Notes for Sun, May 03, 2026

No Tier 1, no commentary, no calendar prints since baseline; the post-FOMC tape still owns the read into Monday.

Post-FOMC drift, nothing to mark against

Three sessions past the 4/29 meeting and the wire is quiet. No Tier 1 updates, no sell-side notes since baseline, no P0/P1 calendar prints in the ±24h window. That is the news. Post-meeting priors carry: front-end anchored at the new corridor, term premium at recent levels, balance-sheet glide path unchanged. Run the book you had at lunch.

Alternate read we considered and dropped: weekend-quiet often masks Monday-morning repo stress, and the 5/1 SOMA lending auction is the most recent print on the tape. Weighting against it, Friday's SOFR and EFFR^[2] carry through 4/30 against IORB^[3] without dislocation and the GCF tape was orderly through 4/30^[10]. We re-mark if Monday's NY Fed publish breaks that pattern.

Plumbing check

Friday's secured set (SOFR, BGCR, TGCR) and unsecured set (EFFR, OBFR) all carry through 4/30^[11]. The 5/1 SOMA lending auction shows a thin specials board: B 08/11/26 (912797UT2) at 7.0 bp tops the list^[7], the on-the-run 2Y 91282CQB0 at 5.6 bp^[8], and a cluster of three bills wedged at 5.5 bp. Benign collateral picture, no single issue screaming. RRP take at 4/30 is the relevant cash-floor cross-check^[12].

Risk to the benign read: if Monday's GCF prints firmer than 4/30 without a specials catalyst, that is the early tell the May refunding settlement is pulling collateral harder than the desk expects. View breaks if SOFR-IORB inverts again into the week.

Into the open

TGA (latest 4/29)^[13] and SOMA Treasury holdings (TREAST 4/29)^[14] are stale by one business day; Monday afternoon's DTS and H.4.1 refresh both. The ±24h calendar is empty, so dealer positioning and May refunding mechanics own the day until something prints. Assumes Treasury holds the May refunding bill-issuance pace flagged at quarterly refunding; if that slips, the bill curve cheapens and the specials list lengthens from one issue to a strip.

Citations

1. [2]EFFR (EFFR latest obs_date 2026-04-30 per inventory) — NY Fed EFFR · Apr 30, 2026
2. [3]IORB (IORB latest obs_date 2026-04-30 per inventory) — FRED IORB · Apr 30, 2026
3. [7]B 08/11/26 (912797UT2) at 7.0 bp tops the list (7.0 bp lending fee, 2026-05-01 auction) — Observation · observation:seclend_observations:912797UT2:2026-05-01
4. [8]the on-the-run 2Y 91282CQB0 at 5.6 bp (5.6 bp lending fee, 2026-05-01 auction) — Observation · observation:seclend_observations:91282CQB0:2026-05-01
5. [10]the GCF tape was orderly through 4/30 (DTCC GCF print 2026-04-30) — DTCC GCF repo · Apr 30, 2026
6. [11]unsecured set (EFFR, OBFR) all carry through 4/30 (EFFR print 2026-04-30) — NY Fed EFFR · Apr 30, 2026
7. [12]RRP take at 4/30 is the relevant cash-floor cross-check (ON RRP take 2026-04-30) — FRED RRPONTSYD · Apr 30, 2026
8. [13]TGA (latest 4/29) (Treasury General Account 2026-04-29) — Treasury General Account · Apr 29, 2026
9. [14]SOMA Treasury holdings (TREAST 4/29) (SOMA Treasury holdings 2026-04-29) — FRED TREAST · Apr 29, 2026

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