SONIA: Call condor

• The CGNCR OBR forecasts for 2025/26 through to 2029/30 will add a combined GBP51.7bln to gilt issuance over 5-years.
• Only GBP7.9bln of this is in 2025/26, with double digit of GBP billions in 2026/27 through to 2028/29.
• See the table below.
• Note that the IGDR (indicative gross financing requirement) has increased due to a combination of gilt issuance since the October Budget. So these numbers will continue to increase (particularly as 3/5 year gilts are issued). So gross gilt issuance is expected to remain north of GBP270bln - and probably close to GBP300bln - for at least three more years after the upcoming 2025/26 fiscal year has concluded.

Reuters reporting comments from an EU Commission spokesperson, “taking note” of the outcome of US brokered ceasefire talks in Saudi Arabia and stating that Russia must demonstrate “genuine political will” to ending the war in Ukraine.

• The spokesperson said the EU, “welcomes agreement between US and Ukraine to work towards exchange of prisoners of war, release of civilian detainees and return of forcibly transferred Ukrainian children.”
• Says that “Russia must now demonstrate genuine political will to end its illegal and unprovoked war of aggression”. Adds the EU’s, “main focus remains to maximise pressure on Russia, using all tools available”.
• The spokesperson says the EU, “is ready to support upcoming steps, together with Ukraine, the United States, and other partners.”
• The spokesperson notes, likely referring to Moscow's request that sanctions on agricultural goods must be relaxed to facilitate a Black Sea ceasefire: “EU sanctions are not targeting trade in agricultural goods, including food, grain and fertilisers, in any way.”
• The comments come amid scepticism from Ukraine’s backers that Moscow will fulfil truce obligations. Edward Fishman, senior research scholar at Columbia University and a former senior U.S. sanctions official, told the Wall Street Journal: “Putin’s endgame is clear—he wants to coax Trump into lifting sanctions on Russian banks and energy companies to enable the Kremlin to pull in the hard currency it desperately needs.”

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