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🥷 MONEY MARKET SNAPSHOT (2026-06-09)
TREASURY BILLS
— RATES:
• 1-month: 3.66%
• 3-month: 3.725%
• 6-month: 3.812%
• 12-month: 3.839%
• 3m-ois: 5.1bps
— AUCTIONS:
• Today, Treasury auctioned $69.2bln of 6w bills, $53.2bln of 1y bills
• Treasury will offer $69bln in 4m bills on Wednesday, $70bln in 1m bills and $75bln in 2m bills on Thursday
— SUPPLY:
• (-)$5.098bln in bill paydowns (net negative issuance) today
TGA (TREASURY GENERAL ACCOUNT)
— LATEST CASH BALANCE: $844bln
• an $18bln increase from the previous update ($826bln)
• $56bln below the Treasury’s target cash balance
— TARGET CASH BALANCE: $900bln
RESERVE BALANCES
— OUTSTANDING: Reserves fell $52.7bln to $3.01trln from $3.07trln since Wednesday
— NEW YORK: FRBNY held a 56.88% share of bank cash as of Wednesday
— SAN FRAN: FRBSF held a 10.97% share of bank cash as of Wednesday
FED OMOs (OPEN MARKET OPERATIONS)
— o/n SRPs, MORNING OPERATION: The Desk lent $0.002bln in the morning operation
— o/n SRPs, AFTERNOON OPERATION: The Desk lent $0.101bln in the afternoon operation
— o/n RRPs: The Desk accepted $0.577bln in the afternoon operation
— SEC LENDING: The Desk lent $36.03bln of SOMA securities to primary dealers
FED SECURED BENCHMARKS
— SOFR (o/n TSY REPO RATE AVG): 3.63% (prev: 3.63%)
• TRADING RANGE: 3.57%-3.71%
• 75TH PERCENTILE: 3.68%
• 25TH PERCENTILE: 3.61%
• SOFR-IORB SPREAD: -2bps (banks unlikely to be repo lenders)
— TGCR (o/n TRIPARTY RATE AVG): 3.61% (prev: 3.61%)
— BGCR (TGCR + INTERDEALER RATE AVG): 3.61% (prev: 3.61%)
FED UNSECURED BENCHMARKS
— EFFR (o/n FF RATE AVG): 3.62% (prev: 3.62%)
• TRADING RANGE: 3.60%-3.69%
• 75TH PERCENTILE: 3.63%
• 25TH PERCENTILE: 3.62%
• IORB-EFFR SPREAD: 3bps (i.e. foreign banks arbing, on avg, 3bps)
— OBFR (EURODOLLARS): 3.62% (prev: 3.62%)
• TRADING RANGE: 3.52%-3.68%
• 75TH PERCENTILE: 3.63%
• 25TH PERCENTILE: 3.62%
• IORB-OBFR SPREAD: 3bps (i.e. foreign banks arbing, on avg, 3bps)
FED ADMINISTERED RATES
— SRPs: 3.75%
— IORB: 3.65%
— RRPs: 3.50%
— FRPs (FOREIGN REPO POOL): 3.50%
SECURED MARKETS
— REPO
— RATES
• GC
• o/n: 3.68%
• TERM
• 1-week: 3.69%
• 2-week: 3.70%
• 1-month: 3.71%
• OFR (OFFICE OF FINANCIAL RESEARCH)
• o/n DVP (DELIVERY VS. PAYMENT): 3.64%
• o/n GCF (INTERDEALER): 3.69%
• o/n TPR (TRIPARTY): 3.67%
— VOLUMES
— FEDERAL RESERVE
• SOFR: $3.115trln (prev: $3.131trln)
• TGCR: $1.254trln (prev: $1.265trln)
• BGCR: $1.298trln (prev: $1.304trln)
• FRP (FOREIGN REPO POOL): $318.93bln (prev: $299.86bln)
— OFR (OFFICE OF FINANCIAL RESEARCH)
• GCF (INTERDEALER): $0.249trln (prev: $0.241trln)
• DVP (DELIVERY VS. PAYMENT): $2.872trln (prev: $2.934trln)
• TPR (TRIPARTY): $2.287trln (prev: $2.335trln)
— SPONSORED (AS REPORTED BY DTCC)
• VOLUMES: $2.397trln
• a decrease of $85bln from previous release of $2.482trln
• Sponsored GC saw $0.74trln while Sponsored DVP saw $1.66trln
— FAILS (AS REPORTED BY DTCC)
• TSY: $36.96bln
• AGENCY: $0.02bln
— FX IMPLIED (€/$)
— RATES
• t/n: 3.81%
• 3-month: 3.83%
UNSECURED MARKETS
— FED FUNDS
• VOLUMES
• EFFR (o/n FF): $108bln (prev: $117bln)
— EURODOLLARS
• VOLUMES
• OBFR: $233bln (prev: $254bln)
— COMMERCIAL PAPER
• RATES (AA FIN)
• o/n: 3.62%
• 1-week: 3.64%
• 1-month: 3.67%
• 3-month: 3.74%
• ISSUES (AA FIN)
• o/n: 143 issues at ~o/n tenors
• 1-month: no issues at ~1m tenors
• 3-month: 1 issues at ~3m tenors
• OUTSTANDING
• FINANCIAL CP: $623.61bln
• NON-FINANCIAL CP: $378.82bln
• ASSET-BACKED CP: $456.62bln
• BESPOKE: $9.61bln
BASIS MARKETS
— SOFR-FF (SERFF):
• LATEST (Jun’26): 1.5bps
• NEXT (Jul’26): -1bps
• YEAR-END (Dec’26): -3.5bps
— XCCY
• €/$ (3-month): -0.75
SOURCES: U.S. TREASURY, FRBNY, OFR, OTC, DTCC, CME, CIA (CONKS INTELLIGENCE AGENCY)
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