New York Fed data: SOFR underlying overnight repo trading volume fell to
$2.808tln on Aug. 28, about 20% below the Jan. 2 peak of $3.508tln but only down
2.2% YoY. SOFR was 3.65% with the 99th percentile at 3.73%, not showing a
classic funding squeeze. CFTC data through Aug. 25 show leveraged funds cut
10‑year Treasury futures shorts by roughly 130,000 contracts while 5‑year shorts
rose about 72,000 contracts, so there is no uniform unwind across tenors. The
SOFR volume decline alone is insufficient to prove a broad basis unwind or rapid
withdrawal of Treasury demand.
