Tag Archives: gc repo rate

It used to be that at each quarter’s end the repo rate would rise often quite far. You may recall the end of 2018, following a wave of global liquidations and curve collapsing when the GC rate (UST) skyrocketed to 5.149%, nearly 300 bps above the RRP “floor.” Chalked up to nothing more than 2a7 or “too many” Treasuries, it was to be ignored as the Fed at that point was still forecasting inflation and rate hikes. Total financial resilience otherwise. Yesterday was,...

They remain just as confused as Richard Fisher once was. Back in ’13 while QE3 was still relatively young and QE4 (yes, there were four) practically brand new, the former President of the Dallas Fed worried all those bank reserves had amounted to nothing more than a monetary head fake. In 2011, Ben Bernanke had admitted basically the same thing. But who was falling for it? The stock market, sure. Investors on Wall Street are still betting as if it will work any day...

Jay Powell’s disastrous week is coming to a close, not yet his long nightmare. He has been battling fed funds (meaning repo) for his entire tenure dating back to February 2018. This week wasn’t the conclusion to the contest, just the latest and biggest round of it. According to DTCC, the GC repo (UST) rate came back down to 1.975% today. That’s much less than the 3.000% yesterday and 6.007% on Tuesday. As yesterday, today’s unscheduled overnight repo operation...

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 $65 billion in 4-week bills this week (today). The results showed that dealers submitted $152 billion...

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.  US Treasury, Jan - Sep 2017(see more posts on U.S. Treasuries, ) - Click to enlarge Within two days of that move in bills, the GC market for UST 10s had gone...