@lebas_janney's Threads
My core thesis right now is the US G-SIBs are being stuffed to the gills with coupon USTs. 1/x
I've done a rather poor job of describing the situation that gave rise to said stuffing, and will try to rectify that. Specifically, I've conflated description of primary dealer and bank portfolio gill stuffing. 2/x
When you aggregate all UST holdings from US G-SIBs, you get the following (note that only $JPM has 3Q filings are complete, but others should w/in two weeks). As you can see, $JPM has added $152bln of USTs in last 4Q's, but they're not alone. 3/x 
Quick primer: what is repo and why do we care all of the sudden? Thread. 1/x
Repo (repurchase or reverse repurchase agreement) is a common way to finance a bond. Essentially, an owner buys a bond and then borrows, say 95% of the value of that bond, posting the bond as collateral. 2/x
It's a really common way of financing Treasuries, MBS, other low risk bonds. $100s of billions trade every day. It's *the* main overnight borrowing rate in terms of volume, and while the @federalreserve doesn't control it, they have a lot of influence over repo. 3/x
I did Powell this AM, so might as well do the mins now. Thread 1/x
There's this ongoing discussion among #FOMC about deterioration in conditions. I'm really not seeing it...but my opinion doesn't count for as much. "Many participants" means it's a majority opinion of voters. 2/x
The ongoing labor market slack argument, advanced most prominently by @neelkashkari and @Jamesbullard (prolly not his real handle) gets a little attention, but not much. Can't employ everybody. 3/x
Chicago Fed @ChicagoFed conference papers dropped. Going to be a long day.
federalreserve.gov/conferences/co…
federalreserve.gov/conferences/co…
@ChicagoFed First up, review of current #monpol framework (federalreserve.gov/conferences/fi…)
Key conclusion: @federalreserve should guide rate cuts soon and more aggressively since guidance policy has a bigger effect on economy today.
Key conclusion: @federalreserve should guide rate cuts soon and more aggressively since guidance policy has a bigger effect on economy today.
@ChicagoFed @federalreserve Second paper on the agenda (as mentioned by @jeannasmialek federalreserve.gov/conferences/fi…) titled "Maximum Employment"
Key takeaway: u-rate doesn't measure labor market tightness; recommend a new metric. Basically this is the Fed's LMCI come again (actually, come around a third time).
Key takeaway: u-rate doesn't measure labor market tightness; recommend a new metric. Basically this is the Fed's LMCI come again (actually, come around a third time).
I often write missives/tweetstorms/published notes when there's a big spike in rates, since that's when our clients get worried!
Well, front end yields are ~25bps from Jan, and that's an even better reason to discuss. 1/
Well, front end yields are ~25bps from Jan, and that's an even better reason to discuss. 1/
Here's 2y yields, which are -33bps as of Apr 26. There are two distinct moves which I'll dissect in context of @federalreserve shifts. 2/
The first dramatic move was a -35bps drop in yields from Feb 28 to Mar 27. About 77% of the drop came the day before Mar FOMC to 5 trading days after. 3/
Time for a pre-turkey #tweetstorm on the biggest positioning/flows driver in the US #interestrates and #bond markets, and it’s a monster. 1/
As always, some background. This story starts in the #Eurodollar futures markets, which are basically bets on where 3m LIBOR will settle on a given day. E.g., a Dec 2019 ED contract pays based on where 3m LIBOR is on Dec 16, 2019. 2/
When expectations of 3m LIBOR fall, ED prices rise and vice versa. So the price of an ED is like a bond in that respect. 3/
There’s a lot of “weird” stuff going on in market plumbing over the last couple weeks. I’m going to try and unpack a little bit of it. 1/
Last Thur Oct 18, 1mm+ contracts of $EDZ8 traded, the second-highest number of front month Eurodollar contract trading in history and more than on Lehman Monday 2008. 2/
Quick background for the uninitiated: EDs are basically bets on where 3m LIBOR will settle. The Z8 contract expires in Dec 2018, meaning that it’s a bet or forecast on where 3m LIBOR will be in about 2 months. 3/
