US TSYS: Repo Reference Rates
Feb-10 13:05
- Secured Overnight Financing Rate (SOFR): 4.55%, $1.212T
- Broad General Collateral Rate (BGCR): 4.52%, $481B
- Tri-Party General Collateral Rate (TGCR): 4.52%, $466B
- (rate, volume levels reflect prior session)
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PIPELINE: Turkey 10Y US$ Issuance
Jan-11 13:02
- Date $MM Issuer (Priced *, Launch #)
- 01/11 $Benchmark Turkey 10Y 10.125a
- 01/11 $1B OKB 3Y SOFR+35
- 01/11 $1B CDC (Caisse des Depots) 3Y SOFR+44
- 01/11 $Benchmark Kommunalbanken 5Y SOFR+57
STIR: SOFR Calls
Jan-11 12:59
- 2,500 2QG3 97.37/97.62 call spds ref 97.065
- Block, 2,000 SFRF3 95.12/95.25 call spds, 3.0 ref 95.12 at 0744:49ET
CANADA: GoCs Track Treasuries After Trend Cheapening Since Mid-Dec
Jan-11 12:59
- GoCs rallying 1-4.5bps across the curve are broadly tracking Tsys today after recent swings that on balance have pushed a sizeable narrowing in Can-US yield differentials despite some outperformance yesterday.
- The 2Y diff at -33bp (mid-Dec lows of -60bp) and 10Y diff at -52bp (-70bp) is at levels from before the BoC’s surprise 50bp downshift back in October.
- TD yesterday noted an overly cheap setup versus the US but don’t see any obvious catalysts and instead will watch January data before adding back Can vs US risk.
- 5Y GoC auction ahead today at 1200ET.
