CA Markets：读懂美联储资产负债表与FIMA、IORB、SOFR的微妙联动

Core Viewpoint - The sudden spike in the Secured Overnight Financing Rate (SOFR) by 15 basis points has caused significant concern in the funding market, despite the stability of the Interest on Reserve Balances (IORB) rate and the Federal Reserve's balance sheet size [1][4]. Group 1: Federal Reserve's Balance Sheet and Operations - The Federal Reserve's balance sheet has increased from $4 trillion in spring 2020 to nearly $8.5 trillion, primarily through bond purchases and liquidity injections [3]. - The FIMA Repo facility serves as an emergency liquidity channel for foreign central banks, allowing them to convert long-duration U.S. Treasury securities into overnight reserves quickly [3][6]. Group 2: Interest Rates and Market Signals - The IORB rate acts as a benchmark for banks, influencing their willingness to lend in the repo market; adjustments to this rate can signal tightening or easing of monetary policy [3][8]. - SOFR reflects the actual overnight repo costs in the market; a SOFR exceeding IORB by more than 5 basis points indicates abnormal market stress and potential risk aversion [4][9]. Group 3: Monitoring and Practical Implications - Investors should monitor the total balance sheet size, FIMA balances, IORB rates, and SOFR daily to gauge liquidity conditions [10]. - A significant rise in FIMA balances may indicate cash accumulation by foreign central banks, while a high SOFR could suggest tightening liquidity [12][11]. - Observing ON-RRP transaction volumes can provide insights into overall risk sentiment, with high volumes often signaling a decline in risk appetite [13].