STIR: Repo Reference Rates
Mar-31 12:00
- Secured Overnight Financing Rate (SOFR): 4.82%, $1.319T
- Broad General Collateral Rate (BGCR): 4.79%, $505B
- Tri-Party General Collateral Rate (TGCR): 4.79%, $497B
- (rate, volume levels reflect prior session)
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US MBA: REFIS -6% SA; PURCH INDEX -6% SA THRU FEB 24 WK
Mar-01 12:00
- US MBA: REFIS -6% SA; PURCH INDEX -6% SA THRU FEB 24 WK
- US MBA: UNADJ PURCHASE INDEX -44% VS YEAR-EARLIER LEVEL
- US MBA: 30-YR CONFORMING MORTGAGE RATE 6.71% VS 6.62% PREV
MNI: US MBA: MARKET COMPOSITE -5.7% SA THRU FEB 24 WK
Mar-01 12:00
- MNI: US MBA: MARKET COMPOSITE -5.7% SA THRU FEB 24 WK
US EURODLR FUTURES: Post-LIBOR Settle Update: 3M Nears 5%; Implied Hikes Steady
Mar-01 11:59
Lead quarterly Mar'23 (EDH3) holds -0.005 at 94.9225 after 3M LIBOR set' climbs +0.01014 to new 16 year high to 4.98114% this morning (+0.02771/wk).
- Fed funds implied hike for Mar'23 at 30.1bp, May'23 cumulative 55.6bp (-.5) to 5.132%, Jun'23 74.2bp (-.3) to 5.319%, terminal at 5.415% in Aug-23-Oct'23 vs. 5.43% overnight high.
- Balance of Eurodollar Whites (EDM3-EDZ3) -0.010-0.005, Reds (EDH4-EDZ4) -0.010-0.035, Greens through Golds (EDH5-EDZ7) -0.030-0.010.
- Current deferred spds vs. prior settles - continue to widen:
- Jun'23/Sep'23: +0.130 vs. +0.135
- Mar'23/Red Mar'24: +0.1225 vs. +0.1175
- Jun'23/Red Jun'24: -0.740 vs. -0.755
- Tuesday option roundup: Mixed option trade as underlying reversed early weakness, flow consolidative, tending toward vol selling into month end.
