EMISSIONS: EUAs OPTIONS - Dec25 Option Expiry
ICE EUAs DEC25 options contracts open interest has grown marginally by 1.14% this week, up from 284k...
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SOFR OPTIONS: Vol Buyer
SFRQ5 95.87^, bought for 23 in 2k.
US TSY FUTURES: FV Blocked
Latest block trade lodged at 09:25:03 NY/14:25:03 London:
- FVU5 5K lots blocked at 107-27, looks like a buyer.
- DV01 $210K.
US TSYS/OVERNIGHT REPO: SOFR Jumps Post-Holiday, With Month-End Yet To Come
Secured rates saw a large jump Tuesday versus last week's unusually soft levels, with SOFR up 5bp (vs Friday, after Monday's holiday) to 4.31%. That brings SOFR back to levels last seen on May 15. Elsewhere, GCF Treasury Repo printed 4.38%, up 8bp and the highest since May 2.
- As we noted Tuesday, downward pressures on secured rates last week exerted in part by temporary GSE cash in the system was due to dissipate this week, and upside pressures are likely to persist toward week-end exacerbated by Friday's month-end dynamics.
- Other factors to watch include Friday's $46B in net new cash raised via coupon auction settlements (upward rate pressure), while Thursday's rates could be temporarily subdued in the meantime by $29B in net bill paydown (downward rate pressure).
- Effective Fed funds was as usual unchanged Tuesday (4.33%).
REPO REFERENCE RATES (rate, change from prev. day, volume):
* Secured Overnight Financing Rate (SOFR): 4.31%, 0.05%, $2655B
* Broad General Collateral Rate (BGCR): 4.30%, 0.04%, $1061B
* Tri-Party General Collateral Rate (TGCR): 4.30%, 0.04%, $1025B
New York Fed EFFR for prior session (rate, chg from prev day):
* Daily Effective Fed Funds Rate: 4.33%, no change, volume: $115B
* Daily Overnight Bank Funding Rate: 4.33%, no change, volume: $293B
