RP Market Man

 

 

 

 

 

 


1580572w-1



Repo Market Notes 

Screen Shot 2018-10-11 at 7.09.11 PM.png

Screen Shot 2018-10-11 at 7.08.17 PM.png

Related image


Treasury Trims 3-, 6-Month Bill Sales to Pave Way for 8-Week

 (Bloomberg) — Trimming the size of next week’s bill auctions by $3b apiece, Treasury will sell $45b of three-month securities and $39b of the six-month. The cuts will make room for the new eight-week bill to be sold on Oct. 16.

* The Treasury is about to add two-month bills to its lineup, and  investors should prepare for some changes to how the U.S. sells  its shortest-maturity debt as it brings billions of dollars more to market each week


 Story: Treasury’s Two-Month Bill Is Coming:

* The effective fed funds rate was unchanged at 2.18% on Wednesday, according to New York Fed data; with IOER at 2.20%, spread of IOER over fed effective was 2bp

 * Fed funds traded in a 2.16%-2.35% range Wednesday, with volume  at $64b, according to data posted on the New York Fed’s website; the 75th percentile rate was 2.19%
* Fed’s overnight bank funding rate set at 2.18% on Wednesday; market volume was $133b

* Four counterparties took $2b at the Fed’s reverse repo operation Thursday, down from $2.4b on Wednesday

SECURED RATES:

* SOFR, the Alternative Reference Rates Committee’s preferred benchmark to eventually replace Libor, set at 2.15% as of Oct 10, New York Fed data show


 * Other rates based on Treasury repo transactions:
* Broad General Collateral Rate (BGCR) set at  2.14%

* Tri-party General Collateral Rate (TGCR) set at 2.14%

* O/N GC repo 2.28/2.23, opened at 2.28/2.26
 * 1-wk repo 2.27/2.25

* 2-wk repo  2.28/2.25

* 1-mo repo 2.28/2.25


* Daily total UST, agency repo fails fell to $40.2b Oct. 10, around 5-DMA $40.4b, DTCC data show; compares with $50.8b Oct. 9

* The current 30Y UST joined the 10Y in trading special in the repo market ahead bond auction on Thursday; security averaged 2.01% at 12pm ET close vs 1.94% at 8am open, Nex data show

* The current UST 10Y is still trading special ahead of the Oct. 15 settlement, averaging 1.85% as of 12pm vs 1.90% at 8am

* The Fed owns about $3.5b of the current 10Y 
securities lending auction Thursday, NY Fed data show

 * Total fails to deliver fell to $114b in the week ended Oct. 3 from $121b, NY
Fed data show; fails to receive fell to $109b from $116b

* Treasury fails to deliver rose to $71.9b in the week ended Oct. 3 from
$67.5b and fails to receive rose to $76b from $68b
 * 2Y fails to deliver rose to $156m from $57m previously; 2Y fails to receive
rose to $206m from $108m
* 5Y fails to deliver rose to $309m from $236m previously; 5Y fails to receive fell to $382m from $591m
* 10Y fails to deliver rose to $972m from $614m previously; 10Y fails to receive rose to $489m from $450m
* Total prime funds saw net inflows of $4.16b in the week ended Oct. 10, ICI data
show, with assets rising to $537b
* Institutional prime funds saw inflows of $2.96b, with assets rising to $226b; retail prime funds saw inflows of $1.2b, with assets rising to $311b
* Total govt money funds saw net inflows of $10.7b in the week ended
Oct. 10, with total assets rising to $2.217t, according to ICI data
* Institutional govt funds saw inflows of $8.47b, with assets  rising to $1.576t

TREASURY BILLS:

* Treasury’s cash balance fell to $309b on Oct. 10 vs $330b on Oct. 6
* Treasury bills held by primary dealers fell to $12.3b in the week ended Oct. 3 from $18.5b in the week prior


* 1-mo Treasury bills 2.125%

* 3-mo Treasury bills 2.261%

* 6-mo Treasury bills 2.441%

* 12-mo Treasury bills 2.652%

* 1-mo discount notes 2.18% on Oct. 11

* 3-mo discount notes 2.22% on Oct. 11

UNSECURED RATES:

* Issues of AA financial paper with 81+ days to maturity totaled 46 on Oct. 10, up from 35 on Oct. 9; compares with 62 on Oct.  5

 * 1-mo AA financial CP 2.19% Oct. 9
 * 3-mo AA financial CP 2.33% Oct. 10
 * Total outstanding CP rose to $1.102t in the week ended Oct. 10 from $1.10t the prior week; foreign financial paper ros  to record high $313b in the week ended Oct. 10, according to data compiled by Bloomberg since 2001, from $302b
 * O/N Libor 2.1723% vs 2.1720% Wednesday

* 1-mo Libor 2.2795% vs 2.2832%
* 3-mo Libor 2.4363%, highest since November 2008, vs 2.4252%
* 6-mo Libor 2.6353% vs 2.6363%

* 12-mo Libor 2.9543% vs 2.9691%

* Libor-OIS   spread widened to 19bp from 18.3bp prior session


-R.W.N II, yours in 322.

lastlook_05

Banyan Capital Management, LLC (“BCM”) is a publisher, not a registered investment advisor, and nothing in BCM’s newsletter is intended, and it should not be construed, to be investment advice. BCM’s newsletter is for informational use only. Any mention in BCM’s newsletter of a particular security, index, derivative, or other instrument is neither a recommendation by BCM to buy, sell, or hold that security, index, derivative, or other instrument, nor does it constitute an opinion of BCM (or of any of its officers, employees, agents or representatives) as to the suitability of that security, index, derivative or other instrument for any particular purpose. BCM is not in the business of giving investment advice or advice regarding the suitability for any purpose of any security, index, derivative, other instrument or trading strategy and nothing in BCM’s newsletter should be so used or relied upon. BCM is not acting as your financial advisor nor in a fiduciary capacity, with regard to any securities, index, derivative or other instrument referred to in BCM’s newsletter. Also, no representation is made concerning the tax implications in any applicable jurisdiction regarding any securities, index, derivative or other instrument and BCM is not advising you in respect of the tax implications. All opinions and estimates in the newsletters are given as of the date of their publication on the BCM’s website and are subject to change and BCM does not assume any obligation to update the newsletters or to reference any such changes. BCM hereby expressly disclaims any and all representations and warranties that: (a) the content of its newsletters is correct, accurate, complete, reliable or a guaranty of future performance; (b) any of its newsletters will be available at any particular time or place, or in any particular medium; and (c) that any omission or error in any of its newsletters will be corrected. BCM shall not be liable for any errors or omissions made in its newsletters or for any inaccuracies in its assumptions. BCM specifically disclaims liability for any losses or damages (incidental, consequential or otherwise) that may arise from the newsletters and that are either used or relied upon by anyone for any reason, including without limitation, the use of the newsletters in the preparation of any financial books and records. Although from time to time BCM’s newsletter may link to or promote others’ websites or services, BCM is not responsible for and does not control those websites or services. BCM’s newsletter is published and distributed in accordance with applicable United States and foreign copyright and other laws. Without the prior written consent of BCM, no person or entity, directly or indirectly, may copy, reproduce, recompile, decompile, disassemble, reverse engineer, distribute, publish, display, perform, modify, upload to create derivative works from, transmit, or in any way exploit all or any part of BCM’s website, its newsletter, or any other material belonging to BCM.Without the prior written consent of BCM, no person or entity, directly or indirectly, may offer all or any part of BCM’s website, its newsletter, or any other material belonging to BCM for sale, nor may any person or entity, directly or indirectly, distribute all or any part of BCM’s website, its newsletter, or any other material belonging to BCM over or by means of any medium.Without the prior written consent of BCM, no person or entity, directly or indirectly, may make all or any part of BCM’s website, its newsletter, or any other material belonging to BCM, available as part of or in connection with another website, whether by hyperlink, framing on the Internet or otherwise. At any given time BCM’s principals may or may not have a financial interest in any or all of the securities and instruments discussed herein. At any given time BCM’s principals may or may not have a financial interest in any or all of the securities and instruments discussed herein.

 

 

Leave a Reply

This site uses Akismet to reduce spam. Learn how your comment data is processed.