US TSYS: Repo Reference Rates
Oct-12 12:00
- Secured Overnight Financing Rate (SOFR): 3.05%, $993B
- Broad General Collateral Rate (BGCR): 3.00%, $407B
- Tri-Party General Collateral Rate (TGCR): 3.00%, $377B
- (rate, volume levels reflect prior session)
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US TSY FUTURES: Bonds Extending Gains
Sep-12 11:52
Tsy futures gradually extend highs in lead-up to the NY open (30YY 3.4270 low), light volumes ahead no data/Fed in Blackout session (TYZ2<255k), yield curves still mostly steeper:
- 3M10Y -4.17, 20.927 (L: 17.509 / H: 26.817)
- 2Y10Y +0.287, -25.014 (L: -26.005 / H: -22.804)
- 2Y30Y +1.316, -10.218 (L: -11.951 / H: -9.099)
- 5Y30Y +1.239, 2.282 (L: 0.785 / H: 2.685)
CANADA: USDCAD Maintaining Corrective Pullback
Sep-12 11:50
- CAD sees little impact from China’s Li calling for boosting the consumption recovery, with USDCAD hovering 20-25 pips off session lows of 1.2978 whilst the corrective pullback remains in play.
- The session low was just shy of support at the 50-day EMA of 1.2963, after which sits key near-term support of 1.2895 (Aug 25 low), but moves are likely led by risk sentiment today with only weekly Canadian consumer confidence on the docket.
- CFTC non-commercial positioning showed a trimming of CAD net longs ahead of the BoC (15.3 to 11.2% OI) but remains clearly more bullish than AUD (-32%) or NZD (-6%) for closer linkages to China.
Source: Bloomberg
OPTIONS: Expiries for Sep12 NY cut 1000ET (Source DTCC)
Sep-12 11:22
- EUR/USD: $1.0000-15(E1.3bln), $1.0050-65(E784mln), $1.0075-80(E532mln), $1.0100(E563mln)
- USD/JPY: Y141.50($515mln), Y142.50-52($761mln). Y143.00($760mln)
- GBP/USD: $1.1875(Gbp955mln)
- EUR/GBP: Gbp0.8600(Gbp1.6bln)
- USD/CNY: Cny7.00($1.2bln)
