Notes for Tue, Jul 07, 2026

Neither break test tripped on the tape we can see; funding calm, but 912797TM9 escalated to 83.9bp and Monday's SOFR isn't published yet.

Where the record stands

Standing view carries into the open: turn's cleared, funding's boring, one January bill still doing all the shouting. Neither break test tripped on the tape we can see, and we can't see all of it yet.

Test one first. The record breaks if Monday's secured print comes back above IORB. Monday's SOFR doesn't exist at this hour; it publishes at 8 AM, after this note ships. The last fixed SOFR is Thursday's 3.64%^[1], sitting one bp under IORB at 3.65%^[2]. So the test hasn't tripped on available data, but one bp is not a cushion; a single month-end-style 3.68% print^[3] flips it. We're not calling that: the 6/30 turn spike already normalized, and the unsecured side is flat, EFFR 3.63% through Friday^[4]. Watch the 8 AM print anyway.

The January bill got louder

912797TM9 (B 01/21/27) cleared the SecLend auction at 83.9bp above the floor^[5] Monday, roughly $1.76B accepted^[6], up from 62.1bp at the 6/30 turn^[7] and the low-to-mid 40s the prior week. That's the steepest this issue has printed. The next special down the list, 912797UJ4 (B 10/08/26), sits at 11.3bp^[8], an order of magnitude smaller.

The load-bearing point, and why we're not upgrading this to a systemic worry: GC hasn't budged with it. GCF UST repo fixed at 3.677% Thursday^[9], drifting lower off the turn, MBS at 3.681%^[10]. If this special were dragging general collateral, GC would be firming, it's easing. Break test two hasn't tripped; the squeeze is name-specific, not a collateral-supply story.

The tempting read on a record-steep leg is emerging scarcity. We reject it: one issue near the highs with the entire rest of the specials list in single digits to low teens, and GC drifting lower, is a concentrated short in one bill, not a system running out of paper. What we can't do from here is diagnose the driver, dealer positioning is three weeks stale, so we'd size any fade small. View breaks if the 8 AM SOFR lands above IORB, or if the special widens into neighboring issues and GC firms with it.

TGA, reserves, the front

TGA drew to $807bn on July 1^[11], down roughly $95bn from $902bn the prior week^[12] and off the $956bn mid-June peak^[13]. Reserves ticked up to $2,967bn^[14], mid-range for the year. No drain stress in the plumbing. The rebuild from here is the reserve-drain path we watch, and the trade assumes Treasury holds the bill-issuance pace; a coupon-heavy cash rebuild would cheapen the front and make us wrong, and with no fresh financing calendar in hand, that's an assumption we can't yet monitor.

The front cheapened without secured funding backing it up: 2Y at 4.17%^[15], 3M bill 3.71%^[16], 6M 3.84%^[17], 2s10s steeper at 35bp^[18]. Cash is through July 1, several sessions stale, so we're not leaning on it. We read the move as positioning, not stress, credit's tight, IG at 75bp^[19] and HY at 275bp^[20], and the secured tape isn't corroborating any squeeze. RRP take-up is minimal, $2bn^[21], cash barely using the facility; that's calm, not scarcity, though the backstop's thin enough to keep an eye on.

Citations

1. [1]Thursday's 3.64% (3.64000%) — NY Fed SOFR · Jul 2, 2026
2. [2]IORB at 3.65% (3.65) — FRED IORB · Jul 6, 2026
3. [3]3.68% print (3.68000%) — NY Fed SOFR · Jun 30, 2026
4. [4]EFFR 3.63% through Friday (3.63000%) — NY Fed EFFR · Jul 3, 2026
5. [5]83.9bp above the floor (83.9 bp, $1.76B accepted) — Observation · observation:seclend_observations:912797TM9:2026-07-06
6. [6]$1.76B accepted (83.9 bp, $1.76B accepted) — Observation · observation:seclend_observations:912797TM9:2026-07-06
7. [7]62.1bp at the 6/30 turn (62.1 bp, $1.92B accepted) — Observation · observation:seclend_observations:912797TM9:2026-06-30
8. [8]912797UJ4 (B 10/08/26), sits at 11.3bp (11.3 bp, $1.35B accepted) — Observation · observation:seclend_observations:912797UJ4:2026-07-06
9. [9]GCF UST repo fixed at 3.677% Thursday (UST 3.67700) — DTCC GCF repo · Jul 2, 2026
10. [10]MBS at 3.681% (MBS 3.68100) — DTCC GCF repo · Jul 2, 2026
11. [11]TGA drew to $807bn on July 1 ($807359M closing) — Treasury General Account · Jul 1, 2026
12. [12]$902bn the prior week ($901845M closing) — Treasury General Account · Jun 24, 2026
13. [13]$956bn mid-June peak ($956502M closing) — Treasury General Account · Jun 17, 2026
14. [14]Reserves ticked up to $2,967bn (2966897) — FRED WRESBAL · Jul 1, 2026
15. [15]2Y at 4.17% (4.17000000) — FRED DGS2 · Jul 1, 2026
16. [16]3M bill 3.71% (3.71000000) — FRED DTB3 · Jul 1, 2026
17. [17]6M 3.84% (3.84000000) — FRED DTB6 · Jul 1, 2026
18. [18]2s10s steeper at 35bp (0.35000000) — FRED T10Y2Y · Jul 2, 2026
19. [19]IG at 75bp (0.75000000) — FRED BAMLC0A0CM · Jul 2, 2026
20. [20]HY at 275bp (2.75000000) — FRED BAMLH0A0HYM2 · Jul 2, 2026
21. [21]RRP take-up is minimal, $2bn (2.17500000) — FRED RRPONTSYD · Jul 2, 2026

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