Short Rates Desk
Mon, Jun 29, 2026

Notes for Mon, Jun 29, 2026

Morning brief

· generated 07:05 ET

Maintenance tape, no re-baseline; tomorrow's quarter-end turn is the only live wire

Nothing overnight forces a re-baseline; priors carry. Tomorrow's quarter-end turn is the lone live risk, and we read it as mechanics, not stress.

Overnight: nothing to re-baseline

Nothing overnight forces a re-baseline. No data crossed, no Fed speak, no commentary, no new observations against yesterday's close, so we carry priors into the open and don't manufacture a tape that isn't there. The policy corridor printed unchanged through Friday 06-26[1], RRP is absorbing cash as designed[2], and repo is quiet. Status quo holds.

The turn is the only live wire

Quarter-end lands tomorrow, 06-30, and every money-market read we hold is pre-turn. The last fixed SOFR sits at 06-25[3], repo printed through 06-25[4], and RRP take-up runs through 06-25[5], none of it sees the balance-sheet pull into the turn. We expect the mechanical pop on the 06-30 print: dealers pull balance sheet, GC repo firms, SOFR sets a few bp richer, RRP takes the overflow. Our read is turn mechanics, not stress, and it reverts within days.

More telling than the calendar is what the collateral tape is not showing. The load-bearing tell is RRP: as long as the facility absorbs the cash and SOFR doesn't set materially above the ceiling and stay there past 07-01, this is a turn, not scarcity. The view breaks if SOFR holds above the corridor top into the new quarter with RRP take-up climbing, that's reserves getting scarce, and we'd re-baseline the whole front end. We don't see the setup: GC is orderly and only one issue is trading genuinely special.

Collateral: one special, the rest is GC

Friday's seclend auction shows one genuine special: 912797TM9, the Jan-21-27 bill, cleared 46.2 bp over floor[6]. Everything else collapsed to a tight 5.5[8] to 6.1 bp[7] cluster that's effectively general collateral, floor and fail friction, not scarcity. The richness is idiosyncratic to that one name, not a front-bill squeeze. What we'd watch: the next auction lifting the cluster toward that single issue would flag front-bill scarcity building into the turn. The 40 bp gap between 46.2 and the next name says we're not there.

Freshness: what's fixed, what drops at 8 AM

Friday's 06-26 fixings publish at 8 AM, after this note ships, Thursday 06-25 is the last fixed SOFR and EFFR[9] we're carrying. Reserves and the Treasury curve[11] lag a day further, current only to 06-24[10], and TGA the same[12]. Don't lean on OFR dealer positioning for any balance-sheet read into the turn: it's stuck at 06-10, roughly nineteen days stale[13]. That lag is structural, not a gap, but it means the dealer-capacity picture we'd want for a turn call is the one input we don't have current.

Citations

  1. [1]The policy corridor printed unchanged through Friday 06-26 (IORB latest obs 2026-06-26) — FRED IORB · Jun 26, 2026
  2. [2]RRP is absorbing cash as designed (RRPONTSYD latest obs 2026-06-25) — FRED RRPONTSYD · Jun 25, 2026
  3. [3]The last fixed SOFR sits at 06-25 (SOFR latest fixed print 2026-06-25) — NY Fed SOFR · Jun 25, 2026
  4. [4]repo printed through 06-25 (repo latest obs 2026-06-25) — DTCC GCF repo · Jun 25, 2026
  5. [5]RRP take-up runs through 06-25 (RRPONTSYAWARD latest obs 2026-06-25) — FRED RRPONTSYAWARD · Jun 25, 2026
  6. [6]912797TM9, the Jan-21-27 bill, cleared 46.2 bp over floor (912797TM9 (B 01/21/27) 46.2 bp over floor) — Observation · observation:seclend_observations:912797TM9:2026-06-26
  7. [7]6.1 bp (912797UM7 (B 11/05/26) 6.1 bp over floor) — Observation · observation:seclend_observations:912797UM7:2026-06-26
  8. [8]5.5 (912797SU2 (B 11/27/26) 5.5 bp over floor) — Observation · observation:seclend_observations:912797SU2:2026-06-26
  9. [9]Thursday 06-25 is the last fixed SOFR and EFFR (EFFR latest fixed print 2026-06-25) — NY Fed EFFR · Jun 25, 2026
  10. [10]Reserves and the Treasury curve lag a day further, current only to 06-24 (WRESBAL latest obs 2026-06-24) — FRED WRESBAL · Jun 24, 2026
  11. [11]Treasury curve (DGS2 latest obs 2026-06-24) — FRED DGS2 · Jun 24, 2026
  12. [12]and TGA the same (TGA latest obs 2026-06-24) — Treasury General Account · Jun 24, 2026
  13. [13]it's stuck at 06-10, roughly nineteen days stale (OFR NYPD dealer positioning latest obs 2026-06-10) — OFR NYPD-PD_SB_T_TOT-A · Jun 10, 2026

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

Close brief

· generated 16:20 ET

Quarter-end turn lands tomorrow into a thin buffer; the plumbing says contained, not cracked

Policy anchored and nothing priced; the 06-30 turn hits a drained RRP and January-low reserves, but secured markets aren't flashing stress.

The read into quarter-end

We're closing the last session before quarter-end, and the call into tomorrow is a turn that's visible but contained, not a dislocation. Policy gave us nothing new: the target held 3.50-3.75%[1], IORB 3.65%[2], and the RRP award at 3.50%[3], all unchanged through today. The cushion is thin, and that's the bear case, ON RRP drained to $6.4B on 06-26[4], and reserves fell to $2,951B on 06-24[5], the lowest since late January.

More telling for our money, the secured complex isn't corroborating the stress story. SOFR printed 3.62% on 06-26[6], roughly 1bp under EFFR at 3.63%[7] and below IORB, fully unwound from the 3.69% spike on 06-15[8]. If reserve scarcity were biting ahead of the turn, GC would already be drifting up toward and through IORB; it is sitting mid-corridor instead.

What the specials are telling us

The load-bearing tell is the securities-lending tape. The acute 158bp special on the 12/24/26 bill (912797TC1) on 06-24[9] has rolled off, today's auction tops out at 47bp on the 01/21/27 issue (912797TM9)[10]. Specialness concentrated by CUSIP and easing, not broadening into the turn. GCF UST printed 3.653% on 06-26[11], unremarkable.

We'd fade tomorrow's turn print as transient. The view breaks if turn-day GCF gaps wide, prior quarter-ends ran UST GCF to 3.725% on 03-31[12] and 3.887% on 12-31[13], or if 06-30 SOFR prints clear above IORB and holds there into next week. One caveat we can't dodge: cash prints in our inventory run only through 06-26, so we're reading into the turn, not off it; today's and tomorrow's actuals land 06-30 and 07-01.

Balance sheet: drain is mix, not runoff

Reserves at January lows read as composition, not QT biting. WALCL was essentially flat at $6.736T[14] into 06-24, and SOMA Treasuries actually rose to $4,488B[15], the Fed isn't shrinking the UST book. The drain is the TGA rebuild, from 801B on 06-10[16] to 902B on 06-24[17], plus settlement timing.

What we're watching past the turn is dealer inventory: OFR net Treasury long hit $492B on 06-17[18], a multi-year high, into falling reserves. If quarter-end repo tightens, that book needs financing. OFR only runs through 06-17, so we flag the setup, not a confirmation it worsened.

Into tomorrow

Into tomorrow we carry priors. The curve flattened, 2s10s at 31bp[19], in from the low-40s mid-month, with 2Y at 4.09%[20] and 10Y at 4.40%[21], both richer on the week. Credit gives no stress confirmation: IG at 0.76[22] and HY at 2.78[23]. Net, expect a turn tomorrow and fade it unless secured rates hold above IORB into next week. The trade assumes bill-issuance pace holds; a surprise bill or coupon upsize that re-cheapens the front would extend the specials and push the turn wider than we're carrying.

Citations

  1. [1]target held 3.50-3.75% (3.75000000) — FRED DFEDTARU · Jun 29, 2026
  2. [2]IORB 3.65% (3.65000000) — FRED IORB · Jun 29, 2026
  3. [3]RRP award at 3.50% (3.50000000) — FRED RRPONTSYAWARD · Jun 26, 2026
  4. [4]ON RRP drained to $6.4B on 06-26 (6.42600000) — FRED RRPONTSYD · Jun 26, 2026
  5. [5]reserves fell to $2,951B on 06-24 (2951416) — FRED WRESBAL · Jun 24, 2026
  6. [6]SOFR printed 3.62% on 06-26 (3.62000) — NY Fed SOFR · Jun 26, 2026
  7. [7]1bp under EFFR at 3.63% (3.63000) — NY Fed EFFR · Jun 26, 2026
  8. [8]the 3.69% spike on 06-15 (3.69000) — NY Fed SOFR · Jun 15, 2026
  9. [9]158bp special on the 12/24/26 bill (912797TC1) on 06-24 (158.1 bp, $4.12B accepted) — Observation · observation:seclend_observations:912797TC1:2026-06-24
  10. [10]47bp on the 01/21/27 issue (912797TM9) (47.4 bp, $1.83B accepted) — Observation · observation:seclend_observations:912797TM9:2026-06-29
  11. [11]GCF UST printed 3.653% on 06-26 (UST 3.65300) — DTCC GCF repo · Jun 26, 2026
  12. [12]UST GCF to 3.725% on 03-31 (UST 3.72500) — DTCC GCF repo · Mar 31, 2026
  13. [13]3.887% on 12-31 (UST 3.88700) — DTCC GCF repo · Dec 31, 2025
  14. [14]WALCL was essentially flat at $6.736T (6735645) — FRED WALCL · Jun 24, 2026
  15. [15]SOMA Treasuries actually rose to $4,488B (4488106) — FRED TREAST · Jun 24, 2026
  16. [16]801B on 06-10 (801084) — Treasury General Account · Jun 10, 2026
  17. [17]902B on 06-24 (901845) — Treasury General Account · Jun 24, 2026
  18. [18]OFR net Treasury long hit $492B on 06-17 (492103000000) — OFR NYPD-PD_SB_T_TOT-A · Jun 17, 2026
  19. [19]2s10s at 31bp (0.31000000) — FRED T10Y2Y · Jun 26, 2026
  20. [20]2Y at 4.09% (4.09000000) — FRED DGS2 · Jun 25, 2026
  21. [21]10Y at 4.40% (4.40000000) — FRED DGS10 · Jun 25, 2026
  22. [22]IG at 0.76 (0.76000000) — FRED BAMLC0A0CM · Jun 25, 2026
  23. [23]HY at 2.78 (2.78000000) — FRED BAMLH0A0HYM2 · Jun 25, 2026

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