Report published September 23, 2026
Repo Market Commentary: 2-Year & 5-Year Treasury Specials Rebound to GC
Curvature Securities · September 23, 2026
Short sellers in 2-Year and 5-Year Treasuries capitulated after several days of punitive negative repo carry and rolled their positions into WI issues. This shift rapidly lifted repo specials rates from deeply negative territory back near General Collateral levels.
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Finvaulta summarizes Curvature Securities's analysis. Attribute opinions, forecasts, time-sensitive values, and chronology to the issuer and report date; do not treat this page as an independent verification or a current market-data source.
Key Takeaways
- 1.Shorts in the 2-Year and 5-Year Treasury notes rolled aggressively into When-Issued (WI) securities after enduring negative rate carry.
- 2.Repo rates for both the 2-Year and 5-Year notes normalized rapidly from negative territory back near General Collateral (GC) rates within three trading days.
- 3.General Collateral repo opened at 3.90% and closed at 3.78% (10:00 AM average of 3.904%), trading tight against SOFR (3.870%) and Fed Funds/EFFR (3.880%).
Table of Contents
- 2 Year And 5 Year Shorts
- 2 Year: Overnight Rates
- 3 Year: Overnight Rates
- 5 Year: Overnight Rates
- 10 Year: Overnight Rates
- Overnight Rates: GC, SOFR, Fed Funds
- MBS/GC Spread
- GC: Open, High, Low, Close
- GC/Fed Funds Spread
- RRP Volume
- 20 Year: Overnight Rates
Report data
General Collateral and Benchmark Rates Table — as of September 23, 2026.
| Metric | Estimate | Context |
|---|---|---|
| General Collateral Repo Rate 10:00 AM Average | 3.904% | Overnight General Collateral repo 10:00 AM average rate. |
| Effective Federal Funds Rate (EFFR) | 3.880% | 10:00 AM average rate for Fed Funds/EFFR. |
| SOFR (T-1) | 3.870% | Secured Overnight Financing Rate for prior session. |
| Agency MBS Repo Rate | 3.911% | 10:00 AM average Agency MBS repo rate. |
| 2 Year Treasury Repo Rate Average | 3.72% | Rebounded from as low as -0.25% on Friday. |
Reports in this series
Repo Market Commentary is shown in chronological order through this edition, published on September 23, 2026.
Part of the Repo Market Commentary series — view all 5 editions
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