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SOFR Dip Could Persist: Wrightson ICAP

US TSYS

SOFR fell slightly Wednesday (pre-Thanksgiving data just released today) to 3.79% from 3.80% (had been 3.80% or above for 6 consecutive days).

  • Wrightson ICAP attributes the dip to "unexpected softness" in Delivery-versus-Payment (DVP) rates on Wednesday. (SOFR includes all trades in Broad General Collateral, and bilateral repo cleared through the DVP service offered by FICC).
  • Today Wrightson ICAP expects the SOFR softness could reverse amid Treasury auction settlements, but see SOFR dipping again by next Tuesday to 3.78%, remaining between there and 3.79% until the FOMC meeting. That contrasts vs the 3.81% high on Nov 16.

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