Money Market Brief

SOFR drops to RRP, while 1-month bill yields continue to fall. TGA refill via RRP drain seems unlikely. Reserves will fall, but other forms of liquidity remain ample, as explained in our last article

As a reminder, the newsletter went “pro” last week. Thanks to everyone who subscribed. In case you missed it, our latest piece is linked below.

The Transitory Pause

In our upcoming article, we’ll look at some recent developments in repo and how they may influence markets. But first, a money market update.

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bonus: still no sign of a dollar shortage (lower and faster negative basis)