US Treasuries

Hedge Funds, Investments, Regulatory

hedge funds, ICI, Managed Funds Association, money market funds, topstory, US Treasuries, volatility

This has turned into a game of hot potato. Last March’s market volatility in US Treasuries was well documented with a series of actors blamed for possible causes, from hedge…

Harvard professor: hedge funds not responsible for March 2020 US Treasury dislocation

November 13, 2020

hedge funds, Repo, US Treasuries

The Role of Hedge Funds in the 2020 Treasury Market Turmoil Marco Di Maggio This paper provides new evidence about the behavior of hedge funds during the disruptions that occurred…

Charts on funding activity from US Treasuries, Fed assets and money funds

September 24, 2020

Repo

Federal Reserve, market markets, money funds, Repo, topstory, US Treasuries

The scale of funding market disruption over the last year from COVID-19, low interest rates and political disputes is often discussed, but it’s something else to see the data in…

As 30 year Treasury yields rise, the options are intervention or market stress (Premium)

August 17, 2020

Federal Reserve, Primary Dealers, Regulatory, Repo, Uncategorized

Federal Reserve, Regulation, Repo, topstory, US Treasuries, US Treasury

Will it be Fed market intervention, regulatory intervention, or financing rates rising again in a stress period? Last week’s US Treasury issuance tells the story of similar root causes to…

A renewed focus on hedge fund risk in US Treasury repo, options and the basis trade (Premium)

July 27, 2020

Financial Stability Board, Fixed Income, Regulatory, Repo

basis trade, Financial Stability Board, gamma scalping, hedge funds, Office of Financial Research, Repo, topstory, US Treasuries

Three recent publications suggest that the loose path of regulation for hedge fund risk may be coming to a close. One in particular has some sharp teeth; we may see…

We review the US regulatory capital rule on excluding US Treasuries and central bank deposits from the Supplementary Leverage Ratio (Premium)

June 23, 2020

central bank deposits, Supplementary Leverage Ratio, topstory, US Treasuries

Regulatory

US regulators have released a more detailed rule for exempting US Treasuries (UST) from the Supplementary Leverage Ratio (SLR), along with central bank deposits. Banks have begun to ask for…

Analysis of Darrell Duffie’s paper on centralized clearing of US Treasuries (Premium)

June 9, 2020

CCP, cleared repo, Fixed Income, Market infrastructure, Repo

CCPs, Darrell Duffie, topstory, US Treasuries

Stanford Professor Darrell Duffie released a paper last month through the Brookings Institution discussing centralized clearing of US Treasuries. He organizes the arguments about how and why clearing should move…

US regulators agree on more detailed changes to Supplementary Leverage Ratio exclusion of US Treasuries

May 16, 2020

Supplementary Leverage Ratio, US, US Treasuries

The federal bank regulatory agencies today announced temporary changes to their supplementary leverage ratio rule. The temporary modifications will provide flexibility to certain depository institutions to expand their balance sheets…

Fed’s bond buying is now showing up in primary dealer statistics (Premium)

April 28, 2020

Federal Reserve, Primary Dealers, Repo

Federal Reserve, primary dealers, Repo, topstory, US Treasuries

With a short lag as liquidity worked its way into the system, we can now see some impacts of the Fed’s bond buying in primary dealer reported positions and financing…

Quantitative Brokers launches “intelligent” algo for futures and US cash treasury markets

April 21, 2020

News and Notes – Fintech

algorithms, futures, Quantitative Brokers, US Treasuries

Quantitative Brokers (QB) announced the launch of a first-ever, intelligent algorithm for options on futures markets. It is a dynamic agency algorithm for options on futures markets that incorporates both…

The steepening slope of financial deregulation (Premium)

April 13, 2020

Regulatory

Bank of Japan, Basel III, EU, Federal Reserve, topstory, US Treasuries

We’re expecting that one outcome of the COVID-19 epidemic will be looser bank balance sheet regulations that may ultimately derail the Basel III framework. Basel III was already strained before…

BIS: Leverage and margin spirals in fixed income markets during the Covid-19 crisis

April 2, 2020

BIS, Leverage, Margin, US Treasuries

Key takeaways For a two-week period in mid-March 2020, government bond markets experienced uncharacteristic turbulence, sometimes selling off sharply in risk-off episodes when they would normally attract safe haven flows. Evidence in…

Analysis of the Fed’s decision to exempt US Treasuries from the Supplementary Leverage Ratio

April 1, 2020

Federal Reserve, Supplementary Leverage Ratio, topstory, US Treasuries

Federal Reserve, Regulatory, Repo

The Fed announced today a major change in the calculation of the Supplementary Leverage Ratio, allowing US regulated banks to exempt US Treasuries in the denominator of the formula through…

Fed launches temporary repo facility for foreign monetary authorities’ US Treasury holdings

March 31, 2020

Federal Reserve, Repo, US Treasuries

The Federal Reserve on Tuesday announced the establishment of a temporary repurchase agreement facility for foreign and international monetary authorities (FIMA Repo Facility) to help support the smooth functioning of…

Axios: US first major economy with non-policy driven negative bond yields

March 26, 2020

negative interest rates, US Treasuries

US Treasury yields on one-, two- and three-month maturities all turned negative as investors continued to favor short-term debt that functions like cash. “What you are seeing today is an…

Fed adds $32 billion in emergency liquidity for US Treasuries

March 13, 2020

Federal Reserve, US Treasuries

To address temporary disruptions in the market for Treasury securities, the Open Market Trading Desk (the Desk) at the Federal Reserve Bank of New York has updated the current monthly…

Should the Fed skip the small talk and become a quasi-primary dealer?

November 4, 2019

Federal Reserve, Liquidity Management, Repo, US

Federal Reserve, primary dealers, Repo, topstory, US Treasuries

The Federal Reserve’s intervention in recent US repo market activity suggests that it alone has the ability and resources to maintain orderly markets in the face of liquidity rules and…

Really, what happens if US dealers run out of balance sheet for funding? (Premium)

September 3, 2019

Repo

Balance sheet, Repo, topstory, US Treasuries

It’s time to rethink some long-held assumptions in financial markets. Continuously rising US Treasury issuance will have its natural consequences: it’s not possible for funding markets to take on a limitless…

MarketAxess to acquire US Treasuries trading platform LiquidityEdge

August 14, 2019

LiquidityEdge, MarketAxess, US Treasuries

MarketAxess Holdings Inc. (Nasdaq: MKTX), the operator of a leading electronic trading platform for fixed-income securities, and the provider of market data and post-trade services for the global fixed-income markets,…

DTCC Sponsored Service Achieves Key Milestone in Treasury Market Clearing with Citadel Activity

June 24, 2019

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 Management, 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

Collateral Management, 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, SOFR

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, 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