Notes for Wed, Jun 24, 2026

Status quo holds into the open. The one live tape is issue-specific bill specials; quarter-end is where we'd point risk.

The tape

No overnight catalyst and nothing forces a re-baseline, so we carry yesterday's priors into the open. The one near-live read is money-market plumbing, and even that lags: Monday's SOFR (2026-06-22) is the last fixed print^[1]; Tuesday's lands at 8 AM ET. We're trading a two-day-old front end into a quarter-end turn four business days out, and that's where we'd point risk.

Specials are issue-specific

Yesterday's SOMA securities-lending auction is the only thing on a 06-23 stamp, and it reads localized, not systemic. The Sep-24 bill (912797UH8) leads at 22.2 bp over the floor^[2]; everything else sits 6 to 13 bp, 912797TC1 (Dec-24 bill) at 13.2^[3], 912797TM9 (Jan-21 bill) at 12.9^[4]. Modest spreads. The load-bearing tell is the distribution, not the level: scarcity clusters in near-dated bills, the part of the curve where recent supply, when-issued and roll dynamics churn collateral, that pattern says auction mechanics, not a broad squeeze.

What we can't show is bleed into general collateral. The specials print 06-23; the repo prints are 06-22^[6], so the GC link is asserted, not demonstrated. The view flips toward systemic if Tuesday's repo backs up with GC firming alongside the bill specials. One name doesn't fit the bill story, 91282CQP9 (TIPS 04/15/31) at 6.2 bp^[5] is a linker, a separate driver we'd read as auction-cycle or real-rate demand and disaggregate rather than fold in.

Quarter-end is the position

Position for the calendar. 06-24 sits four business days from the 06-30 turn, and the liquidity backdrop into it is dark, TGA (06-17)^[7] and bank reserves (06-17)^[8] are both a week stale, so we can't size the cash drain that would set the turn's tone. Base case is the standard window-dressing bid firming SOFR and repo over month- and quarter-end, then normalizing into early July. Administered anchors are unchanged and current to 06-23, the target band^[9] and IORB unmoved^[10], so this is plumbing, not policy. We'd lean long the turn firmness and fade it after.

Citations

1. [1]is the last fixed print (latest SOFR obs_date 2026-06-22) — NY Fed SOFR · Jun 22, 2026
2. [2]912797UH8) leads at 22.2 bp over the floor (22.2 bp above floor) — Observation · observation:seclend_observations:912797UH8:2026-06-23
3. [3]912797TC1 (Dec-24 bill) at 13.2 (13.2 bp) — Observation · observation:seclend_observations:912797TC1:2026-06-23
4. [4]912797TM9 (Jan-21 bill) at 12.9 (12.9 bp) — Observation · observation:seclend_observations:912797TM9:2026-06-23
5. [5]91282CQP9 (TIPS 04/15/31) at 6.2 bp (6.2 bp) — Observation · observation:seclend_observations:91282CQP9:2026-06-23
6. [6]the repo prints are 06-22 (latest repo obs_date 2026-06-22) — DTCC GCF repo · Jun 22, 2026
7. [7]TGA (06-17) (latest TGA obs_date 2026-06-17) — Treasury General Account · Jun 17, 2026
8. [8]bank reserves (06-17) (latest WRESBAL obs_date 2026-06-17) — FRED WRESBAL · Jun 17, 2026
9. [9]the target band (latest DFEDTARU obs_date 2026-06-23) — FRED DFEDTARU · Jun 23, 2026
10. [10]IORB unmoved (latest IORB obs_date 2026-06-23) — FRED IORB · Jun 23, 2026

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