STIR: Repo Reference Rates
REPO REFERENCE RATES (rate, change from prev. day, volume):
* Secured Overnight Financing Rate (SOFR): 5.31%, -0.01%, $1757B
* Broad General Collateral Rate (BGCR): 5.30%, no change, $632B
* Tri-Party General Collateral Rate (TGCR): 5.30%, no change, $622B
SOFR dipped 1bp back to 5.31% yesterday after two sessions at 5.32%. It's held at 5.31/5.32% since Dec 7 after it's early Dec spike to 5.39%. Volumes of $1757bn remain at the high end of historical ranges, off the Nov 30 high of $1850bn.
Source: NY Fed
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US TSYS: Goldman: Yields Settling Into Their New Range
Goldman Sachs note that “economic data have largely continued to surprise to the downside.”
- “The cumulative misses so far have taken our US economic surprises score to the lowest level since late April this year.”
- “Additionally, bearish market sentiment appears to have turned a corner and our fund positioning indicator suggests that real money investors have increased their overweights on duration.”
- “We previously noted that the bond market rally then had room to extend as investors felt their way to the bottom end of the range, particularly if supported by softer data.”
- “This has happened to an extent, though we suspect it will be hard to push much lower without (further) unambiguously weaker data.”
- “In the meantime, we note that although realized daily yield changes remain large, the magnitude of weekly changes in 10y yields has dropped, suggesting to us that yields may be stabilizing at current levels.”
- “Over the next year, we expect 10y UST yields will form a range with a midpoint around 4.5-4.6%. Our forecast for YE2024, at 4.55% reflects this view.”
STIR: Repo Reference Rates
- Secured Overnight Financing Rate (SOFR): 5.32%, $1.587T
- Broad General Collateral Rate (BGCR): 5.30%, $588B
- Tri-Party General Collateral Rate (TGCR): 5.30%, $573B
- (rate, volume levels reflect prior session)
US TSY FUTURES: Early Dec/Mar Quarterly Futures Roll Update:
Latest Tsy quarterly futures roll volume from Dec'23 to Mar'23 summary below. "First Notice" date on November 30. Current markets:
- TUZ/TUH 2,600 from -13.75 to -13.25, -13.25 last, appr 4% complete
- FVZ/FVH 8,000 from -15.25 to -14.75, -14.75 last, appr 4% complete
- TYZ/TYH 3,500 from -12.25 to -12.00, -12.0 last, appr 3% complete
- UXYZ/UXYH 7,500 from -9.25 to -9.0, -9.25 last, appr 4% complete
- USZ/USH 1,200 from -1.5 to -1.25, -1.25 last, appr 4% complete
- WNZ/WNH 1,500 from -27.75 to -27.25, -28.0 last, appr 2% complete
- Reminder, December futures won't expire until next month: 10s, 30s and Ultras on December 19, and the 29th for 2s and 5s.
