CANADA DATA: Canada Nov Jobless Benefits Recipients -0.9% MOM And +3.2% YOY
Jan-23 13:30
* The 482K recipients in Nov is -13K from a recent peak in Aug, Statistics Canada says Thursday. *...
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CROSS ASSET: US 10yr Yield targets the next resistance
Dec-24 13:18
- With Tnotes testing another session low, focus turns to the 4.6357% level in Yield, this is around 108.09 vs 108.10 earlier.
- Much Further out would see 4.7351%, the 2024 high, and highest level since November 2023.
- This level would equate to ~107.19 Today.
- There's no Impact in the Yen as of Yet.
(Chart source: MNI/Bloomberg):
STIR: Repo Reference Rates
Dec-24 13:03
- Secured Overnight Financing Rate (SOFR): 4.31% (+0.01), volume: $2.337T
- Broad General Collateral Rate (BGCR): 4.29% (+0.01), volume: $846B
- Tri-Party General Collateral Rate (TGCR): 4.29% (+0.01), volume: $815B
- (rate, volume levels reflect prior session)
US TSYS: Early SOFR/Treasury Option Roundup
Dec-24 12:56
Option desks report modest SOFR & Treasury option volume overnight, better 10Y put interest followed by Jan 10Y call condors more recently. Underlying futures continue to extend lows, 10Y yield revisiting late May levels at 4.6068% this morning. Curves mildly steeper with short end rates outperforming (2s10s now at 25.174 vs. 23.991 low), while projected rate cuts into early 2025 look steady to slightly lower vs. late Monday (*) as follows: Jan'25 steady at -2.1bp, Mar'25 steady at -11.7bp, May'25 -16.7bp (-16.0bp), Jun'25 -23.1bp (-23.4bp).
- SOFR Options:
- 3,100 SFRF5 95.56/95.62/95.68 put flys
- Treasury Options:
- 6,000 TYF5 108.5/108.75/109/109.25 call condors
- Block, 6,000 TYF5 108.5 puts, 13 ref 108-15, 8,200 total, 11 last
- 26,000 TYG5 107.5/108.5 put spds, 24 ref 108-16.5
- 1,700 USF5 112 puts, 2 ref 113-18
