End of Day Summary – 10/20/2025 – Arbor Research & Trading, LLC

US Treasuries

Monday’s range for UST 10y: 3.98% – 4.02%, closing at 3.98%
Monday’s range for UST 30y: 4.57% – 4.615%, closing at 4.575%

Join Us Thursday (10/23/25) for our Next Conference Call Featuring Jim Bianco

Intraday Commentary From Jim Bianco

Over the weekend I posted a chart noting that liquidity was getting worrisome. On Thursday, SOFR was 4.30%, for a spread of 12 bps (the widest such spread since March 2020). This morning Friday’s SOFR was reported at 4.18%, down 12 bps. So, is the liquidity problem now over? Not exactly.

Here is a version that only shows the last 6 months, and the spread in the bottom panel is daily (not moving average).

The average back to 2022 was -8 bps. See the chart immediately above, -5 bps. A “normal” liquidity environment is one where the SOFR/IOR spread is around -8 to -5. See the last 5 or six weeks, lots of green bars with some red bars interspersed in between.

What this shows is this measure of liquidity it still “worrisome.” Not a crisis, but worrisome. And note that over the last few months it is moving toward larger green bars.

SOFR is reported every morning for the previous day. Overnight general collateral Repo is a big part of the SOFR average reported every morning. It is real-time. See the last bar, it is green again today.

Again, not a crisis, but slowly moving toward larger premiums (bigger green bars) that suggest we still have a liquidity “worry.”

It does not take much to go from “worry” to “crisis.” So the longer we continue to print green bars above, the more I get concerned that we are moving closer to “crisis.”

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Upcoming US Treasury Supply

Tentative Schedule of Treasury Buyback Operations

Upcoming Economic Releases & Fed Speak

US Economic Data Releases Delayed by Government Shutdown:

10/18/2025 – 10/30/2025: Fed’s External Communications Blackout
10/21/2025 at 08:30am EST: Philadelphia Fed Non-Manufacturing Activity
10/22/2025 at 07:00am EST: MBA Mortgage Applications
10/23/2025 at 08:30am EST: Chicago Fed Nat Activity Index Delayed by Government Shutdown
10/23/2025 at 08:30am EST: Initial Jobless Claims / Initial Claims 4-Wk Moving Avg / Continuing Claims
10/23/2025 at 10:00am EST: Existing Home Sales / Existing Home Sales MoM
10/23/2025 at 11:00am EST: Kansas City Fed Manf. Activity
10/24/2025 at 08:30am EST: CPI MoM / Core CPI MoM / CPI YoY / Core CPI YoY / Core CPI Index SA
10/24/2025 at 09:45am EST: S&P Global US Manufacturing PMI / Services PMI / Composite PMI
10/24/2025 at 10:00am EST: New Homes Sales / MoM
10/24/2025 at 10:00am EST: U. of Mich. Sentiment / Current Conditions / Expectations
10/24/2025 at 10:00am EST: U. of Mich. 1 Yr Inflation / 5-10 Yr Inflation
10/24/2025 at 11:00am EST: Kansas City Fed Services Activity
10/24/2025 at 11:00am EST: Bloomberg Oct. United States Economic Survey
10/24/2025: Building Permits / MoM
10/27/2025 at 08:30am EST: Durable Goods Orders / Durables Ex Transportation
10/27/2025 at 08:30am EST: Cap Good Orders Nondef ex Air / Cap Goods Ship Nondef Ex Air
10/27/2025 at 08:30am EST: Dallas Fed Manf. Activity