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)

Historical bullets

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