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SHORT TERM RATESUS DOLLAR LIBOR: Latest settlements
- O/N -0.00037 at 0.07363% (+0.00100/wk)
- 1 Month +0.00237 to 0.09025% (+0.00662/wk)
- 3 Month -0.00300 to 0.12375% (+0.00262/wk) ** Record Low 0.11413% on 9/12/21
- 6 Month -0.00038 to 0.15675% (+0.00025/wk)
- 1 Year +0.00437 to 0.26575% (+0.01875/wk)
- Daily Effective Fed Funds Rate: 0.08% volume: $76B
- Daily Overnight Bank Funding Rate: 0.07% volume: $275B
- Secured Overnight Financing Rate (SOFR): 0.05%, $925B
- Broad General Collateral Rate (BGCR): 0.05%, $369B
- Tri-Party General Collateral Rate (TGCR): 0.05%, $347B
- (rate, volume levels reflect prior session)
- Tsys 4.5Y-7Y, $6.025B accepted vs. $24.108B submission
- Next scheduled purchase
- Thu 10/14 1010-1030ET: Tsy 22.5Y-30Y, appr $2.025B
- Thu 10/14 1500ET: Update NY Fed Operational Purchase Schedule
FED Reverse Repo Operation
EURODOLLAR/TREASURY OPTIONS SUMMARY
+5,000 Red Dec 99.75/99.87 call spds, 1.0
+2,500 long Green Dec 99.37 straddles, 33.5
+2,500 short Nov 99.12/99.25 put spds, 1.5 vs. 99.33/0.08%
+4,000 short Oct 99.25/99.37/99.50 put flys, 9.0
+5,000 Jun 99.50 puts, 2.5
+9,000 Green Dec 99.25 calls, 1.25
5,000 short Dec 99.25/99.50 put spds
7,800 Blue Oct 98.12/98.37 put spds
1,000 Blue Dec 98.00/98.12/98.25/98.50 put condor
-1,500 TYZ 126.5/134 strangles, 4
18,000 TYX 130/130.5 put spds, 5
12,000 wk3 TY 130.5/131 put spds, 8
4,000 USV 151 puts
2,000 TYZ 130/132 risk reversal, 4 net/call over