ARGENTINA: IMF Agreement Expected Soon, February Tax Revenue Due
Mar-05 14:08
* The local market reopens today after the carnival holiday, with February tax revenue figures due...
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STIR: Effective Fed Funds Rate
Feb-03 14:07
- FRBNY EFFR for prior session:
- Daily Effective Fed Funds Rate: 4.33% (+0.00), volume: $83B
- Daily Overnight Bank Funding Rate: 4.33% (+0.00), volume: $227B
- Earlier Repo Reference Rates
- Secured Overnight Financing Rate (SOFR): 4.38% (+0.02), volume: $2.533T
- Broad General Collateral Rate (BGCR): 4.34% (+0.00), volume: $918B
- Tri-Party General Collateral Rate (TCR): 4.34% (+0.00), volume: $892B
- (rate, volume levels reflect prior session)
FRANCE AUCTION RESULTS: 14/23/25/51-week BTFs
Feb-03 13:55
| Type | 14-week BTF | 23-week BTF | 25-week BTF | 51-week BTF |
| Maturity | May 14, 2025 | Jul 17, 2025 | Jul 30, 2025 | Jan 28, 2026 |
| Amount | E2.594bln | E498mln | E1.898bln | E2.196bln |
| Target | E2.2-2.6bln | E0.1-0.5bln | E1.5-1.9bln | E1.8-2.2bln |
| Previous | E2.994bln | E2.098bln | E2.197bln | |
| Avg yield | 2.496% | 2.381% | 2.395% | 2.218% |
| Previous | 2.608% | 2.508% | 2.407% | |
| Bid-to-cover | 3.52x | 4.3x | 3.31x | 3.36x |
| Previous | 3.91x | 3.99x | 4.05x | |
| Previous date | Jan 27, 2025 | Jan 27, 2025 | Jan 27, 2025 |
US TSYS: Early SOFR/Treasury Option Roundup: Upside Calls, Curves Twist Flatter
Feb-03 13:33
Option desks reported mixed SOFR & Treasury flow overnight, leaning towards upside calls on decent volumes. Underlying futures stronger, near early overnight highs after Pres Trump follows through with 25% tariffs on Mexico & Canada, 10% on China effective February 4. Heavy volumes (TYH5 near 1M at the moment), curves twist flatter as short end lags Bonds (2s10s -7.148 at 26.601). Projected rate cuts through mid-2025 vs. late Friday (*) levels as follows: Mar'25 at -3.7bp (-3.9bp), May'25 at -10.3bp (-11.8bp), Jun'25 at -19.7bp (-22.6), Jul'25 at -24.9bp (-28.5bp).
- SOFR Options
- 11,000 0QK5 97.00 calls ref 96.09
- Block, 1,500 SFRU5 96.62/97.12 2x3 call spds, 2.5 ref 95.975
- 3,500 SFRH5 95.68/95.75/95.81 call flys ref 95.74
- +6,000 SFRJ5 95.68/95.75/95.81/95.87 put condors, 2.75 ref 95.85
- 1,500 0QH5 96.25/96.50/96.75 call flys
- -19,850 SFRH5 95.00/95.62/96.00 broken call flys, 51.5 ref 95.735/0.85%
- 4,000 SFRZ5 96.00/96.37/96.75 call flys, 5 ref 96.01
- 2,000 SFRM5 95.75/96.00/96.12 broken call flys ref 95.85
- 2,250 0QJ5 95.81/95.93 put spds vs. SFRJ5 95.68 puts
- Block, 2,500 SFRU5 95.87/96.00 put spds, 7.0 ref 95.96
- 5,000 SFRZ5 96.50/97.00/97.50 call spds ref 96.04
- Blocks, +9,000 0QG5 96.31 calls, 2.0 to 2.5 ref 96.04 to -.075
- 2,000 SFRM5 96.00/96.25/96.37/96.62 call flys ref 95.875
- Treasury Options:
- -3,000 TYH5 109.25 straddles, 121
- +5,000 TYH5 110/111 call spds, 10-11
- 5,000 TYH5 107 puts, 7 ref 109-02.5
- -7,000 TYH5 108.5/109.75 call spds, 35 ref 108-30 to -30.5
- 4,000 FVH5 108/108.5 call spds ref 106-08.75 to -09
- +20,000 Monday weekly FV 106 puts, 0.5-1.5
