STIR: Repo Reference Rates

The recovery rally in Bund & gilt futures has stalled after the opening gaps lower were filled and crude oil futures based following a move away from session highs.

• Tsys still the underperformer amongst core global FI markets given optimism surrounding the potential end of the U.S. government shutdown. Tsy spreads vs. Bunds 2.5-3.0bp wider across the curve.
• Peripherals and semi-core EGBs remain tighter vs. Bunds given the more constructive risk backdrop.

• Secured Overnight Financing Rate (SOFR): 3.93% (+0.01), volume: $3.069T
• Broad General Collateral Rate (BGCR): 3.89% (+0.00), volume: $1.216T
• Tri-Party General Collateral Rate (TCR): 3.89% (+0.00), volume: $1.192T
• (rate, volume levels reflect prior session)

he extension of Belgian Budget discussions and questions over the PM’s future dove OLO underperformance vs. semi-core EGB peers last week, reintroducing another area of medium-term fiscal risk to the fore in the Eurozone.

• Societe Generale note that while they were “cautious on Belgium, we turned tactically long vs. OATs during periods of political instability in France”.
• The ongoing Belgian Budget deadlock means that they remain cautious “despite no OLO supply being expected before year-end (except for two ORIs) and the seasonal tightening pattern in November”.
• As a result, Societe Generale prefer longs in RAGBs, RFGBs, or DSLs vs OLOs, particularly in 10s.