We knew it would be a crazy day for today’s reverse repo early this morning, when the overnight GCF repo rate traded at -0.01% and refused to rise, an indication that there was far too much money chasing good collateral.
Looking at the scramble for repo, interbroker dealer Wrightson ICAP said on Thursday morning that it saw Reverse Repo volumes rising to around $470 billion Thursday, though the risks are “still tilted to the high side.”
They were, because moments ago the Fed announced that at 1:15pm some 50 counterparties (up from 46 on Wednesday) parked $485.329BN in reserves with the Fed (in exchange for the generous rate of 0.000%), which was up $35BN overnight, up $134BN in the past week, and the highest on record!
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