SIFMA Quarterly on MM Instruments
SIFMA published its "US Research Quarterly, First Quarter 2017, which, they explain, is "A quarterly report containing brief commentary and statistics on the U.S. capital markets, including but not limited to: municipal debt, U.S. Treasury and agency debt, short-term funding and money market debt, mortgage-related, asset-backed and CDO debt; corporate bonds, equity and other, derivatives, and the primary loan market." The piece contains a brief section on "Funding and Money Market Instruments." SIFMA writes, "The average daily amount of total repurchase (repo) and reverse repo agreement contracts outstanding was $3.92 trillion in 1Q'17, a decline of 3.9 percent from 4Q'16's $4.09 trillion and a decline of 0.4 percent y-o-y. Average daily outstanding repo transactions totaled $2.18 trillion in 1Q'17, a decline of 2.9 percent q-o-q but a increase of 0.8 percent, respectively, q-o-q and y-o-y. Reverse repo transactions in 1Q'17 averaged $1.74 trillion daily outstanding, a decline of 5.2 percent and 1.9 percent q-o-q and y-o-y, respectively.... DTCC general collateral finance (GCF) repo rates increased for Treasuries and MBS in 1Q'17 on a q-o-q basis and y-o-y basis: the average repo rate for Treasuries (30-year and less) rose to 62.5 basis points (bps) from 4Q'16's average rate of 43.5 bps and 1Q'16's average of 46.0 bps. The average MBS repo rate rose to 64.0 bps from 46.0 bps in the previous quarter and 47.6 bps in 1Q'16." The update adds, "Interest rates for nonfinancial commercial paper (CP) rose to 84 bps end-March 2017 from 74.0 bps end-December 2016 and from 47 bps end-March 2016, while financial CP declined to 83 bps end-March from 87 bps end-De-cember 2016 but rose from 55 bps end-March 2016." Regarding "Total Money Market Instruments Outstanding," SIFMA comments, "Preliminary outstanding volume of commercial paper, stood at $937.2 billion at the end of the first quarter, up 5.9 percent from the prior quarter’s $884.9 billion but a decline of 8.2 percent y-o-y."
