STIR: Effective Fed Funds Rate
Jan-18 14:10
- FRBNY EFFR for prior session:
- Daily Effective Fed Funds Rate: 4.33% volume: $94B
- Daily Overnight Bank Funding Rate: 4.32% volume: $276B
- Earlier Repo Reference Rates
- Secured Overnight Financing Rate (SOFR): 4.31%, $1.248T
- Broad General Collateral Rate (BGCR): 4.28%, $449B
- Tri-Party General Collateral Rate (TGCR): 4.28%, $429B
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US: Correction: CME Group Holiday Hours
Dec-19 14:00
Correction to 0633ET bullet lead re: Christmas holiday hours:
- Trading floor closes at 1300ET while Globex close runs to 1600ET.
- Monday, Dec 26 is a full close w/ Globex reopening 1700ET
- Link to CME for reference
FRANCE T-BILL AUCTION RESULTS: 12/34/49-week BTFs
Dec-19 13:56
| Type | 12-week BTF | 34-week BTF | 49-week BTF |
| Maturity | Mar 15, 2023 | Aug 9, 2023 | Nov 29, 2023 |
| Amount | E1.68bln | E499mln | E799mln |
| Target | E1.4-1.8bln | E0.1-0.5bln | E0.4-0.8bln |
| Previous | E3.19bln | E1.177bln | |
| Avg yield | 1.714% | 2.352% | 2.628% |
| Previous | 1.693% | 2.426% | |
| Bid-to-cover | 1.77x | 2.03x | 2.95x |
| Previous | 1.25x | 1.98x | |
| Previous date | Dec 12, 2022 | Dec 12, 2022 |
BONDS: Core FI weakness continues
Dec-19 13:54
- Weakness in core FI is continuing.
- Gilts kicked off the weakness this morning - we think on reports that the government would support businesses with capped unit energy prices until March 2024 - a policy that could be very expensive weighing on the long-end but could also be inflationary and hence weighing on the short-end. There was also a follow-through from the BOE's announcement Friday it would include long-dated gilts in the APF sales in Q1-23 (rather than just shorts and mediums as has been the case in Q4-22).
- Bunds had been grinding lower in sympathy while Treasuries started their decline about 90 minutes ago when the US started to get to their desks. The moves in USTs have now overtaken those seen in Bunds and helped contribute to continued weakness in gilts.
- 10-year gilt yields are around 15bp higher on the day, 10-year UST yields 7.5bp higher and 10-year Bund yields around 6.5bp higher. The UK curve has moved largely in parallel while US and German curves have bear steepened.
- At the time of writing TY1 futures are holding above Friday's intraday lows of 114-06 while Bund futures have moved to their lowest levels since 8 November and gilt futures to their lowest levels since 9 November.
