US TSYS: Repo Reference Rates
Dec-21 13:18
BGCR and TGCR catch up with the previous 2bp dip in SOFR as year-end effects start to weigh.
REPO REFERENCE RATES (rate, change from prev. day, volume):
* Secured Overnight Financing Rate (SOFR): 4.30%, no change, $1048B
* Broad General Collateral Rate (BGCR): 4.26%, -0.01%, $398B
* Tri-Party General Collateral Rate (TGCR): 4.26%, -0.01%, $385B
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US TSYS: Repo Reference Rates
Nov-21 13:12
- Secured Overnight Financing Rate (SOFR): 3.80%, $1.037T
- Broad General Collateral Rate (BGCR): 3.76%, $411B
- Tri-Party General Collateral Rate (TGCR): 3.76%, $400B
- (rate, volume levels reflect prior session)
STIR: BLOCKs, Jan-23 SOFR Call Spds
Nov-21 13:09
Flurry of Jan'23 SOFR call spds blocked last few minutes, followed by 2x3 ratio call spd on screen:
- 9,500 SFRF 95.12/95.37 2x3 call spds ref 95.015
- Block, 2,000 SFRF3 95.06/95.18/95.25/95.37 call condors, 2.5
- Block, 2,000 SFRF3 95.06/95.18/95.31 call flys, 1.75
- Block, 7,932 SFRF3 95.00/95.12 call spds, 5.0 vs. 94.96/0.05%
- Block, 10,000 SFRH4 97.00/98.00 call spds, 14.5 vs. 95.78
UK: Week Ahead (2/2)
Nov-21 12:47
- This afternoon, the DMO will release the agenda for its January to March issuance. We outlined our expectations alongside a reaction to the Autumn Statement in the UK in our Deep Dive document here.
- We also expect to receive details this week of the Bank’s plan to begin sales of its long-dated gilts and linkers that it bought as part of its “Temporary” purchase programme in October. Last week a meeting was held with GEMMs where a number of interesting questions were tabled (see the Minutes here) but at present there is still little known on the parameters of the programme other than that it will be demand-led.
- This week will see the syndicated reopening of the 0.125% Mar-73 linker, an auction of the 0.25% Jan-25 gilt as well as BOE APF gilt sales operations for shorts this afternoon and mediums on Thursday.
- For the full MNI Gilt Week Ahead including a syndication and auction preview click here.
