Today’s Federal Reserve securities lending operations show two securities on special, with one bumping up against the 3% ceiling where it becomes more cost effective to fail then to pay the borrow cost.
| Trade Date | Security | Actual Avail to Borrow | Par Accepted | Weighted Avg Rate (bps) | Percent Loaned |
| Sept 8 2011 | T 02.125 08/15/21 | 544,000,000 | 544,000,000 | 2.983 | 100% |
| Sept 8 2011 | FHLMC 03.750 03/27/19 | 55,000,000 | 39,000,000 | 0.1 | 71% |
Meanwhile, the Fed maintains the other 119 securities on loan at a low and potentially artificial rate of 5 bps.
A straw poll for why the Fed keeps the vast majority of these repo rates at 5 bps:
a) Settling a grudge against the banking industry for making them work too many weekends.
b) Proving that the Federal Reserve are the true masters of the universe, not hedge funds.
c) An insistence that Treasuries can not go down, hence why would repo be priced over 5 bps?
The Fed data are here.