Live Updates > Live Update Details
2026-09-18 19:58:11
[US Treasury Funding Market: GC Opens Stable, Short Surge Pushes Up 2-Year and 5-Year Premiums] ⑴ General collateral rates opened flat at the 3.89% bid price. The approximately $13 billion outflow from the 20-year Treasury settlement did not push up overnight rates. ⑵ A large sell-off in the fixed-income market generated ample cash seeking refuge in the collateral market, preventing overnight rates from drifting towards the upper edge of the 3.75% to 4.00% interest rate corridor. General collateral rates are expected to trade between 3.89% and 3.84%, with yesterday's settlement price of 3.89% providing support. ⑶ Next week's settlement flow will generate approximately $13 billion in net inflows, potentially pushing general collateral rates below the midpoint of the interest rate corridor. ⑷ Ahead of next week's 2-year and 5-year Treasury auctions, short positions surged, with premiums rising by approximately 200 basis points and 315 basis points respectively, to approximately 284 basis points and 348 basis points. (5) Holding short positions in these instruments over the weekend would cost approximately $304 and $368 per million USD, respectively, equivalent to about 1.7 basis points for the 2-year term and about 0.86 basis points for the 5-year term. (6) With the settlement of today's 20-year auction, the 20-year premium fell from about 189 basis points to about 9 basis points. (7) According to institutional data, federal funds futures are pricing in a probability of about 55% for a 25 basis point rate hike at the October meeting. (8) Current 1- to 3-month interest rates are about 0.3 to 9.4 basis points higher than the 3.89% secured overnight funding rate. (9) Regarding term repo quotes, the 1-month rate is about 3.893%, the 2-month rate is about 3.949%, and the 3-month rate is about 3.984%. (10) Regarding short-term overnight index swaps, the 0x3 term swap is quoted at about 4.016%, pricing in a probability of about 50% for a 25 basis point rate hike in the next 90 days. 11. Overnight funding rate futures opened down about 0.5 to 3 basis points, giving back about half of yesterday's gains.
