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US TSYS/OVERNIGHT REPO: SOFR Softens As Month-End Effects Continue To Reverse

US TSYS/OVERNIGHT REPO
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Monday saw a swift reversal lower in repo rates, per NY Fed data out today: SOFR fell 4bp to 4.82%, and vs 4.90% posted on Oct 31. This is largely due to month-end effects which are now unwinding. Nothing in the distribution of rates by percentiles looks out of the ordinary for a post-month end move (see chart). Meanwhile, effective Fed funds remain steady as usual - though are set to drop effective Friday after the expected Fed 25bp rate cut on Thursday (to a range of 4.50-4.75%).

REPO REFERENCE RATES (rate, change from prev. day, volume):

  • Secured Overnight Financing Rate (SOFR): 4.82%, -0.04%, $2308B
  • Broad General Collateral Rate (BGCR): 4.82%, -0.02%, $796B
  • Tri-Party General Collateral Rate (TGCR): 4.82%, -0.02%, $764B

New York Fed EFFR for prior session (rate, chg from prev day):

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Monday saw a swift reversal lower in repo rates, per NY Fed data out today: SOFR fell 4bp to 4.82%, and vs 4.90% posted on Oct 31. This is largely due to month-end effects which are now unwinding. Nothing in the distribution of rates by percentiles looks out of the ordinary for a post-month end move (see chart). Meanwhile, effective Fed funds remain steady as usual - though are set to drop effective Friday after the expected Fed 25bp rate cut on Thursday (to a range of 4.50-4.75%).

REPO REFERENCE RATES (rate, change from prev. day, volume):

  • Secured Overnight Financing Rate (SOFR): 4.82%, -0.04%, $2308B
  • Broad General Collateral Rate (BGCR): 4.82%, -0.02%, $796B
  • Tri-Party General Collateral Rate (TGCR): 4.82%, -0.02%, $764B

New York Fed EFFR for prior session (rate, chg from prev day):

Keep reading...Show less