Short Rates Desk
Mon, May 04, 2026

Notes for Mon, May 04, 2026

Morning brief

· generated 07:39 ET

Status quo holds. Post-FOMC week, no fresh inputs force a re-baseline.

Priors carry into the open; May 1 specials sheet says month-end collateral pressure cleared cleanly, not building.

The take

Status quo holds. The April 29 FOMC printed last Wednesday, the desk has no fresh commentary or observation deltas since baseline, and the May 1 specials sheet shows month-end collateral pressure rolling off cleanly. Priors carry into the open. We'd run yesterday's book.

Alternate read worth naming: absence of commentary is itself information, and something dislocated overnight while the wires haven't caught up. We're weighting against it. The 9 AM rate fix and the Treasury cash calendar will tell us if anything actually broke, and the May 1 plumbing tape doesn't suggest it did.

Plumbing, month-end clears clean

The May 1 SOMA securities lending auction has the 8/11/26 bill (912797UT2) at 7.0 bp[1] on top, the 02/29/28 2-year (91282CQB0) at 5.6 bp[2], and a cluster of bills at 5.5-5.6 bp[3], all sitting just above the 5 bp floor. Benign tape. No issue is screaming, the on-the-run 2Y isn't deeply special, and the post-month-end GC environment looks orderly. We read this as month-end balance-sheet pressure receding rather than building.

Risk to the read: SOFR-IORB inverting on Friday's print would say the squeeze didn't actually clear and dealers absorbed it into the new month. We'll know at 9 AM. Assumes Friday's NY Fed fix lands in the same regime as Thursday's 4/30 print, which is what the plumbing tape implies but not what we can yet confirm.

Data gaps to flag

Friday May 1 NY Fed reference rates (SOFR, EFFR, OBFR, BGCR, TGCR) not yet in our inventory at 7 AM ET, with the 9 AM publish to fill them. Treasury constant-maturity yields (DGS2/5/10/30) latest is 4/29, so Thursday and Friday closes still pending the FRED daily push. TGA latest 4/29 as well. Build the morning view off through-Wednesday Treasury closes and the 4/30 plumbing print until the 9 AM fixes land.

Citations

  1. [1]8/11/26 bill (912797UT2) at 7.0 bp (7.0 bp) — Observation · observation:seclend_observations:912797UT2:2026-05-01
  2. [2]02/29/28 2-year (91282CQB0) at 5.6 bp (5.6 bp) — Observation · observation:seclend_observations:91282CQB0:2026-05-01
  3. [3]cluster of bills at 5.5-5.6 bp (5.5 bp) — Observation · observation:seclend_observations:912797US4:2026-05-01

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