Posts tagged 'specials'

The US collateral shortage lives on

Scott E.D. Skyrm, repo specialist and author of an upcoming book on MF Global, presented an interesting repo chart on his blog this week:

As the chart shows, so-called GC repo rates are once again trading below the Fed Funds rate. Read more

The disappearing Spanish GC repo market

Thanks to Mario Draghi’s double installment of 3-year LTROs this year and last, it’s been a while since we’ve had to worry about dysfunctions in the European repo market. Indeed, it wasn’t that long ago that the market’s problems appeared fully contained. But, could we have spoken to soon?

News now comes to us of another case of “causation or correlation?” striking European bond markets. This time relating to Spanish collateral. Read more

Beware the special US Treasury market

FT Alphaville has been keeping an eye on the composition of the Federal Reserve’s US Treasury purchases for a while.

It’s important to watch because the more the Fed buys of any particular issue, the less of a free float is available for everybody else — a fact which may skew pricing or encourage a security’s so-called ‘specialness‘ in the market. Read more

An intriguing pick-up in Treasury settlement fails

Some curious developments in the US Treasury market to report.

First, there’s been a relatively strong burst of settlement failures in the US Treasury repo market in the last week. Read more