Before October 1997, what would become known as the Asian flu was just another opportunity for the mainstream to dismiss what many people, including many prominent, competent people, had been warning about for years before. The usual refrain thrown back at them was some form of “you are missing out.” People, of course, never really learn from these episodes because [...]
After sticking around 53 bps since the middle of September, 1-month LIBOR has jumped almost 7 bps since November 11 to register above 60 bps for the first time in years. With the December 2016 FOMC meeting fast approaching, it is quite natural to assume eurodollar markets are picking up what has been “hawkishness” over recent weeks. This would be [...]
That the repo market, as noted yesterday, has been beset by a persistent collateral shortage is relatively uncontroversial. Where once large blocks of MBS tranches were central to interbank flow and funding, their absence is still a fact of operation though that repudiation was a very long time ago. Even with that backdrop, however, it doesn’t explain a whole lot [...]
With money market reform (2a7) more than a month in the rear view, LIBOR rates continue to rise regardless. Three-month LIBOR jumped to 91.622 bps Friday, up from 88.4 bps to begin the month of November. The 1-year maturity is now well over 160 bps, up more than 100 bps going back to November 2014. Since 2a7 is behind us, [...]
According to the TIC estimates, more than half a trillion in UST’s have been perhaps liquidated from foreign official holdings since October 2014. More than half of that total has taken place just in 2016 alone in the eight months through August. And, of course, in that time UST nominal rates have only fallen and sharply so, contradicting the nightmare [...]
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.” But while the mainstream saw [...]
With 2a7 money market reform only a few weeks from its full implementation, there should be by now visible shifts in all the places where such reform will directly impact. Prominent among these money spaces is commercial paper, where the ranks of prime MMF’s that once lent in this market have been reduced in the shift toward government funds. As [...]
There is validity in (not “to”) the myth of central banking, one that has important and very serious implications right down the smallest and most immediate terms. The first task of every central bank was currency elasticity, which simply meant the bank would endeavor to supply (at penalty rates, according to Bagehot, such that banks do not fund themselves on [...]
On August 30, the overnight SHIBOR rate jumped above 2.05% for the first time in more than a year. As the acronym indicates, SHIBOR is to Chinese RMB interbank liquidity as LIBOR is to eurodollars in London. In the summer of 2015, SHIBOR began rising steadily and often precipitously despite monetary policy “stimulus.” On June 27, 2015, the PBOC cut [...]
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 long time. Volume in MBS [...]
Stay In Touch