FED: Two Hawks In Logan and Schmid Coming Up Shortly
Jul-16 16:53
Today sees three Fedspeakers, two of which are some of the most hawkish on the FOMC, in what should ...
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US TSYS/OVERNIGHT REPO: SOFR, Fed Funds Pick Up Sharply On Mid-Month Dynamics
Jun-16 16:52
Rates saw a noteworthy rise Monday, including both SOFR and unusually Fed funds.
- SOFR (alongside other secured rates) jumped 4bp Monday, to 3.69%. This upward move was on the high side but not entirely unexpected, coming as it does alongside the key mid-June corporate tax date as well as $79B in net Treasury auction settlements. Both sources of pressure should ease Tuesday, with the tax date behind us and net Treasury settlements returning $20.6B to market.
- Meanwhile against that backdrop, the effective Fed funds rate rose 1bp to 3.63%, the highest it has been within the target 3.50-3.75% range since May 18.
- The pickup in the effective rate means EFFR has moved from 12bp above SOFR in mid-May (which had been the widest since September 2022), to 6bp below.
- The decline in SOFR in May had led to talk that the Fed could slow reserve management purchases or stop them altogether, but they re-upped at $10B/month for another month, and the apparent pickup in rates to more normal levels could assuage concerns that conditions had gotten too soft.
REPO REFERENCE RATES (rate, change from prev. day, volume):
* Secured Overnight Financing Rate (SOFR): 3.69%, 0.04%, $3147B
* Broad General Collateral Rate (BGCR): 3.67%, 0.04%, $1297B
* Tri-Party General Collateral Rate (TGCR): 3.67%, 0.04%, $1267B
New York Fed EFFR for prior session (rate, chg from prev day):
* Daily Effective Fed Funds Rate: 3.63%, 0.01%, volume: $102B
* Daily Overnight Bank Funding Rate: 3.63%, 0.01%, volume: $196B
OPTIONS: No Shortage Of Europe Call Structure Buying, Including Calendar Spread
Jun-16 16:52
Tuesday's Europe rates/bond options flow included:
- OEN6 115.5/116cs, bought for 7 in 5k
- RXN6 125.50p, bought for 8.5 in 3.1k
- ERU6/Z6 97.56/97.68/97.81c fly spread, bought the Sep for 1 in 18.5k
- ERZ6 97.3125/97.375/97.4375c fly, bought for 0.75 in 2.5k
- SFIU6 96.00/96.20cs 1x2, bought for 8.75 in 5k
- SFIZ6 95.90/96.00/96.15/96.25c condor, sold at 2 in 8k
- SFIM7 98.00c, bought for 1.75 in 10k
FED: US TSY 19Y-11M BOND AUCTION: NON-COMP BIDS $68 MLN FROM $13.000 BLN TOTAL
Jun-16 16:45
- US TSY 19Y-11M BOND AUCTION: NON-COMP BIDS $68 MLN FROM $13.000 BLN TOTAL
