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2026-04-14 20:40:57
[US Treasury repurchase rates rise to 3.71%, settlement pressure impacts liquidity for three consecutive days] ⑴ The overnight general collateral rate opened 3 basis points higher at 3.71% on Tuesday, due to some financing friction caused by the settlement of Treasury bills today and Thursday, coupled with the settlement of interest-bearing bonds tomorrow. ⑵ Settlement funds inflowed into the system today increased by $39 billion, and the overnight rate may soften before the afternoon reverse repurchase operation. ⑶ The stock market rise diverted some funds that were originally going to the collateral market for hedging, putting upward pressure on interest rates, but the ongoing war in Iran will continue to support lower interest rates. ⑷ The premiums on 10-year and 30-year bonds strengthened by 13 and 5 basis points respectively. Demand for these bonds may weaken tomorrow as 3-year, 10-year, and 30-year bonds will be settled. ⑸ A 20-year bond auction will be held next week, and demand for this type of bond may become extreme. After the 20-year bond auction in March, this bond was 450 basis points lower than the general collateral rate. (6) The federal funds futures market is pricing in a 3% probability of a 25 basis point rate cut at the June Fed meeting. (7) The 0x3 OIS pricing implies a 3% probability of a 25 basis point rate cut within the next 90 days. SOFR futures opened 0.5 to 1.5 basis points higher, with the red month contract leading the gains, driven by a 2.6% drop in spot oil prices.
