Market Commentary

There’s a lot of discussion about fails in the Treasury market, including a variety of armageddon theories about why fails have increased, but rest assured, fails are a normal part of the market. That’s not to say I take the increased fails lightly, but it’s not a th

To some, short-sellers are financial demons, betting against everyone else’s retirement money. Like the murky guy at the end craps table who always bets the “Don’t Pass” line. To others, short-sellers play a valuable function, keeping securities prices from bec

General Collateral The seasonal collateral shortage officially ended two weeks ago when about $55 billion in net new securities settled between May 28 to June 2. On Wednesday, the FOMC is expected to trim its QE purchases from $45 billion to $35 billion a month. At the same time, the

Brian Hunter was Amaranth’s rock-star energy trader. A self-described “numbers guy,” he was also a family man, never missing an opportunity to talk about his two sons. He still claims to be a very private person, and if someone rings his doorbell and asks to speak to Brian Hunter, he

Snugging Making it more snug, like a screw turned into a hole a little tighter. That’s why tighter monetary policy has been referred to as a “snugging.” Tightenings have been described in different ways by different Fed chairmen. William McChesney Martin started the

The overnight federal funds rate is currently the base interest rate which anchors the entire U.S. financial system. For years, it was the only benchmark short-term interest rate, at least until the overnight Repo rate came around. Banks are required to keep a certain portion of their

Overnight Repo Rates Last Thursday, May 8th, a net $29 billion worth of collateral left the market; on this coming Thursday, May 15th, another net $16 billion* is about to leave too. Since the beginning of the collateral shortage on April 17, GC averaged 5.7 basis points which was 1.8

I’m going to take a crack at the Net Stable Funding Ratio (NSFR). I know the rule is still in draft form, but it could have a substantial impact on the Repo market. Just like the Leverage Ratios, they appeared complicated at first, but ended up relatively easy to understand. Or

It seems the end of “tri-party reform” might be on the horizon. Back in January, Fixed Income Clearing Corp. (FICC) slipped in a small change to their membership criteria. It would allow a second tier of membership which does not require deposits to their default fund, eff