All clear? Structural shifts add to repo madness

Many things contributed to 10% repo, among them a FICC programme and a surge in overnight funding

Risk.net 1119 Lead story Stephen Lee nbillustration.co.uk
Stephen Lee, nbillustration.co.uk

On September 17, rates on overnight repo, backed by the bedrock pledge of US Treasuries, suddenly lurched to 10% from typically low single digits in a session that turned into a feral lunge for cash.

In some corners of the market, traders pleaded for cash; in others, people holding it gloated. 

“At dinner and drinks that night, I did hear people bragging that they made 400 basis points selling into overnight repo,” says the head of a broker-dealer in New York.

One hedge fund manager said he

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