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2026-04-06 20:24:09
[Overnight repo rate softens to 3.69% as safe-haven funds flow into collateral market; June rate cut probability drops to only 1%] ⑴ The U.S. general secured repo rate opened at 3.69% on Monday, down 2 basis points from the previous trading day. Due to a lack of settlement pressure and ample cash reserves resulting from hedging strategies, the overnight rate is expected to decline further as funds seek safety in the collateral market. ⑵ The average SOFR rate over the past 10 trading days is 3.63%. Investors have been financing near the midpoint of the 3.50% to 3.75% interest rate corridor. The Fed's overnight reverse repo rate is 3.50%. On April 1st and 2nd, participation was 9 and 3 institutions respectively, with total demand plummeting from $2.11 billion to $0.33 billion. (3) Auctions of 3-year, 10-year, and 30-year Treasury bonds will be held this week. The premium of 10-year Treasury bonds over GC remained stable at 37 basis points, while demand for 3-year and 30-year bonds was evident, with premiums of 13 and 12 basis points respectively. The premium for 20-year bonds was 11 basis points. (4) The probability of a 25 basis point rate cut at the June Fed meeting priced in by the federal funds futures market is only 1%. The 0x3 OIS rate was 3.636%, a slight decrease of 0.3 basis points from the previous value. This price implies a 3% probability of a 25 basis point rate hike within the next 90 days. (5) SOFR futures opened basically flat to down 1 basis point. The market is focused on whether a ceasefire agreement can be signed. The SRAM26 contract opened at 96.32, down 0.5 points, and the SRAM29 contract opened at 96.37, down 1 point. Short-term collateral rates are 5.5 to 7.4 basis points higher than the 10-day SOFR average.
