China’s one-month repo rate is nearing the 2009 highs it made back in June.
At the time the rise was attributed to the pending AgBank IPO, capital raisings by banks, and a switch from lending to higher-yielding central bank bills.
This time around we’ve (so far) seen the tightness attributed to holidays and end-of-third-quarter window-dressing. China’s Mid-Autumn celebrations took place last week, while the National Day holiday will run from October 1 to October 8.
For those curious, the benchmark seven-day repo rate has also been rising (to about 2.46 per cent) but is further off from its June high (of 3.27 per cent). The 14-day rate is at 3.01 per cent, rather closer to its June high of 3.42:
(H/T Tim Backshall)
Related links:
The other liquidity strain — in China - FT Alphaville
What drives the China interbank market? – IMF working paper