Short Rates Desk
Mon, Apr 27, 2026

Notes for Mon, Apr 27, 2026

Morning brief

· generated 14:48 ET

Post-tax-day funding pressure easing but SOFR still 2bp rich to EFFR — fade the squeeze.

SOFR 3.66% holds above EFFR 3.64% as TGA drains from $1.04T peak; reserves should ease into month-end.

Funding — squeeze unwinding, not done

SOFR set 3.66% Friday (04-24), up 1bp on the day[1] and now 9bp above the 04-09 trough of 3.57%[2]. The tell is the SOFR-EFFR basis: EFFR has been pinned at 3.64% every print since mid-March[3], but SOFR is sitting +2bp through it. That's the residue of the 04-15 tax-day stress (SOFR printed 3.72%[4], BGCR/TGCR 3.70%)[5] bleeding into late-April. GCF UST repo at 3.687% / MBS 3.709%[6] confirms — collateral still bid, dealers paying up.

The relief valve is mechanical: TGA peaked at $1,038B on 04-20[7] after a $351B refill from the 04-09 trough of $687B[8], and has since drained $68B in three sessions to $970B on 04-23[9]. Every dollar out of TGA is a dollar of reserves back in the system. With Treasury front-loaded on cash and no quarter-end print until June, the path of least resistance is SOFR back toward EFFR over the next 1-2 weeks.

Trade — fade the SOFR richness

Lean short SOFR vs EFFR — the +2bp basis compresses as TGA drawdown lifts reserves. Risk to the trade: another bill settlement spike or a dealer balance-sheet day before month-end. But priors say funding pressure mean-reverts when TGA is draining, not building.

On the curve, no signal in EFFR (3.64% unchanged for six weeks running) — the Fed is not the story. The story is plumbing.

Citations

  1. [1]SOFR set 3.66% Friday (04-24), up 1bp on the day (3.66000%) — NY Fed SOFR · Apr 24, 2026
  2. [2]now 9bp above the 04-09 trough of 3.57% (3.57000%) — NY Fed SOFR · Apr 9, 2026
  3. [3]EFFR has been pinned at 3.64% every print since mid-March (3.64000%) — NY Fed EFFR · Apr 23, 2026
  4. [4]the 04-15 tax-day stress (SOFR printed 3.72% (3.72000%) — NY Fed SOFR · Apr 15, 2026
  5. [5]BGCR/TGCR 3.70%) (3.70000%) — NY Fed BGCR · Apr 15, 2026
  6. [6]GCF UST repo at 3.687% / MBS 3.709% (MBS 3.70900 / UST 3.68700) — DTCC GCF repo · Apr 24, 2026
  7. [7]TGA peaked at $1,038B on 04-20 ($1038035M closing) — Treasury General Account · Apr 20, 2026
  8. [8]$351B refill from the 04-09 trough of $687B ($686969M closing) — Treasury General Account · Apr 9, 2026
  9. [9]drained $68B in three sessions to $970B on 04-23 ($969844M closing) — Treasury General Account · Apr 23, 2026

Generated by Short Rates Desk. Informational only. Not investment advice.