GC Repo rates for MBS actually ticked higher despite a sizable decline in total par volume offered, coming in just barely shy of 25 bps. Agency repo rates followed, unsurprisingly, while UST repo rates declined by a few pips. Unusual elevation continues.
The primary challenge of trying to unravel wholesale finance is the innumerable and often impenetrable layers. Making important distinctions is quite tricky, as you have to account for additional dimensions above and beyond what might pass for reasonable expectations. The repo market offers a good example of that, as you have supply and demand for cash “helping” set the repo [...]
With a week to go before April 15, GC repo rates remain undisturbed from their recent elevated fashion. The rate of decline has also slowed appreciably, down to just a few pips today, as volume continues to be stable at an also raised level (compared to recent conditions). And despite the FOMC minutes, the eurodollar curve has only moves 1-2bps [...]
For the fourth consecutive trading session, repo rates remain in an elevated state though there isn’t any obvious reason they are doing so. GC rates in all three classes were essentially unchanged from Monday, which leaves them unfamiliar with repo mechanics that existed prior to March 25. There was a sharp surge up to just shy of 25 bps (MBS) [...]
The June 2003 FOMC meeting is one of those events that has only taken on increased relevance and significance with time. That gathering marked a major shift in monetary policy as it was, particularly with relation to the fomented housing bubble, as the FOMC was debating the zero lower bound. The discussion centered around the proposed monetary alignment that would [...]
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 [...]
Usually references to April 15 are reserved for income taxes, but in this case that preference may be superseded. Recognizing the illiquidity pattern of the “rising dollar” means being vigilant toward the next expected instance. If October 15 was an “event” followed by January 15 in succession, then it is reasonable to at least anticipate conditions for April 15. To [...]
Every other central bank in the world has at some point shifted their monetary policy framework to the world of secured short-term funding rather than unsecured. That shows the primacy of repo as opposed to what has been used almost exclusively in the US (and related eurodollars). The Federal Reserve has discussed letting go of the federal funds target before, [...]
Credit and funding markets have been pretty much defined by “dollar” behavior for most of March in the same manner that defined December and early October. At the outset, it looked as if credit markets had turned the “other” way with interest rates rising and some of the downstream “markets” no longer under such steady pressure. The culmination of that [...]
The FOMC continues to test out its exit strategies in a determined effort to try to gain a somewhat hard and durable floor under interbank rates. To this point, there hasn’t been any sign of any effect whatsoever. That would include the apparently semi-permanent state in which US$ repo persists under heavy fails. This negative condition is supposed to be [...]
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