HALISTER1: 10Y, 30Y Repo Specialness May Not Dissipate After Auctions: JPM

10Y, 30Y Repo Specialness May Not Dissipate After Auctions: JPM

(Bloomberg) -- Given lack of “lendable float” from SOMA add-ons in 10Y, 30Y securities, it’s unlikely their “extreme specialness” in repo will dissipate, JPMorgan strategists led by Jay Barry write in note.
  • Front-end USTs have “significantly larger lendable float,” given combination of high SOMA add-ons at auction as well as 2Y resulting in “unscheduled reopening” of existing 5Y note
    • SOMA add-ons in 10Y, 30Y auctions have added combined $3b in “lendable float”
  • 10Y repo specialness “cyclical,” as 10Y has traded more than 70bps special in 1st mo. of qtrly auction cycle
    • Specialness to dissipate as Treasury reopens 10Y twice more in next 2 mos.
  • NOTE: Current 10Y -2.65% as of 9:30am, ICAP data show
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

People
Jay Barry (JPMorgan Chase & Co)

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