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🥷 MONEY MARKET SNAPSHOT (2026-07-23) 

BILLS
— RATES:
   • 1-month: 3.748%
   • 3-month: 3.9%
   • 6-month: 4.054%
   • 12-month: 4.135%
— AUCTIONS:
   • Today, Treasury auctioned $106bln of 2m bills, and $116.6bln of 1m bills
   • Treasury will offer $92bln in 3m bills on Monday, $79bln in 6m bills on Monday, and $95bln in 6w bills on Tuesday
— SETTLEMENTS:
   • $37.253bln in net new cash raised (bills issued) by Treasury today 

COUPONS
— AUCTIONS:
   • Today, Treasury auctioned $23.3bln of 10y coupons
   • Treasury will offer $70bln in 5y coupons on Monday, $69bln in 2y coupons on Monday, $44bln in 7y coupons on Tuesday, and $30bln in 2y coupons on Wednesday
— SETTLEMENTS:
   • $13bln in net new cash raised (coupons issued) by Treasury tomorrow 

TGA (TREASURY GENERAL ACCOUNT)
— LATEST CASH BALANCE: $835bln
  • a $40bln decrease from the previous update ($875bln)
  • $115bln below the Treasury’s target cash balance
— TARGET CASH BALANCE: $950bln

RESERVE BALANCES
— OUTSTANDING: Banks’ reserve balances rose $43.8bln to $3.14trln from $3.10trln since Wednesday
— NEW YORK: FRBNY held a 57.05% share of bank cash as of Wednesday
— SAN FRAN: FRBSF held a 10.94% share of bank cash as of Wednesday

FED OMOs (OPEN MARKET OPERATIONS)
— o/n SRPs, MORNING OPERATION: The Desk lent $0.0bln in the morning operation
— o/n SRPs, AFTERNOON OPERATION: The Desk lent $0.007bln in the afternoon operation
— o/n RRPs: The Desk accepted $0.904bln in the afternoon operation
— SEC LENDING: The Desk lent $36.62bln of SOMA securities to primary dealers

FED SECURED BENCHMARKS
— SOFR (o/n TSY REPO RATE AVG): 3.62% (prev: 3.61%)
  • TRADING RANGE: 3.56%-3.70%
  • 75TH PERCENTILE: 3.67%
  • 25TH PERCENTILE: 3.60%
  • SOFR-IORB SPREAD: -3bps (banks unlikely to be repo lenders) 
— TGCR (o/n TRIPARTY RATE AVG): 3.60% (prev: 3.58%)
— BGCR (TGCR + INTERDEALER RATE AVG): 3.60% (prev: 3.58%)

FED UNSECURED BENCHMARKS
— EFFR (o/n FF RATE AVG): 3.63% (prev: 3.63%)
  • TRADING RANGE: 3.60%-3.66%
  • 75TH PERCENTILE: 3.63%
  • 25TH PERCENTILE: 3.62%
  • IORB-EFFR SPREAD: 2bps (i.e. foreign banks arbing, on avg, 2bps)
— OBFR (EURODOLLARS): 3.63% (prev: 3.63%)
  • TRADING RANGE: 3.55%-3.68%
  • 75TH PERCENTILE: 3.63%
  • 25TH PERCENTILE: 3.62% 
  • IORB-OBFR SPREAD: 2bps (i.e. foreign banks arbing, on avg, 2bps)

FED ADMINISTERED RATES
— SRPs: 3.75%
— IORB: 3.65%
— RRPs: 3.50%
— FRPs (FOREIGN REPO POOL): 3.50%

SECURED MARKETS
— REPO
  — RATES
    • GC
      • o/n: 3.66%
      • TERM
        • 1-week: 3.66%
        • 2-week: 3.68%
        • 1-month: 3.68%
    • OFR (OFFICE OF FINANCIAL RESEARCH)
      • o/n DVP (DELIVERY VS. PAYMENT): 3.63%
      • o/n GCF (INTERDEALER): 3.66%
      • o/n TPR (TRIPARTY): 3.65%
  — VOLUMES
    — FEDERAL RESERVE
      • SOFR: $3.026trln (prev: $2.975trln)
      • TGCR: $1.219trln (prev: $1.218trln)
      • BGCR: $1.258trln (prev: $1.248trln)
      • FRP (FOREIGN REPO POOL): $347.07bln (prev: $346.05bln)
    — OFR (OFFICE OF FINANCIAL RESEARCH)
      • o/n DVP (DELIVERY VS. PAYMENT): $2.766trln (prev: $2.749trln)
      • o/n GCF (INTERDEALER): $0.240trln (prev: $0.229trln)
      • o/n TPR (TRIPARTY): $2.388trln (prev: $2.369trln)
    — SPONSORED (AS REPORTED BY DTCC)
      • VOLUMES: $2.317trln
      • a decrease of $5bln from the previous release of $2.322trln 
      • Sponsored GC saw $0.731trln while Sponsored DVP saw $1.586trln
  — FAILS (AS REPORTED BY DTCC)
    • TSY: $33.93bln
    • AGENCY: $0.03bln 
— FX IMPLIED (€/$)
  — RATES
    • 3-month: 3.99%

UNSECURED MARKETS
— FED FUNDS
  • VOLUMES
    • EFFR (o/n FF): $102bln (prev: $106bln)
— EURODOLLARS    
  • VOLUMES
    • OBFR: $249bln (prev: $250bln)
— COMMERCIAL PAPER
  • RATES (AA FIN) 
    • o/n: 3.61%
    • 1-week: 3.63%
    • 1-month: 3.66%
    • 3-month: 3.76%
  • ISSUES (AA FIN)
    • o/n: 123 issues at ~o/n tenors
    • 1-month: no issues at ~1m tenors
    • 3-month: 2 issues at ~3m tenors
  • OUTSTANDING 
    • FINANCIAL CP: $625.36bln
    • NON-FINANCIAL CP: $342.99bln
    • ASSET-BACKED CP: $468.63bln
    • BESPOKE: $14.44bln

BASIS MARKETS
— SOFR-FF (SERFF)
  • LATEST (Jul’26): 0.75bps
  • NEXT (Aug’26): -2bps
  • YEAR-END (Dec’26): -4bps
— XCCY
  • €/$ (3-month): 0bps
— EQUITY FUTURES (S&P500) A.K.A “EQUITY REPO”
  • LATEST: +45bps over o/n FF (prev: +52.5bps)
  • QUARTER-END: +49.5bps over o/n FF (prev: +51bps)
  • YEAR-END: +63bps over o/n FF (prev: +65bps)

SOURCES: U.S. TREASURY, FRBNY, OFR, OTC, DTCC, CME, CIA (CONKS INTELLIGENCE AGENCY)
DISCLAIMER: Not financial advice. By viewing this content, you agree to the terms (https://www.conks.plumbing/tos) under CHAT FEED TERMS

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