FOREX: FX Exchange traded roll update

• FRBNY EFFR for prior session:
  • Daily Effective Fed Funds Rate: 4.33% (+0.00), volume: $107B
  • Daily Overnight Bank Funding Rate: 4.33% (+0.00), volume: $286B
• Earlier Repo Reference Rates
  • Secured Overnight Financing Rate (SOFR): 4.35% (-0.01), volume: $2.336T
  • Broad General Collateral Rate (BGCR): 4.34% (+0.00), volume: $929B
  • Tri-Party General Collateral Rate (TCR): 4.34% (+0.00), volume: $901B
  • (rate, volume levels reflect prior session)

• Overall Volumes are below averages in Government Bonds on both sides of the Atlantic, but there has been some pick up in demand in the past 10 minutes or so.
• TYA is bought in 10k cumulative volumes, FVA 5k, USA 2k and in Europe, Schatz and Bund in 5k respectively.
• We already noted on the Bund open that the German contract was already trading at pre NFP level, and that the initial resistance is still unchanged at 133.86.
• For the US Tnotes (TYH5), the contract would need a test to 109.18 to trade at pre NFP levels now trading at 109.09.

Slovakia has announced it will be looking to sell the following at its auction next Monday, February 17:

• the 3.00% Feb-28 SlovGB (ISIN: SK4000024683)
• the 3.75% Mar-34 SlovGB (ISIN: SK4000024865)
• the 3.75% Feb-35 SlovGB (ISIN: SK4000022539)
• the 2.00% Oct-47 SlovGB (ISIN: SK4120013400)