Repo price spike concentrated in FICC DVP market
Soaring demand for cleared repo blamed for largest SOFR spike in four years
The surprise spike in US repo rates at the start of December was isolated to the centrally cleared bilateral market, as dealers looked to manage capital requirements in response to a month-end surge in US Treasury supply, say market participants.
December 1 saw the US secured overnight financing rate (SOFR) leap six basis points to an all-time high of 5.39%. It was the largest overnight move in SOFR – outside of a rate rise – in four years. SOFR remained high the following Monday, December 4, at
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