STIR: Repo Reference Rates
Jun-13 12:05
- Secured Overnight Financing Rate (SOFR): 5.31% (-0.01), volume: $1.957T
- Broad General Collateral Rate (BGCR): 5.31% (+0.00), volume: $755B
- Tri-Party General Collateral Rate (TGCR): 5.31% (+0.00), volume: $737B
- (rate, volume levels reflect prior session)
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STIR: Repo Reference Rates
May-14 12:05
- Secured Overnight Financing Rate (SOFR): 5.31% (+0.00), volume: $1.805T
- Broad General Collateral Rate (BGCR): 5.30% (+0.00), volume: $719B
- Tri-Party General Collateral Rate (TGCR): 5.30% (+0.00), volume: $702B
- (rate, volume levels reflect prior session)
GILT PAOF RESULTS: GBP22.850mln of the 0.125% Mar-73 linker sold
May-14 12:02
- A total of GBP150.0mln had been available.
- This leaves GBP5.023bln of the gilt in issue.
US TSYS: Early SOFR/Treasury Option Roundup
May-14 12:00
Two-way overnight trade on modest overall volumes, better upside Jun'24 10Y call trade. Underlying futures mildly higher in 2s-10s, curves steeper (2s10s +1.575 at -36.318). Projected rate cut pricing gaining slightly vs. late Monday: June 2024 at -10% w/ cumulative rate cut -2.5bp at 5.313%, July'24 at -22% w/ cumulative at -8bp (-6.8bp) at 5.258%, Sep'24 cumulative -20.8bp vs. -18.8bp, Nov'24 cumulative -29.6bp vs. -27.2bp, Dec'24 -43.5bp vs. -40.6bp.
- SOFR Options:
- 2,400 SFRM4 94.68/94.75 call spds, ref 94.695
- 2,000 SFRU4 94.62/94.68/94.75 call flys, ref 94.88
- Treasury Options:
- 3,300 wk3 FV 105/105.25 put spds ref 105-22.5 expire Friday
- 4,500 FVM4 105.5 puts, 20.5 last ref 105-22.75
- 2,500 wk3 TY 109.75/110.25 call spds ref 108-28.5 expire Friday
- 3,800 Wednesday weekly 10Y 107.5/107.75 put spds, 1 ref 108-26.5 expire tomorrow
- +20,000 TYM4 109.5 calls, 17
- +10,000 TYM4 110 calls, 9
