SOFR tipped to hit 300bp at quarter-end
US repo rate set for 25% spike thanks to French bank “window dressing” and US Treasury issuance
A broad measure of US overnight repo rates is expected to surge by nearly 25% to around 300 basis points at the end of March, as quarter-end leverage ratio window-dressing from French banks takes effect and a glut of new US Treasuries enters the market.
The twin drivers were partly blamed for pushing the Secured Overnight Financing Rate (SOFR) – the new benchmark measuring US repo – up 54bp to 300bp on December 31, while the general collateral repo market hit intraday highs of 725bp. The
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