US TSYS/OVERNIGHT REPO: SOFR Pressures Pick Up Early Ahead Of Quarter-End
Secured rates have begun to pick up ahead of month/quarter end, with SOFR up 2bp to 4.33% Tuesday - highest since March 10. That puts the spread to effective Fed funds also at zero for the first session since that date (it had been trading below EFFR in the interim - the latter printed 4.33% as usual on Tuesday).
- That said, the uptick was something of a surprise given large Treasury bill redemptions on Tuesday which should have put a lid on secured rates.
- Further Tbill paydowns Thursday likewise should help contain rates somewhat but will almost certainly be further increases late this week and on Monday's quarter-end date.
- Wrightson ICAP for one pencils in SOFR of 4.47% on Mar 31, which would be the highest since Jan 1 (ie year/quarter/month-end).
REPO REFERENCE RATES (rate, change from prev. day, volume):
* Secured Overnight Financing Rate (SOFR): 4.33%, 0.02%, $2460B
* Broad General Collateral Rate (BGCR): 4.31%, 0.01%, $966B
* Tri-Party General Collateral Rate (TGCR): 4.31%, 0.01%, $939B
New York Fed EFFR for prior session (rate, chg from prev day):
* Daily Effective Fed Funds Rate: 4.33%, no change, volume: $107B
* Daily Overnight Bank Funding Rate: 4.33%, no change, volume: $301B
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GILTS: Roll Activity Continues To Tick Over, Around A Third Complete
Futures roll trading continues to tick over, with the H5/M5 spread trading down from 0 to -5 over the past week or so as activity has picked up ahead of Thursday’s first notice for H5.
- Spread last -5/-4.
- Latest indications point to just under 32% roll completion vs. just under 20% at Friday’s close.
US TSY FUTURES: March'25/June'25 Treasury Futures Roll Update
The latest Tsy quarterly futures from March'25 to June'25 below. Heavy overnight volumes as overall percentage complete nears 50% before June takes lead quarterly next week Friday. Current roll details:
- TUH5/TUM5 appr 238,100 from -6.25 to -6.0, -6.12 last, 35% complete
- FVH5/FVM5 appr 896,300 from -3.5 to -2.75, -3.0 last, 37% complete
- TYH5/TYM5 appr 244,200 from -0.25 to 0.00, 0.0 last, 38% complete
- UXYH5/UXYM5 appr 117,400 from 4.75 to 5.0, 4.75 last, 26% complete
- USH5/USM5 appr 109,200 from 5.5 to 6.5, 6.0 last, 34% complete
- WNH5/WNM5 appr 109,000 from 4.5 to 5.0, 4.5 last, 33% complete
- Reminder, March futures won't expire until next month: 10s, 30s and Ultras on March 20, 2s and 5s on March 31. March options expired last Friday.
US: MNI POLITICAL RISK - Speaker Johnson Eyes Tuesday Budget Vote
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- House Speaker Mike Johnson (R-LA) will press forward this week in his bid to adopt a budget resolution to underpin a multi-trillion reconciliation package. A vote this week, without clear GOP support, risks a defeat for Johnson that would hand the initiative back to the Senate, who passed their competing budget resolution last week.
- Johnson and Budget Committee Chair Jodey Arrington (R-TX) are reportedly surveying members about counting the cost of extending the 2017 TCJA as zero.
- BlackRock and the Bipartisan Policy Center are convening a summit of business and political leaders to address the “impending crisis” surrounding Americans’ retirement plans.
- President Trump’s special advisor Elon Musk is facing pushback from other corners of the executive, after DOGE issued a directive for government employees to justify their role or risk having their employment terminated.
- Kremlin spokesperson Dmitri Peskov told reporters this morning that US and Russian officials will hold further talks this week, ahead of another key week of Ukraine diplomacy with French President Emmanuel Macron in Washington today and UK Prime Minister Keir Starmer in Washington Thursday for talks with Trump.
- Macron and Trump will deliver a joint press conference at the White House at 14:00 ET 19:00 GMT.
- Ukraine's deputy prime minister said negotiators “are in the final stages” of talks regarding a minerals deal.
- Poll of the Day: Trump's polling numbers are "flashing yellow".
