OPTIONS: Expiries for Oct20 NY cut 1000ET (Source DTCC)
Oct-17 15:19
- EUR/USD: $1.1515(E1.0bln), $1.1540-50(E1.2bln), $1.1640-55(E1.3bln), $1.1710-30(E1.4bln),$1.1790-00(E1.0bln)
- USD/JPY: Y150.00-05($2.0bln), Y150.25($600mln), Y154.80($2.0bln)
- EUR/JPY: Y178.00(E530mln)
- AUD/USD: $0.6670(A$589mln)
- USD/CAD: C$1.4000($718mln)
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SOFR OPTIONS: UPDATE BLOCK/Screen: Short Dec'25 SOFR Call Spread
Sep-17 15:16
- -50,000 0QZ5 97.00/97.25 call spds, 10.0
STIR: Modest Hawkish Tilt Post-BoC In Fed Rates, 26bp Cut Priced For Today
Sep-17 15:16
- US rates have seen a steady hawkish adjustment in BoC spillover, starting with the decision before an extension on Macklem’s press release noting that governing council considered leaving rates unchanged and not seeing a recession.
- Moves are contained though ahead of the FOMC decision at 1400ET, not least with the BoC having seen a clear consensus to cut 25bps and there being more comfort that some upward pressures on underlying inflation are easing off.
- Fed funds implied rates are 1.5bp higher since the decision through Dec-Mar meetings, whilst SOFR future implied yields are up to 2.5bps higher in late 2027 contracts (for +4bp on the day).
- Cumulative cuts from 4.33% effective: 26bp for today, 45bp Oct, 67.5bp Dec, 80.5bp Jan and 95.5bp Mar.
- SOFR implied terminal yield at 2.91% (SFRH7, +3bp) to shift back towards the higher end of its post-payrolls range roughly between 140-150bp of cuts from current levels.
FED: US TSY 17W AUCTION: NON-COMP BIDS $547 MLN FROM $65.000 BLN TOTAL
Sep-17 15:15
- US TSY 17W AUCTION: NON-COMP BIDS $547 MLN FROM $65.000 BLN TOTAL
