded firmly higher Friday and in the process breached resistance at 0.6587, the Apr 29 high. The break of this hurdle cancels a recent bearish threat and highlights a resumption of the bull leg that started Apr 19. This initially opens 0.6668, the Mar 8 high.
FRANCE T-BILL AUCTION RESULTS: 13/17/27/50-week BTFs
May-06 12:54
| Type | 12-week BTF | 17-week BTF | 27-week BTF | 50-week BTF |
| Maturity | Jul 31, 2024 | Sep 4, 2024 | Nov 14, 2024 | Apr 24, 2025 |
| Amount | E3.197bln | E396mln | E1.894bln | E1.698bln |
| Target | E2.8-3.2bln | E0-0.4bln | E1.5-1.9bln | E1.3-1.7bln |
| Previous | E3.296bln | E399mln | E1.593bln | E1.695bln |
| Avg yield | 3.803% | 3.718% | 3.666% | 3.460% |
| Previous | 3.800% | 3.728% | 3.710% | 3.488% |
| Bid-to-cover | 2.62x | 5.51x | 2.76x | 3.19x |
| Previous | 2.39x | 8.21x | 3.4x | 3.57x |
| Previous date | Apr 29, 2024 | Apr 15, 2024 | Apr 29, 2024 | Apr 29, 2024 |
STIR: BLOCK, Red Dec'25 SOFR Put Fly
May-06 12:25
- 7,000 SFRZ5 93.75/94.25/94.75 put flys, 5.0 ref 95.915 at 0817:06ET
