Repo fails in the past two weeks (the week of August 17 the most current figures) were both more than $192 billion. Though that level is highly elevated, those were actually the fewest fails since mid-June, and the fewest in consecutive weeks since early May. The 8-week average remains about $245 billion, a noticeable increase from even last year’s “dollar” [...]
A eurodollar futures contract affords the buyer the opportunity to obtain a $1 million eurodollar deposit for a three-month term at the expiration and execution of the contract. The rate to be paid for that deposit is 100 points minus 3-month LIBOR for spot settlement on the 3rd Wednesday of the contract month. If 3-month LIBOR on June 20, 2018 [...]
Jeffrey Snider: All Signs Point to Global Systemic Reset
Back in early July, Bloomberg published a rather curious article that sounded like it was written from within the People’s Bank of China - or any other global central bank for that matter. The most prominent correlation over the past year had been CNY and everything else; or, as I wrote earlier in the year, CNY down = bad. The [...]
It’s not an exact fit or correlation, but that’s not the point. One follows the other, though the manner in which they relate is outside of any view. The point here is common sense, unclouded by the increasing absurdity with which this simple relationship is denied: Repo fails are an indication of collateral “tightness.” Dealer net long inventory is an [...]
Though the media rushes to defend it as benign but prudent regulatory changes, there is going to be fallout from rising LIBOR “tightness.” And it will likely start where it can be least afforded, especially after last year’s rout. Payments on floating rate loans issued by dozens of companies are set to increase as US dollar Libor for a period [...]
The fact that we are still discussing illiquidity in “dollar” markets everywhere shows just how little has changed despite so much time and effort. It is August 9 again, the ninth anniversary of the day that changed everything. Even though it has been almost a decade, it’s as if “we” learned nothing from the experience. There are indications in 2016 [...]
It has become cliché that commentary continues toward the increasingly absurd at the expense of the obvious and all because Janet Yellen says there can’t possibly be anything wrong. The degree to which the broader markets agree in that sense has certainly lessened of late, but that only suggests the increasingly bizarre platitudes offered to do anything other than confirm [...]
Behind our new paywall, I have been documenting the behavior of “dollar” money markets as they relate to China and elsewhere (global, general liquidity) but recent data in repo demand a more open airing. There are numerous indications that US$ markets are a total mess, none more so than repo. That starts with GC repo rates that remain above the [...]
Repo rates were once again today above the upper “ceiling” of the FOMC’s intended corridor, marking three consecutive trading days exploring territory not meant to be reserved for secured overnight lending. The MBS GC rate hit 60 bps, surging with agency GC likewise nearing 60 bps. The UST rate fell slightly but remained just above the 50 bps upper limit. [...]
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