US TSYS/OVERNIGHT REPO
Secured funding rates rose Monday, led by a 5bp jump in SOFR to a fresh December high of 4.65%. This was not a wholly unexpected development, with a key quarterly tax deadline and Treasury settlements seen applying upward pressure.
- The 7bp SOFR-EFFR spread is unusually high (EFFR printed 4.58% as usual) outside a month-end date, last being this wide on Oct 31.
- As noted yesterday, SOFR and other rates are set to subside later in the week before like being pressured again at month/quarter/year-end, with an additional factor applying downside pressure including a possible/likely 5bp downward adjustment to ON RRP on Thursday post-FOMC.
- Of eight analysts who expressed an opinion, 6 saw the Fed adjusting ON RRP 5bp lower this week, versus two (Citi and Wrightson ICAP) seeing such a tweak as taking place at a future meeting.
REPO REFERENCE RATES (rate, change from prev. day, volume):
* Secured Overnight Financing Rate (SOFR): 4.65%, 0.05%, $2360B
* Broad General Collateral Rate (BGCR): 4.61%, 0.02%, $842B
* Tri-Party General Collateral Rate (TGCR): 4.61%, 0.02%, $818B
New York Fed EFFR for prior session (rate, chg from prev day):
* Daily Effective Fed Funds Rate: 4.58%, no change, volume: $99B
* Daily Overnight Bank Funding Rate: 4.58%, no change, volume: $224B
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