High Repo Rates

March 31st, 2015 9:00 am | by John Jansen |

Via Bloomberg:

Elevated GC Repo Reflects Reluctance to Add to Balance Sheets
2015-03-31 12:47:56.462 GMT

By Alexandra Harris
(Bloomberg) — UST GC repo trading around 50bps/35bps at
quarter-end amid regulations forcing largest banks to hold more
collateral on their balance sheets.
* Mortgage repo traded as high as 70bps, according to TD
Securities
* Raised levels expected within dealer community, though
still expensive: TD
* Raised levels expected within dealer community, though
still expensive: TD</li></ul>
* Higher repo rates indicate “the marginal cost of banks’
unwillingness to expand their balance sheets,” says Citi
strategist Andrew Hollenhorst
* “It’s more of an interdealer phenomenon than for cash
investors, though they may see rates move a little
higher in sympathy”
* “It’s more of an interdealer phenomenon than for cash
investors, though they may see rates move a little
higher in sympathy”</li></ul>
* Money market funds have had access to ~$500b in quarter-end
collateral via Fed’s O/N, term RRP operations
* 25 counterparties took $29.5b at O/N RRP; at seven-day
term RRP, 78 participants submitted $101.3b at 0.10%,
below $125b cap

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