December 19, 2024 16:38 GMT
US TSYS/OVERNIGHT REPO: SOFR Dips Below EFFR, Post-FOMC Adjustments Pending
US TSYS/OVERNIGHT REPO
Secured rates fell back significantly Wednesday, with SOFR down 5bp to 4.57%. That move comes alongside GSE inflows reverberating through funding markets, and marks the first time this month that SOFR has printed below effective Fed funds (4.58%).
- Rates will adjust lower in Thursday's prints after the Fed's 25bp funds rate cut and 30bp ON RRP cuts are implemented - SOFR should fall by 26-30bp, with limited impact seen from the ON RRP tweak to EFFR.
REPO REFERENCE RATES (rate, change from prev. day, volume):
* Secured Overnight Financing Rate (SOFR): 4.57%, -0.05%, $2291B
* Broad General Collateral Rate (BGCR): 4.56%, -0.03%, $847B
* Tri-Party General Collateral Rate (TGCR): 4.56%, -0.03%, $820B
New York Fed EFFR for prior session (rate, chg from prev day):
* Daily Effective Fed Funds Rate: 4.58%, no change, volume: $112B
* Daily Overnight Bank Funding Rate: 4.58%, no change, volume: $251B
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