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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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Get the latest on Central Bank Policy and FX & FI Markets to help inform both your strategic and tactical decision-making.
Free AccessMNI ASIA MARKETS ANALYSIS:
HIGHLIGHTS
US TSYS
SOFR FIXES AND PRIOR SESSION REFERENCE RATES
SOFR Benchmark Settlements:
- 1M -0.00589 to 5.33568 (+0.00216/wk)
- 3M +0.02686 to 5.12841 (+0.01572/wk)
- 6M +0.05907 to 4.83969 (+0.03372/wk)
- 12M +0.10199 to 4.38660 (+0.03252/wk)
- Secured Overnight Financing Rate (SOFR): 5.32% (-0.03), volume: $2.131T
- Broad General Collateral Rate (BGCR): 5.32% (+0.00), volume: $799B
- Tri-Party General Collateral Rate (TGCR): 5.31% (-0.01), volume: $778B
- (rate, volume levels reflect prior session)
- Daily Effective Fed Funds Rate: 5.33% (+0.00), volume: $93B
- Daily Overnight Bank Funding Rate: 5.33% (+0.01), volume: $261B
FED Reverse Repo Operation
RRP usage rebounds to $330.317B from $307.141B Thursday -- compares to $286.660B on Wednesday, Aug 7 -- the lowest since mid-May 2021. Number of counterparties steady at 63.
US SOFR/TREASURY OPTION SUMMARY
Option desks reported mixed SOFR/Treasury option flow overnight on lighter volumes, SOFR leaning towards early 2025 call skew buying, Treasury options leaning towards 10Y puts. Underlying futures firmer on light summer volume (TYU4 <290k). Projected rate cuts have receded vs. late Friday levels (*): Sep'24 cumulative -33.1bp (-33.8bp), Nov'24 cumulative -62.8bp (-64.2bp), Dec'24 -95.4bp (-96.8bp).
SOFR Options:
-10,000 SFRU4 94.81/95.00 put spds, 2 ref 95.0625
+15,000 SFRU4 95.18/95.31 call spds 1.75-2.0 ref 95.06
Block, 8,000 SFRU4 94.87/95.00 put spds 1.75 ref 95.0625
Block/screen, +6,000 SFRH5 96.25/96.50 call spds vs. 95.50/95.75 put spds, 1.0 net call spd over vs. 96.155/0.25%
Treasury Options:
Block, +5,000 wk1 TY 112.5/113.5 2x1 put spds, 8 vs. 113-07.5/0.10%
20,500 TYU4 112.5 puts, some tied to 113.5 calls/strangle
over 3,900 TYU4 113 puts, 14 ref 113-08.5
3,000 TYU4 113.25 straddles, 47 ref 113-09
2,200 TYU4 113.25 calls, 18 ref 113-08
EGBS
OPS
FOREX
EXP
EQUITIES
TX
COMMODITIES
TUESDAY DATA CALENDAR
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Why MNI
MNI is the leading provider
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