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Money Markets & Liquidity Weekly

Week covered: Monday 28 September – Friday 2 October 2026 · Published Saturday 3 October 2026 · By Nitesh Soni

Key takeaways

1. The dollar's plumbing passed its quarter-end test easily. SOFR, the main overnight dollar funding rate, printed 3.90% on 30 September and 3.87% on 1 October, and even its 99th percentile stayed below the Fed's 4.00% standing repo rate ^{[1, 2, 3, 4]}. Banks took only $1.2 billion from the Fed's standing repo facility at the turn ^{[5, 6]}. Two weeks after a rate rise, the world's core funding market shows no strain, which is part of why capital keeps choosing dollars.
2. The front end still prices more tightening, the long end prices more risk. Three-month Treasury bill yields eased to 4.19% from 4.28% on Monday, still well above the 3.90% the Fed pays on reserves ^{[7, 8, 9, 10, 11]}. Since the war began on 28 February, the 2-year yield has risen 1.45 points and the 10-year 1.31 ^[12]. Short-term money is pricing central banks; long-term money is pricing inflation and supply risk.
3. Hedged into dollars, Indian bills pay less than US bills. The 91-day Indian Treasury bill cleared at 5.52% on 30 September ^{[13, 14]}, but three-month forward cover against the dollar cost an annualised 3.61% on the latest published data, up from 3.40% a week earlier ^{[15, 16]}. That leaves about 1.9% for a dollar investor who hedges, against 4.19% on a three-month US bill ^[8]. Unhedged, the rupee's 6.4% fall this year does the damage instead ^[17]. Either way, short-term money has little reason to move into rupees.
4. India is draining a huge rupee surplus while selling dollars. The RBI absorbed about ₹4.87 lakh crore net on 30 September ^[18], completed a ₹1 lakh crore programme of bond sales ^{[19, 20, 21]}, and its reserves fell $18.34 billion in a week ^{[22, 23, 24]}. Indian bill yields rose before the 7 October policy meeting: the 364-day to 6.18% from 6.09% ^{[13, 14, 25]}. Short-term rupee borrowing costs are rising ahead of the RBI.
5. Europe's money market is calm at the ECB's rate; Japan and China are moving in opposite directions. The euro overnight rate held near 2.44%, just under the ECB's 2.50% deposit rate ^{[26, 27, 28, 29]}. The Bank of Japan's policy rate is 1.25% after its September rise ^{[30, 31]}, while China's central bank cut a lending rate and added credit quotas ^{[32, 33]}. Money is getting dearer almost everywhere except China.
6. Next week decides the price of short-term money in two of the world's largest economies. The RBI announces on 7 October, with most economists expecting a rise to 5.50% ^{[34, 35]}, and the Fed releases the minutes of its September meeting the same day ^{[36, 37, 38, 39]}. Both will show whether policymakers think the energy shock calls for more tightening.

Mind, matter, money: the plumbing of power

Money markets are where the third pillar, money, is decided day by day: whose overnight rate the world's banks and funds can rely on, whose central bank can supply cash in a crisis, and whose currency is worth holding short term. Technology (mind) and energy (matter) feed into it through payments and inflation.

Mind: payments and technology

• Payments are part of the contest over the future of money. Fed Governor Waller spoke this week on AI agents in payments ^[40].
• Gained ground: no major move this week. Lost ground: no major move this week.

Matter: energy and the price of money

• The energy shock reaches money markets through inflation and through importers' demand for dollars. Market reports tied the rupee's fall on 1 October to higher global yields, a firmer dollar and Brent above $100 ^{[41, 42]}.
• Bill yields above the Fed's interest on reserves show markets still expect the energy shock to keep rates high ^{[8, 11]}.
• Gained ground: energy exporters, whose currencies need no defending. Lost ground: energy importers, which pay for oil in dollars and see forward cover get dearer ^{[15, 16]}.

Money: the dollar, reserves and funding

• The Fed's rate corridor works: interest on reserves sits at 3.90%, the effective fed funds rate at 3.88% and SOFR within a few hundredths of it ^{[1, 2, 10, 11, 43, 44]}. Reserves averaged $2.948 trillion in the week to 30 September, up $17.9 billion ^{[45, 46]}.
• The Fed sees no need to add reserves for now: the New York Fed plans no reserve management purchases for 15 September to 14 October ^{[47, 48, 49]}.
• India's money market sits on a surplus of about ₹14 lakh crore, which the RBI is shrinking with daily reverse repo auctions and bond sales ^{[18, 19, 50, 51]}.
• Gained ground: the dollar as the world's funding currency. Lost ground: currencies that need their central bank's reserves to hold steady.

Where the players stand

How the week connected

1. Quarter-end → US funding. Cash demand peaked on 30 September, but SOFR moved only a few hundredths and the standing repo facility lent just $1.2 billion ^{[1, 2, 5, 6]}.
2. Fed rise → front end. Bill auctions cleared at higher rates early in the week, then bills rallied as the odds of another Fed rise fell ^{[7, 8, 62]}.
3. Energy and term premium → long end. The 10-year rose to 5.28% even as bills eased ^{[8, 63]}.
4. US yields → the dollar → the rupee. A firmer dollar and higher global yields pushed the rupee to 96.31 on 1 October ^{[41, 42]}.
5. Rupee defence → rupee liquidity. RBI reserves fell $18.34 billion in a week ^{[22, 23, 24]}; selling dollars drains rupees, on top of the RBI's own bond sales ^{[19, 20]}.
6. Policy expectations → Indian bills. Bill yields rose before the 7 October decision ^{[13, 14]}, and forward cover got dearer ^{[15, 16]}.

Sources for the chart: ^{[7, 8, 9, 64, 65]}.

What short-term money earns, and what hedging costs

Three points stand out. First, the dollar pays more at the short end than the euro or the yen, which keeps money in dollars without any need to take risk. Second, India's higher bill yield disappears once the currency is hedged, because forward cover costs 3.61% a year; that cost rose a fifth of a point in a week as the rupee weakened ^{[15, 16]}. Third, the same forward premium is what Indian importers pay to lock in dollars for oil and components, so the energy bill and the cost of hedging rise together.

What it means for you

• If you borrow. Floating-rate loans follow overnight benchmarks: SOFR in dollars at about 3.9%, €STR in euros at about 2.4%, and India's repo-linked rates, which most economists expect to rise on 7 October ^{[1, 26, 35]}. Long-term fixed rates follow bond yields, which are higher still ^[8].
• If you hold cash. Dollar bills pay about 4.2% ^{[8, 9]}, euro overnight money about 2.4% ^[26], and rupee bills 5.5% to 6.2% ^[13]. Compare them only after the currency: the rupee is down 6.4% against the dollar this year ^[17].
• If you invest. The front end of the US curve still prices tightening; a soft inflation reading on 14 October would pull bill yields down fastest ^{[66, 67]}. In India, bill yields already price a rate rise ^{[13, 35]}.
• If you run a business. Hedging dollar payables against the rupee got dearer: three-month cover rose to 3.61% a year from 3.40% ^{[15, 16]}. Companies issuing short-term paper in India face higher rates as bill yields rise ^{[13, 68]}.
• If you pay for fuel and imported goods. A weaker currency raises the price of everything imported. The rupee is down 6.4% against the dollar this year ^[17] while Brent is above $100 ^{[41, 42]}, so fuel bought in rupees costs more even when the dollar price is flat; that is one reason most economists expect the RBI to raise rates on 7 October ^{[34, 35]}. In the US, the September CPI on 14 October ^{[66, 67]} shows whether energy is still pushing prices up.
• If you move money across currencies. The cost of hedging changes the answer. A higher local yield can be worth less than a lower dollar yield once currency risk is covered.

The detail

1. The US quarter-end: nothing happened, and that is the news

What happened. SOFR stayed between 3.87% and 3.90%, with quarter-end volume rising to $3,230 billion from $2,967 billion ^{[1, 2, 69]}. The effective fed funds rate stayed at 3.88% ^{[43, 44]}. Overnight reverse repo use rose to $11.539 billion on 30 September, then fell back to $0.350 billion on 1 October ^{[70, 71]}. The standing repo facility, offered at 4.00%, lent $1.2 billion on 30 September and nothing on 1–2 October ^{[5, 6, 11]}.

Why. Reserves averaged $2.948 trillion in the week to 30 September, $17.9 billion more than the week before ^{[45, 46]}. The New York Fed's schedule for 15 September to 14 October has about $15.6 billion of reinvestment purchases and none to add reserves ^{[47, 48, 49]}.

Knock-on effects. A calm quarter-end two weeks after a rate rise removes any funding argument for the Fed to add liquidity before its 27–28 October meeting ^{[36, 37]}.

2. The new rate corridor after the Fed's September rise

What happened. On 16 September the FOMC raised the target range a quarter point to 3.75–4.00% ^{[4, 52, 53, 54]}. From 17 September the Fed pays 3.90% on reserves, offers 3.75% at its overnight reverse repo facility and lends at 4.00% through the standing repo facility ^{[4, 11]}. The effective fed funds rate moved from 3.63% on 16 September to 3.88% on 17 September and has stayed there ^{[43, 44]}.

Knock-on effects. The corridor is doing its job, which means the Fed controls the price of overnight money precisely. What it does not control is the long end, where yields rose this week on their own.

3. Treasury bills: higher at auction, then a rally

What happened. On 28 September the 26-week bill sold at a 4.441% investment rate, up from 4.303% a week earlier, and on 29 September the new 52-week bill sold at 4.616% ^[62]. In the secondary market the bill curve peaked on Monday, with the 3-month at 4.28%, the 6-month at 4.41% and the 1-year at 4.59% ^{[7, 9, 72, 73]}. By Friday they were 4.19%, 4.27% and 4.46% ^[8].

Knock-on effects. Bills well above the 3.90% interest on reserves mean the market still prices some chance of another Fed rise. The minutes on 7 October ^{[36, 37, 38, 39]} and CPI on 14 October ^{[66, 67]} decide whether that premium survives.

4. India: surplus cash, active draining, rising bill yields

Daily operations. The RBI held overnight variable rate reverse repo auctions on 28–30 September, all at a 5.24% cut-off ^{[51, 61, 74, 75, 76]}. Including outstanding operations, it was absorbing ₹4,86,903.82 crore net on 30 September ^[18].

Durable surplus and bond sales. The system's durable liquidity surplus was ₹13,93,819 crore on 15 September, up from ₹10,66,303 crore on 31 August ^{[18, 50, 51, 76]}. The RBI's ₹1 lakh crore programme of bond sales ran in tranches on 17, 21 and 28 September; the final ₹25,000 crore tranche drew bids of ₹67,655 crore ^{[19, 20, 21, 77]}.

Overnight rates. Call money averaged 5.08% on 29 September and 5.22% on quarter-end; the larger triparty repo market averaged 5.05% and 5.07% ^{[18, 51, 76, 78]}. Most overnight trading sat just above the 5.00% floor of the Standing Deposit Facility ^{[18, 51]}.

Treasury bills. The 30 September auction cut-offs were 5.5199% for 91 days, 5.9601% for 182 days and 6.1798% for 364 days, against 5.3900%, 5.8196% and 6.0895% a week earlier ^{[13, 14, 25]}.

Knock-on effects. Overnight rates are pinned near the floor by the surplus, yet the 364-day bill trades almost a full point above the repo rate. That gap prices a tightening path, not today's liquidity, and the RBI's bond sales show it wants the surplus smaller.

5. The rupee, reserves and the cost of cover

What happened. The rupee closed at 96.31 per dollar on 1 October; the ECB reference rate implied 96.33 ^{[41, 42, 79]}. Reserves fell $18.343 billion to $747.557 billion in the week to 25 September, including $15.570 billion of foreign currency assets ^{[22, 23, 24]}. FBIL's annualised forward premia rose to 3.85% for one month, 3.61% for three months and 3.63% for six months on 25 September, from 3.39%, 3.40% and 3.50% a week earlier ^{[15, 16]}.

Knock-on effects. Reserves falling while the rupee weakens points to heavy dollar sales by the RBI, which also drain rupee liquidity. Dearer forward cover raises costs for importers who hedge, and leaves those who do not exposed to further falls.

6. Euro area: the overnight rate sits on the floor

What happened. €STR was 2.442% on 1 October, against 2.437% on 30 September, just below the ECB's 2.50% deposit facility rate in force since 16 September ^{[26, 27, 28, 29]}.

Knock-on effects. With markets pricing more ECB rises ^{[55, 56]}, euro short-term rates are likely to follow the deposit rate up; the gap with dollar rates would then narrow.

Key data table

Next week: decisions, options and what they lead to

Wednesday 7 October: the RBI decides

Who decides: the RBI Monetary Policy Committee, meeting 5–7 October ^{[34, 35]}.

• Raise the repo rate to 5.50% and keep draining liquidity. Overnight rupee rates move up towards the new corridor, bill yields hold their gains, and the rupee gets support.
• Raise, but ease the liquidity drain. A signal that the RBI wants higher rates without a funding squeeze; bill yields steady.
• Hold at 5.25%. Bill yields fall sharply, but the rupee and forward premia come under more pressure, and reserves keep falling.

Most likely: a rise to 5.50%. Overnight rupee rates move up towards the new corridor and bill yields hold their gains, but hedged into dollars Indian bills would still pay less than US bills, so the guidance on liquidity, bond sales and FX swaps matters more than the move.

Wednesday 7 October: minutes of the Fed's September meeting

What they tell you: how many officials wanted to keep raising rates ^{[36, 37, 38, 39]}. A hawkish tone pushes bill yields back up; a balanced one lets the front end keep easing.

Monday 5 to Thursday 8 October: US Treasury auctions

What they tell you: demand for US debt at current yields. The Treasury sells 13-week and 26-week bills on 5 October, a 6-week bill and 3-year notes on 6 October, and reopens 10-year notes on 7 October and 30-year bonds on 8 October ^[62]. Weak demand for the long auctions would add to term premium.

Wednesday 7 October: India's bill auction and reverse repo maturities

What they tell you: the RBI auctions ₹23,000 crore of 91-, 182- and 364-day bills ^[80], and its 30-day and 26-day reverse repos mature the same day ^{[18, 51]}. Bill demand after the decision shows whether the market believes the RBI's guidance. Strong demand at steady yields would mean it does; weak demand would push bill yields higher and tighten rupee funding further.

Thursday 8 October: the ECB's account of its September meeting

What it tells you: how close the Governing Council is to another rise ^{[81, 82]}. Leaning to more rises lifts €STR expectations and supports the euro.

Wednesday 14 October: US consumer prices for September

What it tells you: whether the Fed can stay on hold ^{[66, 67]}. A hot reading revives a second Fed rise and pushes bill yields up; a soft one locks in a hold.

27–28 October: the Fed decides

Who decides: the Federal Open Market Committee ^{[36, 37]}.

• Hold at 3.75–4.00%. Overnight dollar rates stay near 3.9%, between the Fed's 3.75% reverse repo rate and its 4.00% standing repo rate ^[11], and bill yields move with the inflation data rather than with the Fed.
• Raise a quarter point. Overnight rates and bill yields reset about a quarter point higher, and dollar cash pays more against other currencies' short rates.

Most likely: a hold, which markets priced in after the weak September jobs report ^{[83, 84]}. A calm quarter-end means funding conditions will not force the Fed's hand either way, so dollar money rates stay near where they are now.

Where this is heading

Base case: dear money, smooth plumbing. Overnight dollar rates stay near 3.9% with ample reserves, bills price a small chance of another Fed rise, and the long end stays high on term premium. The RBI raises rates and keeps draining rupee liquidity while selling dollars. Signposts: SOFR against the 4.00% standing repo rate, US bill yields against 3.90%, India's forward premia and weekly reserves.

Upside: inflation eases. A soft US CPI and lower oil would pull bill yields down and narrow the gap between short and long rates. Forward cover for importing currencies would get cheaper as the dollar eases.

Downside: funding stress returns. A shock that drains dollars, such as a sharp oil spike or a fiscal fight before the 11 December US funding deadline ^{[85, 86]}, would show up first in SOFR rising against the standing repo rate and in heavier use of the Fed's facilities.

The long run. Money markets show who can fund themselves cheaply and reliably. The dollar system remains the deepest and calmest, which is why it keeps winning short-term money even as the US pays more to borrow long term. Countries that depend on imported energy pay twice: in higher rates and in dearer hedging. China is easing on its own terms, and the euro area and Japan are tightening from low levels. The gap between those who set the price of money and those who pay it is widening.

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