Repo Repeat Con’t
At this point, no commentary is necessary though I will point out that repo volume in MBS (through DTCC) is very heavy of late. The 7-day average is the highest since March 4, 2013.
At this point, no commentary is necessary though I will point out that repo volume in MBS (through DTCC) is very heavy of late. The 7-day average is the highest since March 4, 2013.
Repo rates made an almost perfect recapitulation, with MBS GC jumping to 28 bps and UST at 24.1 bps. Those July 15 fixes compare to MBS of 27.1 bps on April 15 and UST at 25.6 bps. The remarkable recurrence is all the more remarkable with figures now for the 15th. This might be as close to being able to [...]
From a purely, detached analytical perspective it is highly fascinating the possibility of observing a liquidity “development” in almost realtime whether one develops or not. If past patterns hold, and there isn’t any specific expectation for that other than heightened probability due to systemic recurrence, then April 15 is a target point for the next one in the series. This [...]
There is so much depth that is missing from the ongoing discussion about the state of “markets” as the Federal Reserve purportedly moves toward “normalizing” its regime. That isn’t all that surprising given that most people still have never heard of these various moving parts, and certainly cannot easily grasp the concepts without some degree of studied initiation. While you [...]
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