Wells Fargo Securities Garret Sloan writes, "After taking a wild ride over the past few months, the SIFMA 7-day index appears to be finding an equilibrium level in the mid-50s. In December, the index remained relatively uncorrelated with the movement of the Fed funds rate, remaining pinned at 1 basis point for another three months before moving in response to tax-related outflows in March. Previous rate cycles have seen SIFMA move more quickly, though not in a 1-for-1 relationship. In 2004 the SIFMA index rose in relative lockstep with the Fed funds rate, though the magnitude of the increases did not follow the Fed funds market. At the beginning of the tightening cycle of 2004 the SIFMA 7-day rate and the Fed funds target rate were close to being equivalent, but by the peak of the tightening cycle in 2006, the SIFMA Index lagged the Fed funds rate by almost 200 basis points." RBC Capital Markets' Michael Cloherty adds, "SIFMA stopped falling after it reversed about 2/3 of the widening from early July to MMF reform (richer prices are causing the nontraditional buyers to exit). Another 2.5bp tightening in LIBOR/OIS would put the LIBOR improvement on the same footing as SIFMA, but we think year-end will cause the LIBOR tightening to pause. What makes us cautious about the front end is concern that year-end RP costs may rise as we see what happens on Nov 30th, making the carry on spread longs suffer."

Email This Article




Use a comma or a semicolon to separate

captcha image

Daily Link Archive

2024 2023 2022
March December December
February November November
January October October
September September
August August
July July
June June
May May
April April
March March
February February
January January
2021 2020 2019
December December December
November November November
October October October
September September September
August August August
July July July
June June June
May May May
April April April
March March March
February February February
January January January
2018 2017 2016
December December December
November November November
October October October
September September September
August August August
July July July
June June June
May May May
April April April
March March March
February February February
January January January
2015 2014 2013
December December December
November November November
October October October
September September September
August August August
July July July
June June June
May May May
April April April
March March March
February February February
January January January
2012 2011 2010
December December December
November November November
October October October
September September September
August August August
July July July
June June June
May May May
April April April
March March March
February February February
January January January
2009 2008 2007
December December December
November November November
October October October
September September September
August August August
July July July
June June June
May May May
April April April
March March March
February February February
January January January
2006
December
November
October
September