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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)
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