US TSYS: Repo Reference Rates
Apr-20 12:06
- Secured Overnight Financing Rate (SOFR): 0.28%, $895B
- Broad General Collateral Rate (BGCR): 0.30%, $342B
- Tri-Party General Collateral Rate (TGCR): 0.30%, $327B
- (rate, volume levels reflect prior session)
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LIBOR: JAPAN FIX - 21/03/22
Mar-21 12:03
- JY0001M -0.06375 0.00000
- JY0003M -0.00821 0.00000
- JY0006M 0.04267 0.00000
US EURODLR FUTURES: Post-LIBOR Settle Update, New 3M High
Mar-21 12:02
Lead quarterly EDM2 holding near overnight lows at 98.525 (-0.030) after latest 3M LIBOR settle climbs +0.02357 to 0.95757% -- highest level since mid-April, 2020 after climbing +0.10800 total last wk.
- Balance of Whites (EDU2-EDH3) trade -0.050-0.070, while Reds through Golds (EDM3-EDH7) trading -0.050-0.070 lower, Greens and Blues (EDM4-EDH6) underperforming.
- Uncertainty over pricing in forward policy: longer expirys continue to outperform w/ first price inversion still between Red Sep'23 (97.180) and Red Dec'23 (97.235). Inversion extends through Greens (EDM4-EDH5) while latter half of Blues-start of Golds trade flat around 99.725.
- Eurodollar option roundup: Friday saw pick-up in put buying on the day after hawkish policy comments from Fed Gov Waller, StL Fed Bullard and Richmond Fed Barkin weighed on Eurodollar Whites. Highlight trade/Blocks
- +20,000 Sep'22 97.62/98.00 put spds, 12.5 vs.
- -10,000 Dec'22 97.75/98.00 put spds, 14.0 vs.
- -10,000 Mar'23 97.50/97.75 put spds, 14.0
- Block, 14,000 Dec 99.25/99.37 put spds, 0.5 vs. 97.635/0.05%
LIBOR: US LIBOR FIX - 21/03/22
Mar-21 12:01
- US00O/N 0.33014 0.00143
- US0001M 0.44400 -0.00257
- US0003M 0.95757 0.02357
- US0006M 1.33614 0.04857
- US0012M 1.86814 0.08171
