Video by Alhambra Investments via YouTube
Source
Glowing Orange: Repo Market Collateral Rumble
Early-morning action in the repo market shows a musical chairs-like collateral scramble; it has the Fed’s attention. But the Fed is blasé about it (i.e. ‘too much cash’). Yet these collateral scrambles resemble what we saw in March 2020.
Jeff Snider, Head of Global Investment Research for Alhambra Investments and Emil Kalinowski.
Topics & Time Codes
01:41 Montana Senator Daines asked a Jeff-Snider-question to Jerome Powell in testimony.
04:50 Jerome Powell stated the Fed is focusing on the [dead] Federal Funds rate / range. WHY?!
06:17 In later testimony Powell changes his mind from "too much cash" to "not little collateral"
10:59 The NYFed notices that most repo transactions take place very early in the morning. Why?
13:27 Early morning collateral scrambles? The repo market? These took place in March 2020.
17:41 The NYFed offers several other reasons for the scramble: fees and liquidity.
18:55 The NYFed notes that more trades are taking place pre-market (to preempt the scramble?)
20:15 Monday, July 19 UST Bond yields dropped – but that was not a Jeff Snider "collateral day"
23:20 Tuesday, July 20 UST Bill yields traced out a fang-like drop in an early morning scramble
25:13 Show Conclusion: collateral scrambles are not rainbow/unicorn-reflationary phenomena
References
Lower Yields And (fewer) Bills: https://bit.ly/3BDZSxi
Why Don’t Bonds Reflect CPI Alarm About Inflation?: https://bit.ly/3kMx2oq
Sorry, One More On Bills: Today A Really Good Example of All The Things We’ve Been Focused On Lately: https://bit.ly/3i20FAo
Intraday Timing of General Collateral Repo Markets: https://nyfed.org/2VbxIZv
Alhambra Investments Blog: https://bit.ly/2VIC2wW
RealClear Markets Essays: https://bit.ly/38tL5a7
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Twitter: https://twitter.com/JeffSnider_AIP
Twitter: https://twitter.com/EmilKalinowski
Alhambra YouTube: https://bit.ly/2Xp3roy
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