201710.02 4

Three Straight Weeks Can’t Be Ignored

The Federal Reserve Bank of NY reported on Friday that repo fails for the week of September 20 were $359 billion (combined “to receive” plus “to deliver”). That’s the second highest weekly total of this year, following $435 billion fails recorded just two weeks earlier. The week in between those two was also high, tallying…

201709.18
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If They Wish To Replace LIBOR With Repo, They Should Already Start Thinking About Repo’s Replacement

Sometimes you just have to laugh. A lot has been made on the inside of LIBOR’s assumed demise. The suite of interest rates is not being discontinued really, merely relegated to the backbench. As usual, the rationale for doing so is perfectly sound: As noted by the Financial Stability Board’s Market Participants Group, there are…

201709.18
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It Was Collateral, Not That We Needed Any More Proof

Eleven days ago, we asked a question about Treasury bills and haircuts. Specifically, we wanted to know if the spike in the 4-week bill’s equivalent yield was enough to trigger haircut adjustments, and therefore disrupt the collateral chain downstream. Within two days of that move in bills, the GC market for UST 10s had gone…

201709.07
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Wherefore Art Thou Collateral?

The US Treasury as a result of the government’s bloated response to the Great “Recession” has been forced in notes and bonds to reopen their auctions each and every month. Before then, reopenings were less frequent. They weren’t infrequent, but the Treasury wasn’t just auctioning 10s every month. In 2007, for example, the Department conducted…

201612.29
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RHINO

This is a repost; originally published Dec. 22, 2016. The federal funds rate target is essentially nothing more than a communication tool. You don’t have to take my word for it, the same conclusion has been reached at the level of the FOMC itself. There was, in fact, some debate, though limited in scope, in…

201610.06
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One Possible Origin of ‘Something’

If I was forced to guess what it was that specifically set off this “something” of growing “dollar” illiquidity since July, I would have to go back to the July 28 and 29 BoJ policy meeting. Initially, that was the decision that so disappointed at least against the backdrop of expectations of maybe the “helicopter.”…

201609.07
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Money Market Mess Is NOT Money Market Funds

The UST GC repo rate was at or near 50 bps for the ninth consecutive trading day today, fixing at 50.5 bps. In what has become routine of late, DTCC reported on-exchange volume in UST was a paltry $37.3 billion, leaving the 20-day average of volume at just $51.4 billion – the lowest in a…

201512.09
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A Very Disturbed Global ‘Dollar’

The problem with exchange rates is that they don’t always tell us anything about what everyone seems to think. In fact, the more wholesale financial exhibitions in a particular currency, the less traditional interpretations conform. In many ways, this is very much like transitioning between classical physics in the Newtonian, deterministic paradigm into quantum physics’…

201511.13
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The Implications of October 15 And Money Market Duality

The duality of gold in the modern wholesale fabric has perhaps been on display this year more so than at any time since 2008. That year, the year of the eurodollar-drawn panic, gold was seemingly more volatile than any other asset – if only for its virtuous tendency to as sharply rebound for every major…