At Any Rate US Rates - So long EFFR, welcome TGCR
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Sep 26, 2025 Teresa Ho, Head of U.S. Short Duration Strategy at J.P. Morgan, joins Ipek Ozil to discuss pivotal changes in money market rates. They delve into the transition from EFFR to TGCR, highlighting TGCR's advantages as a more comprehensive benchmark. The duo analyzes recent funding volatility, particularly around corporate tax day, and explores the implications for quantitative tightening and reserve management. Their insights on repo dynamics and market behaviors provide a fascinating look at the future of U.S. rates.
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SOFR, Fed Funds And Swap Spread Disconnect
- SOFR moved well above effective Fed funds in September, driven by repo and money market dynamics.
- Swap spreads stayed relatively stable even as funding volatility rose, with some widening after TGCR comments.
Corporate Tax Day Passed Orderly
- Corporate tax day was a non-event because banks and pockets of non-money fund cash stepped into repo as rates cheapened.
- Teresa met dealers and banks who confirmed banks deployed excess liquidity and regulatory flexibility helped.
Reserves Still Provide A Cushion
- Current reserve levels remain well above 2019 scarcity, around 9–10% of GDP versus 7% then.
- That buffer allowed banks to push liquidity into repo instead of causing a funding squeeze.