Posted 4/12/2024, 5:03:21 AM
Mystery $20B+ Treasury Repo Trade Causes Brief Rate Drop, Sparks Curiosity
- On March 19, a key Treasury repo interest rate unexpectedly dropped before rebounding the next day
- The drop was due to a single, large trade late in the day worth $20+ billion at a 5% rate
- The trade was unusual in timing and size, posing a mystery about the parties and reasons involved
- While the incident may not pose risks, regulators are likely curious about what happened for transparency
- The trade had limited market impact, but showed up in rate transaction data before disappearing the next day