US TSYS: Repo Reference Rates
Mar-11 13:10
- Secured Overnight Financing Rate (SOFR): 0.05%, $977B
- Broad General Collateral Rate (BGCR): 0.05%, $360B
- Tri-Party General Collateral Rate (TGCR): 0.05%, $355B
- (rate, volume levels reflect prior session)
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EUR: Markets Continue to Position For Higher EUR Via Options
Feb-09 13:05
- The ECB's hawkish turn last week continues to play out via both rates markets pricing as well as currency options, with some of the more sizeable options structures so far Wednesday tied to the risk of a near-term EUR rally.
- Call strikes layered between 1.1450-1.1500 have been in solid demand throughout the morning, with over $1bln notional wagered between those levels. This sentiment is mirrored in vol markets, with front-end risk reversals holding the bulk of the post-ECB gains - the 1m risk reversal trades either side of +0.2 points, signaling a bias for EUR/USD upside not seen consistently since late 2020.
- This chimes well with the near-term technical outlook, with recent consolidation forming a potential bull flag, reinforcing bullish conditions following last week's gains and clearance of the 20- and 50-day EMAs. The focus is on 1.1558, a Fibonacci retracement.
US EURODLR FUTURES: Post-LIBOR Settle Update, 3M New Highs
Feb-09 12:44
Lead quarterly EDH2 holding overnight gains at 99.42 (+0.010) following latest 3M LIBOR set' +0.01114 to 0.37743% -- highest lvl since May 27, 2020 -- gaining +0.03843 for the week so far.
- While 3M interbank lending benchmark continues to surge higher, lead quarterly reluctant to price in more than appr 50% chance of 50bp hike at the next FOMC on March 16.
- Out the strip: futures trading higher in Whites (EDH2-EDZ2, +0.015-0.025) through Golds (EDH6-EDZ6, +0.035-0.040), unwinding appr half of Tuesday's sell-off in Greens (EDH4-EDZ4) to Blues (EDH5-EDZ5).
- See-saw action may be over soon -- with markets eager to see Thu's Jan CPI inflation data (0.4% est vs. 0.6% rev).
- Policy uncertainty/inflection point remains Green Dec'24 (97.845), mildly inverted vs. Blue Mar'25 through Sep'25, mildly higher vs. balance of strip.
US: USD LIBOR FIX - 9-2-2022
Feb-09 12:29
US00O/N 0.07771 0.00071
US0001M 0.12271 -0.00300
US0003M 0.37743 0.01114
US0006M 0.63457 -0.00529
US0012M 1.09371+0.00200
