Live Updates > Live Update Details
2026-05-26 21:04:21
[Zero Expectation of Interest Rate Cuts, Inverted Financing Costs, Pressure on $85 Billion Short-Term Debt Auction] ⑴ The U.S. Treasury announced on Tuesday that it will issue $85 billion in 6-week Treasury bills, maturing on July 9, 2026, resulting in net new financing of $15 billion after settlement on Thursday. ⑵ The current projected interest rate is 3.61% to 3.6025%, the money market yield is quoted at 3.625%, the money market yield for Treasury bills maturing on July 2 is 3.621%, and the forward rolling spread is 0.4 basis points. ⑶ The spread between 1-month and 2-month rates is 0.5 basis points, translating to approximately 0.13 basis points per week, while the forward rolling spread of 0.4 basis points has positive value. ⑷ Based on the federal funds rate and SOFR futures pricing, the probability of the Fed adjusting interest rates in June is zero, but bidding still needs to consider financing costs. (5) The current overnight borrowing rate is around 3.69%, while the 6-week Treasury bill rate is expected to be lower than this level, potentially resulting in a negative spread, contrary to the context of last week's auction. (6) Due to the large fluctuations in the overnight borrowing rate, the financing environment has become ambiguous, and bidders will submit bids separately for buyers holding long positions and sellers holding rolling positions. (7) The average of the past six cash management bill auctions shows: a subscription multiple of 2.84, indirect bidding accounting for 55.57%, direct bidding accounting for 5.71%, and dealers accounting for 33.73%.
