gc repo rate

Anticipating How Welcome This Second Deluge Will Be

By |2018-08-28T16:36:39+00:00August 28th, 2018|Currencies, Economy, Federal Reserve/Monetary Policy, Markets|

Effective federal funds (EFF) was 1.92% again yesterday. That’s now eight in a row just 3 bps underneath the “technically adjusted” IOER. If indeed the FOMC has to make another one to this tortured tool we know already who will be blamed for it. The Treasury Department announced yesterday that it will be auctioning off [...]

Very Strong(ly Worried)

By |2018-07-05T18:47:25+00:00July 5th, 2018|Currencies, Economy, Federal Reserve/Monetary Policy, Markets|

Inflation hysteria and the boom hysteria may both seem like they are one and the same thing. They are related, sure, and they represent similar objects. However, there are subtle differences. The mania over inflation, for example, has subsided while the one about the economy reaches its own feverish pitch. In early June, Newt Gingrich [...]

Talk About Binary; No In Between, Either Boom or Renewed Deflation

By |2018-07-05T17:22:38+00:00July 5th, 2018|Bonds, Currencies, Economy, Federal Reserve/Monetary Policy, Markets|

CNY has held up over the last few days after Chinese officials intervened. Central bank actions like these tend to work if only over the very shortest timeframes. The tentative calm there, however, hasn’t extended universally. Copper, for one, has fallen right out of its Reflation #3 range. Selling off solidly for almost a month [...]

The Remarkable And Lengthy Consistency of Repo

By |2018-06-25T18:11:32+00:00June 25th, 2018|Currencies, Economy, Federal Reserve/Monetary Policy, Markets|

Before August 2007, US$ money markets operated efficiently and predictably. They behaved according to a rigid hierarchy, which is a good thing no matter how it may sound. This inflexibility in the context of funding markets was exactly what we would want. Arbitrage opportunity was responsible for enforcing the rules. One simple example was the [...]

Seriously, Wherefore Art Thou Collateral?

By |2017-12-07T17:35:32+00:00December 7th, 2017|Bonds, Currencies, Economy, Federal Reserve/Monetary Policy, Markets|

I’m going to go out on a limb and claim there is something seriously wrong in repo. All jokes aside, I know it sounds like a broken record but the dimension that matters is not intermittent collateral problems so much as the greater intensity to them and in a condensing timeframe. Escalation is a description [...]

Three Straight Weeks Can’t Be Ignored

By |2017-10-02T16:59:42+00:00October 2nd, 2017|Bonds, Currencies, Economy, Federal Reserve/Monetary Policy, Markets|

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 [...]

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

By |2017-09-18T17:00:51+00:00September 18th, 2017|Currencies, Economy, Federal Reserve/Monetary Policy, Markets|

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 [...]

It Was Collateral, Not That We Needed Any More Proof

By |2017-09-18T16:20:49+00:00September 18th, 2017|Bonds, Currencies, Economy, Federal Reserve/Monetary Policy, Markets|

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 [...]