Arch Stanton's Grave?
Following up on Part 13: The Man With No Name? The epilogue to our unprecedented in depth coverage of the repo ruckus. An examination of some additional items discovered along the way to a grave at Sad Hill marked "UNKNOWN", but not to be ignored.
What put Ol' Arch in that Sad Hill grave? A debt bolus which in 12 short months rolled into epic repo arterial blockage and systemic impairing proportion, as evidenced below in statistics from the NYFRB for primary dealers.
Above, the fueling of the bolus. Since January 2015 average weekly Agency MBS dollar roll volumes doubling from $70bln to $150bln in 2019, while tripling at peak "cholesterol" funding levels to hit highs in excess of $220 bln.
Total FNMA 30 year MBS Transactions - Monthly Level
October 2018 $1.7 Trln
October 2019 $2.3 Trln
YOY ROC +$600 bln = +35%
Above, FNMA 30 year MBS Dollar Rolls. Since October 2018, at the core of the bolus a parabolic rise in the lite blue line (FNMA 3.0 coupon) $130 bln to $602 bln = +$472 bln = +363%
Total FNMA 30 year MBS Dollar Rolls - Monthly Level
October 2018 $1 Trln
October 2019 $1.7 Trln
YOY ROC +$700 bln = +70%
Dollar Rolls as a % of Total Transactions are up %15 YTD.
October 2018 1.0/1.7 trln = 59%
October 2019 1.7/2.3 trln = 74%
YOY ROC = +25%
Confirming with GNMA 30 year MBS - October 2018 to October 2019
GNMA 30 year 3.0 Coupon
Transactions: $54 bln to $331 bln = +$277 bln = +512%
Dollar Rolls: $55 bln to $154 bln = +$99 bln = +180%
Total GNMA 30 year MBS
Transactions: $596 bln to $893 bln = +$297 bln = +50%
Dollar Rolls: $365 bln to $530 bln = +$165 bln = +45%
Below from September 4th through 13th: FNMA 30 year 3.0 coupon price going off a cliff -172 bps.
Confirming, between September 4th and 13th GNMA 30 year 3.0 coupon cascaded 168 bps.
Since October 2018, FNMA and GNMA 30 year 3.0 coupon volumes involving primary dealers...
Transactions: +$897 bln = +38%
Dollar Rolls: +$865 bln = +63%
Take aways, a higher MBS dollar roll volume and outstanding amount getting rolled viz the can getting kicked forward is growing in parabolic fashion. If costs to roll forward increase, this bolus will continue to gain mass and draw additional liquidity from the repo market in exponential fashion. So much so that $155 bln in daily o/n and term repo aid can barely suffice to quell its ever growing hunger? Speaking of which...
September 16th tax payment day, concomitant settlement week for $236 bln in UST's auctioned 12/09-12/13. For any potential UST hoarding (based on the over subscription to cash in notes at the Fed window? We don't think so and Nattering for another day), or a lack of reserves (intentionally drawn down in anticipation?) or participants (on strike for higher pay?), repo rates may spike?
Can ample Fed "statins" constrain the exponentially growing debt bolus? Worry not as once again, an ounce of prevention for the sake of unnecessary intervention in something that is NOT to worry about??? Uncle Feddy or Fed Daddy has titrated a higher dosage on this "non or NOT event" into a full blown half trillion dollar bail out.
Never has there been so much adieu about nothing? What "a piece of work is" this crocketh? Once more unto the breech... there is something in this more than natural, something is rotten in the state of Denmark, and you just can't make shit like this up.
More to come in our epilogue, stay tuned, no flippin.
Recommended Reading:
A Fistful Of Dollars?
For A Few Dollars More?
The Good, The Bad And The Ugly?
A Coffin Full Of Dollars?
A Dollar To Die For?
The Devil's Dollar Sign?
The Million Dollar Bloodhunt?
Blood For a Dirty Dollar?
High Plains Drifter?
Pale Rider?
Sad Hill Unearthed?
The Sad Hill Trio Ride Again?
The Man With No Name?
A Negative Disposition?
A Wayward Italian in Kansas?
First Rule Of Bond Market: You Do Not Talk About Keynes?
JPM has reduced the amount of cash on its balance sheet ($130bln) and used it to buy long-dated bonds... MBS account for the bulk of this growth. Since mid 2018, JPM balance sheet holdings of securities has increased from $200 to $400 bln. - FTWhile refi CPR's spiked, somebody backed up their twenty mule team wagon and scooped up MBS in anticipation of an interruption in FHLB and GSE service? With the infamous "Jamie Gang" being much like those digging up Arch Stanton's grave, or experts in turning lesser collateral into gold, why not? Speaking of which...
Above, outright FNMA 30 year MBS Transactions. Since October 2018, the formation of the bolus can be seen in the parabolic rise of the lite blue line (FNMA 3.0 coupon) $166 bln to $907 bln = +$741 bln = +446%
October 2018 $1.7 Trln
October 2019 $2.3 Trln
YOY ROC +$600 bln = +35%
Total FNMA 30 year MBS Dollar Rolls - Monthly Level
October 2018 $1 Trln
October 2019 $1.7 Trln
YOY ROC +$700 bln = +70%
Dollar Rolls as a % of Total Transactions are up %15 YTD.
October 2018 1.0/1.7 trln = 59%
October 2019 1.7/2.3 trln = 74%
YOY ROC = +25%
Confirming with GNMA 30 year MBS - October 2018 to October 2019
GNMA 30 year 3.0 Coupon
Transactions: $54 bln to $331 bln = +$277 bln = +512%
Dollar Rolls: $55 bln to $154 bln = +$99 bln = +180%
Total GNMA 30 year MBS
Transactions: $596 bln to $893 bln = +$297 bln = +50%
Dollar Rolls: $365 bln to $530 bln = +$165 bln = +45%
Below from September 4th through 13th: FNMA 30 year 3.0 coupon price going off a cliff -172 bps.
Since October 2018, FNMA and GNMA 30 year 3.0 coupon volumes involving primary dealers...
Transactions: +$897 bln = +38%
Dollar Rolls: +$865 bln = +63%
Take aways, a higher MBS dollar roll volume and outstanding amount getting rolled viz the can getting kicked forward is growing in parabolic fashion. If costs to roll forward increase, this bolus will continue to gain mass and draw additional liquidity from the repo market in exponential fashion. So much so that $155 bln in daily o/n and term repo aid can barely suffice to quell its ever growing hunger? Speaking of which...
September 16th tax payment day, concomitant settlement week for $236 bln in UST's auctioned 12/09-12/13. For any potential UST hoarding (based on the over subscription to cash in notes at the Fed window? We don't think so and Nattering for another day), or a lack of reserves (intentionally drawn down in anticipation?) or participants (on strike for higher pay?), repo rates may spike?
Can ample Fed "statins" constrain the exponentially growing debt bolus? Worry not as once again, an ounce of prevention for the sake of unnecessary intervention in something that is NOT to worry about??? Uncle Feddy or Fed Daddy has titrated a higher dosage on this "non or NOT event" into a full blown half trillion dollar bail out.
Never has there been so much adieu about nothing? What "a piece of work is" this crocketh? Once more unto the breech... there is something in this more than natural, something is rotten in the state of Denmark, and you just can't make shit like this up.
More to come in our epilogue, stay tuned, no flippin.
Recommended Reading:
A Fistful Of Dollars?
For A Few Dollars More?
The Good, The Bad And The Ugly?
A Coffin Full Of Dollars?
A Dollar To Die For?
The Devil's Dollar Sign?
The Million Dollar Bloodhunt?
Blood For a Dirty Dollar?
High Plains Drifter?
Pale Rider?
Sad Hill Unearthed?
The Sad Hill Trio Ride Again?
The Man With No Name?
A Negative Disposition?
A Wayward Italian in Kansas?
First Rule Of Bond Market: You Do Not Talk About Keynes?
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