US Treasuries

Citadel, Clearing, DTCC, FICC, Repo, US Treasuries

Transactions completed by Citadel in both cash and repo highlight the potential of the Sponsored Service to significantly increase centrally cleared US Treasury activity, reducing the risks of bilateral clearing…

NY Fed: notes from the Fourth Annual Conference on the Evolving Structure of the U.S. Treasury Market

February 1, 2019

Federal Reserve, US Treasuries

The New York Fed recently hosted the fourth annual Conference on the Evolving Structure of the U.S. Treasury Market. The one-day event was co-sponsored with the U.S. Department of the…

Fed to expand UST data collection beyond TRACE

December 3, 2018

Brainard, Federal Reserve, US Treasuries

The Structure of the Treasury Market: What Are We Learning? Governor Lael Brainard At “The Evolving Structure of the U.S. Treasury Market” Fourth Annual Conference Hosted by the Federal Reserve…

Fed blog: “Breaking Down TRACE Volumes Further” finds off-the-run is 27% of overall volumes

November 29, 2018

Liberty Street Economics, off-the-run, TRACE, US Treasuries

Following an earlier joint FEDS Note and Liberty Street Economics blog post that examined aggregate trading volume in the Treasury cash market across venues, this post looks at volume across…

China and Japan are holding fewer US Treasuries. What happens next?

November 21, 2018

Asia, China, Fixed Income, Interest rates, US

China, Japan, topstory, US Treasuries

China and Japan together hold 35% of US Treasuries outstanding, according to new US Treasury data. But that figure is decreasing and there are no big buyers stepping up to…

WSJ: Asian investors buying fewer US Treasuries

November 6, 2018

Asia, US Treasuries, WSJ

Where to Find Treasury Buyers? Not Asia The erosion of demand in emerging Asian markets reflects their maturation into more stable economies. Asian investors are proving less and less eager…

Testing the correlation between SOFR and US Treasury rates (Premium)

August 13, 2018

Investments, Repo, SOFR

Repo, SOFR, topstory, US Treasuries

If UST repo is competing with the supply of US Treasuries for cash investors, then higher UST rates should mean that repo cash providers have to provide higher rates, right?…

US short-term rates have no upper bound, and that’s an [opportunity] [problem] (Premium)

August 6, 2018

Interest rates, Repo, US

Repo, topstory, US Treasuries, yield curve

While the Federal Reserve are masters of setting the lower bound on short-term interest rates, the upper bound seems to be bouncing away. The biggest agitator is the US Treasury.…

US Treasury Markets Practice Group sees clearing and IDB risks in the US Treasury secondary market

July 16, 2018

Collateral, Investments, Market infrastructure, US

Clearing, collateral, settlement, TMPG, topstory, US Treasuries

The US Treasury Markets Practice Group (TMPG), hosted by the New York Fed, has issued a comprehensive paper on the US Treasury (UST) secondary market. In last week’s “White Paper…

TMPG Releases Consultative White Paper on Clearing and Settlement in the Secondary Market for U.S. Treasury Securities

July 13, 2018

The Treasury Market Practices Group (TMPG) today released a consultative White Paper on Clearing and Settlement in the Secondary Market for U.S. Treasury Securities. The White Paper describes the various…

UST 10 year passes 3% milestone, securities lending picks up (Premium)

April 25, 2018

Interest rates, Securities Lending

interest rates, Securities Lending, topstory, US Treasuries

The US 10 year Treasury Note rate passed the important 3% mark yesterday. The issue is less the rate than the speed at which the market moved relative to corporate…

US repo rates jumped last week: an expected outcome with drivers that suggest future directions

March 19, 2018

Federal Reserve, Repo, US

Federal Reserve, GCF, Repo, Reverse Repo Facility, tapering, US Treasuries

US repo rates for government and other collateral jumped on Thursday with GCF(R) averages of 1.636% for repo backed by US Treasuries, up from 1.45% just two weeks prior. This…

All to All platform for illiquid UST raises $10mn

January 29, 2018

All to All, electronification, off-the-runs, US Treasuries

OpenDoor Securities, the first All to All marketplace for illiquid US Treasuries, has completed a third $10 million investment round. The funds will help to accelerate its rapid business expansion…

A US Treasury yield curve inversion: with new regulations, this may have nothing to do with recession expectations

December 12, 2017

Interest rates, Investments, US

inversion, topstory, US Treasuries, US Treasury, yield curve

US Treasury yield curves are heading towards a possible inversion; that is, long-term rates could soon be paying less than short-term rates. This is not typically what financial markets want…

Why you should care about off-the-run US Treasury trading platforms

November 15, 2017

Audit, Collateral Management, Fixed Income, Liquidity Management, US

Liquidity, LiquidityEdge, off-the-runs, OpenDoor, topstory, US Treasuries

Two press releases last week highlight the importance of liquidity in off-the-run US Treasuries. As the battle of the platforms is heating up, the winners will be holders of off-the-runs…

LiquidityEdge launches off-the-run US Treasuries trading with Barclays and Credit Suisse

November 7, 2017

News and Notes, News and Notes – Fintech

Barclays, Credit Suisse, electronification, Liquidity Management, LiquidityEdge, US Treasuries

Electronic US Treasuries (UST) trading venue LiquidityEdge has launched the market’s first ever fully electronic aggregated streaming service for off-the-run USTs. Three primary dealers including Barclays and Credit Suisse have…

Saxo Bank: cherry-picking financials for better returns than US treasuries

September 5, 2017

investments, Saxo Bank, US Treasuries, yield enhancements

We are now living in a world where banks are sounder and better regulated than before, yet spreads in the financials space are wider than they were before the financial…

The SEC report on liquidity and regulations: its a complex story, not a done deal

August 15, 2017

Investments, Liquidity Management, Regulatory, SEC, US

Liquidity, sec, topstory, US Treasuries, Volcker Rule

The headlines say that the SEC reports little damage to liquidity from regulations, and this is going to influence both government and public opinion going forward. But the SEC measured…

Our analysis of the CME decision to launch derivatives on US Treasury repo rates (Premium)

July 31, 2017

Interest rates, LIBOR, Repo, Repo Futures, Repo Indices

ARRC, CME, LIBOR, Repo, Repo Indices, topstory, US Treasuries

The CME announced last week that it would be creating derivatives based on the new US Treasury repo index rate that could one day replace LIBOR. This is a good…

A CCP for US Treasuries? Here are some pros and cons (Premium)

July 19, 2017

CCP, Dodd-Frank, Fixed Income, US

Fixed Income, House Financial Services Committee, market structure, Nasdaq, topstory, US, US Treasuries

The US House Subcommittee on Capital Markets, Securities, and Investment held an interesting hearing last Friday on US fixed income market structure. Although the product range is extremely diverse, witness…

Here’s what no US Treasuries in the Leverage Ratio means for US banks and US repo (Premium)

June 26, 2017

Basel III, Dodd-Frank, Profitability, Regulatory, Repo, US

Basel III, Repo, Supplementary Leverage Ratio, topstory, US Treasuries

The US Treasury’s report recommending that US Treasuries (UST) be removed from the US enhanced Supplementary Leverage Ratio (eSLR) has some direct and positive implications for US banks. Here’s a…

Reuters: BGC readies U.S. Treasuries e-trading platform for June launch

May 17, 2017

BGC Partners Inc (BGCP.O) plans to launch a new electronic trading platform for U.S. Treasuries by the end of June, four years after selling a similar business to exchange operator…

Finadium: The US Repo Market in December 2016: What Happened and What’s Next

February 8, 2017

Repo, Tri-Party Repo, US

alternative repo, Finadium Research, Repo, Repo Indices, topstory, tri-party, US, US Treasuries

In this Investor Focus report, we provide a statistical evaluation of the US repo market in December 2016 across US Treasuries, corporate bonds and S&P 500 equities. We use both…

Thursday News Roundup: US Treasuries, Basel III adoption, BofE white paper (Premium)

October 27, 2016

Bank of England, Basel III, Federal Reserve, Fixed Income, Investments, Repo, US

Bank of England, Basel III, Federal Reserve, topstory, US Treasuries

The news moves fast when regulators speak their minds (especially if that involves rolling back the Leverage Ratio). This edition of News Roundup looks at the future of the US…

Under bank capital rules a reduction in US Federal deficit would spell serious trouble

October 17, 2016

Richard Stinchfield

Collateral Management, Dodd-Frank, Federal Reserve, Liquidity Management, Market infrastructure, Money Market Funds, Regulatory, Repo, Systemic Risk, US

Federal deficit, Federal Reserve, Liquidity, systemic risk, topstory, US Treasuries

The US Federal deficit has been an absent topic in recent Presidential debates and skirmishes. Certainly it is less enticing to the general populace than the latest scandals and accusations.…

An expensive and odd quarter end for US repo including equities (Premium)

October 6, 2016

Basel III, CCP, Repo, US

bilateral, CCP, Equities, Repo, term, topstory, US Treasuries

The rising cost of US Treasury repo at quarter end is now well documented but something strange happened last week between the bilateral and CCP market. Trends in S&P 500…

How much is term repo in US markets really worth? (Premium)

September 7, 2016

Cash management, Investments, Repo

Repo, S&P 500 equities, term, topstory, US Treasuries

Using new data from AVM’s Direct Repo(TM) platform, we quantify the value of term repo in the US repo market this week. The data set is unique as it presents…

US Regulators issue statement on progress of analyzing the U.S. Treasury Market Structure since the July 2015 Joint Staff Report

August 2, 2016

CFTC, Federal Reserve, sec, US, US Treasuries

The U.S. Department of Treasury, the Board of Governors of the Federal Reserve System, the Federal Reserve Bank of New York, the U.S. Securities and Exchange Commission, and the U.S.…

US Treasury securities lending spreads around Brexit show systemic risks in action (Premium)

August 2, 2016

Richard Stinchfield

Europe, Securities Lending, Systemic Risk, US

Brexit, Securities Lending, topstory, US Treasuries

The aftermath of the Brexit vote showed that while there were tremors in financial markets, the overall system functioned well. Equities went down then up, Treasury spreads in securities lending…

Dealers speak their minds on US bond and repo market liquidity (Premium)

April 11, 2016

Fixed Income, Repo, US

Federal Reserve, GCF Repo, HQLA, Liquidity, Repo, topstory, US Treasuries, Volcker Rule

As the repo market moves from what it was to what it will become, the current state of flux is creating fear and loathing, with just the slightest hint of…

Greenwich: US treasury dealers step back from market making

October 14, 2015

Greenwich Associates, Liquidity, US Treasuries

From Finextra Source: Greenwich Associates More than 50% of top U.S. Treasury dealers have stopped actively making markets on interdealer platforms—a dramatic change to a market in which virtually all…

Report: what really happened to Treasury Bond liquidity on October 15, 2014? (Premium Content)

July 22, 2015

Featured, Investments, Liquidity Management, US

dealers, Liquidity, market makers, topstory, US Treasuries, volatility

Corporate Bonds, Regulatory Change, RMBS, SCOOS, Senior Credit Officer Opinion Survey on Dealer Financing Terms, topstory, US Treasuries

The US Treasury, CFTC and others have released their findings on what happened to US Treasury Bond trading on October 14, 2015 that resulted in an unheard-of spike in prices…

June 2015 Federal Reserve Senior Credit Officer Opinion Survey on Dealer Financing Terms (SCOOS) special questions: what happened to fixed-income liquidity?

July 9, 2015

Jonathan Cooper

Dodd-Frank, Featured, Federal Reserve, Market infrastructure, Regulatory, Risk Management

The June 2015 Federal Reserve Senior Credit Officer Opinion Survey on Dealer Financing Terms (SCOOS) has been released. This is the second part of a two-part post.Continue reading

Do US Treasuries need dealers or is there enough liquidity already?

May 11, 2015

Featured, Fixed Income, Investments, Liquidity Management, Primary Dealers

BrokerTec, eSpeed, Fixed Income, ICAP, topstory, US Treasuries

We’ve seen a few news items that revisit the conversation about whether US Treasuries, the most (theoretically) liquid product in the markets, need credit intermediation. That is to say, should…

Liberty Street Economics blog on the Treasury FRN issuance: who is buying the paper?

January 19, 2015

Jonathan Cooper

Cash management, Featured, Federal Reserve

DTCC GCF Repo Index, money market funds, Repo Indices, topstory, US Treasuries

Last week in the York Fed’s Liberty Street Economics blog they published an article “FRN Follow-Up: Who Are the Market Participants?” We thought it was interesting and take a look.…

Wednesday News Roundup: repo failures, Germany collateralizes, bank benefits from collateral (Finadium subscribers only)

July 9, 2014

Collateral Management, Derivatives, Europe, Investments, Repo, Securities Lending

Bloomberg, collateral management, Germany, Repo, Securities Lending, US Treasuries

Some new and compelling news stories over the last week spark up talk about shifting collateral needs, and more importantly, fundamental changes to bond market liquidity that we could impact…

A look at the impact of a Government default on collateral markets

November 5, 2013

Jonathan Cooper

CCP, CFTC, Cleared Interest Rate Swaps, Collateral Management, Derivatives, Federal Reserve

default, LCR, US Treasuries