EQUITIES: US Cash Opening calls
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US TSYS/OVERNIGHT REPO: Secured Rates Tick Lower
Secured rates softened slightly Friday, with SOFR dipping 1bp to 4.30%, partially reversing Thursday's 2bp uptick (related to mid-month Treasury auction settlements) to 4.31%.
- The pullback came on the usual monthly cash flows from Government Sponsored Enterprises (GSEs). These are set to reverse toward the end of this week on GSE outflows going into the Memorial Day Weekend and thus putting some renewed upside pressure on SOFR.
- Fed funds printed 4.33% as usual.
REPO REFERENCE RATES (rate, change from prev. day, volume):
* Secured Overnight Financing Rate (SOFR): 4.30%, -0.01%, $2617B
* Broad General Collateral Rate (BGCR): 4.29%, -0.01%, $1062B
* Tri-Party General Collateral Rate (TGCR): 4.29%, -0.01%, $1024B
New York Fed EFFR for prior session (rate, chg from prev day):
* Daily Effective Fed Funds Rate: 4.33%, no change, volume: $117B
* Daily Overnight Bank Funding Rate: 4.33%, no change, volume: $302B
FRANCE T-BILL AUCTION RESULTS: 13/26/28/52-week BTFs
| Type | 13-week BTF | 26-week BTF | 28-week BTF | 52-week BTF |
| Maturity | Aug 20, 2025 | Nov 19, 2025 | Dec 3, 2025 | May 20, 2026 |
| Amount | E2.993bln | E1.898bln | E598mln | E2.098bln |
| Target | E2.6-3.0bln | E1.5-1.9bln | E0.2-0.6bln | E1.7-2.1bln |
| Previous | E2.993bln | E1.797bln | E1.797bln | E1.998bln |
| Avg yield | 2.042% | 2.011% | 2.004% | 1.947% |
| Previous | 2.057% | 2.023% | 2.023% | 1.985% |
| Bid-to-cover | 4.33x | 3.94x | 6.86x | 3.44x |
| Previous | 3.96x | 4.15x | 4.15x | 3.36x |
| Previous date | May 12, 2025 | May 12, 2025 | May 12, 2025 | May 12, 2025 |
US TSY FUTURES: TU/UXY Steepener blocked
Latest block trades lodged at 08:32:39 NY/13:32:39 London:
- TUM5 15.5K lots blocked at 103-08.25, looks like a buyer.
- UXYM5 6.7K lots blocked at 111-12+, looks like a seller.
- Would suggest a ~$570K Dv01 steepener, with subsequent price action on the 2s10as cash curve adding weight to that idea.
