Live Updates > Live Update Details
2025-09-15 20:26:41
[Suddenly Tightened Funding, Upper Limit of Interest Rate Corridor Broken!] ⑴ Driven by the accumulation of cash during the September tax season and the settlement of a $78 billion Treasury auction, the overnight collateral rate (GC) bid price surged to 4.60%, a significant increase of 12 basis points from last Friday. ⑵ Capital outflow pressure, coupled with market bullish positioning in anticipation of a Federal Open Market Committee rate cut on Wednesday, has led to insufficient money supply, causing the GC rate to breach the upper limit of the 4.25%-4.50% interest rate corridor by 10 basis points. ⑶ The Federal Reserve's open market operation (RP) will be conducted at 1:30 a.m. on Wednesday at a rate of 4.50%, with a maximum size of $500 billion. If overnight interest rates remain high, this operation is likely to see significant use. ⑷ Demand for RP operations has recently been declining. Total demand on September 12th was $17.33 billion, down from $26.9 billion the previous day, with participants allocating $3.58 billion each. (5) The 10-year Treasury premium disappeared with the completion of the current coupon settlement, while the 20-year Treasury premium rose to 55 basis points before Thursday's auction. The 5-year Treasury premium rose to 20 basis points through the GC rate. (6) The interest rate swap market shows that the 0x3 OIS fell to 3.953%, 43.7 basis points below the 10-day average SOFR, indicating that the market is fully pricing in a 25 basis point rate cut to 4.00%-4.25% in September. (7) The current federal funds market interest rate range is 4.31%-4.33%, and federal funds futures are pricing in a 100% probability of a 25 basis point rate cut in September, consistent with SOFR futures expectations. (8) The 1-month, 2-month, and 3-month repo rates were reported at 4.23%, 4.27%, and 4.28%, respectively. The GCF bid price reached 4.61%, and the collateral bid price rose to 4.67%. ⑼ The interest rate spread between GC and the overnight interbank reserve requirement ratio is 0.20%, the interest rate spread with RP is 0.21%, and the interest rate spread with 0x3 OIS is 0.547%, indicating a significant increase in short-term funding costs. ⑽ Market expectations and technical factors such as tax periods and auctions have exacerbated liquidity fluctuations. Trading institutions are closely monitoring the game between interest rate corridor pressure and policy adjustment signals.
