Wells Fargo Securities' Garret Sloan and Vanessa Hubbard write in their latest "Daily Short Stuff," "Last week we commented on the significant week-​over-​week jump in the SIFMA index.... This week there has been another dramatic increase as the index reset 31 basis points higher yesterday, beating last week'​s move as the largest weekly climb since the end of 2008. All of the reasons we gave last week for the recent rise are still relevant, most notably end of year supply and liquidity dynamics. In the month of December, the weekly SIFMA index has gained 71 basis points over four short weeks. To put this move into perspective, from January 2017 to the first week in December, the index has climbed just 32 basis points. This 32 basis point move over 49 weeks withstood three Fed fund rate hikes of 25 basis points each. Year-​end liquidity constraints are exasperating the upward trajectory in the weekly SIFMA index." They add, "Similarly, but not as dramatic, commercial paper rates have risen quickly over the past few weeks as well mostly attributed to end of year liquidity dynamics. The 5-​day moving average for 30 day Tier-​1 nonfinancial CP according to Fed data has risen by about 27 basis points in the month of December and the index for Tier-​1 financial CP has risen by 24 basis points. Tier-​2 CP rates have climbed in aggregate an average of 35 basis points over this same timeframe. Supply has also increased over this period with commercial paper outstanding on a seasonally adjusted basis growing from $​1.​05 trillion at the beginning of December to $​1.​08 trillion last week."

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