Wells Fargo Securities Strategist Garret Sloan writes in yesterday's, "Daily Short Stuff," "Month-end was relatively benign in terms of overnight lending markets. The Fed reverse repo facility saw just under $140 billion, while the inter-dealer repo market (GCF) saw Treasuries jump to the low 20 bps range on higher than normal volume the last day of the month. Treasury overnight GC volume jumped to $137 billion, up from $84 billion the day after Thanksgiving. Mortgages jumped even higher, touching just below 30 bps on Nov. 30th, again on slightly higher volume. This month-end the repo markets approached the calendar turn somewhat differently than October month-end, which likely has something to do with the holiday schedule. Overnight repo rates began climbing in the GCF market starting on the Tuesday before Thanksgiving and climbed every day through month-end.... In the triparty market, the price action was similar, though more muted. The MBS triparty repo index hit 12.8 basis points at month-end, up from 6 basis points prior to the Thanksgiving break. Agencies climbed from 5.7 basis points to 11.2 basis points and Treasuries climbed from 4.9 basis points to 8 basis points.... This morning GCF Treasury repo opened at 10.6 basis points, down from yesterday's average Treasury GCF rate of just over 18 basis points <b:>`_." In other news, the latest Independent Adviser for Vanguard Investors newsletter comments on rising money market fund yields. Editor Dan Wiener writes, "Money market yields continue to stir. Admiral Treasury Money Market picked itself up off the mat to score a 0.02% SEC yield on November 9 -- the first time it's been over 0.01% since January 11, 2013. It ended the month at 0.05%. But Vanguard's tax-exempt money funds all remain anchored just above zero." (Note: A number of Institutional money market funds now yield 0.20%, the first time we've seen these levels since the end of 2012. Watch for more yield coverage in the upcoming December issue of Money Fund Intelligence.)

Email This Article




Use a comma or a semicolon to separate

captcha image

Daily Link Archive

2024 2023 2022
March December December
February November November
January October October
September September
August August
July July
June June
May May
April April
March March
February February
January January
2021 2020 2019
December December December
November November November
October October October
September September September
August August August
July July July
June June June
May May May
April April April
March March March
February February February
January January January
2018 2017 2016
December December December
November November November
October October October
September September September
August August August
July July July
June June June
May May May
April April April
March March March
February February February
January January January
2015 2014 2013
December December December
November November November
October October October
September September September
August August August
July July July
June June June
May May May
April April April
March March March
February February February
January January January
2012 2011 2010
December December December
November November November
October October October
September September September
August August August
July July July
June June June
May May May
April April April
March March March
February February February
January January January
2009 2008 2007
December December December
November November November
October October October
September September September
August August August
July July July
June June June
May May May
April April April
March March March
February February February
January January January
2006
December
November
October
September