DATA Updates: Podcast of 100 years of repo markets in less then 10 minutes
Welcome back to MacroDispatch!
This week, we're diving into the repo market, and we've spent a good portion of the year trying to answer one key question:
What is the historical timeline of the repo market?
While many discussions on FinTwit focus on how the repo market functions today, the journey to the present is often overlooked. In my latest project, I experimented with AI to summarize a century's worth of repo market data (about 100 pages) into a podcast format. While it’s not perfect, the results were better than expected. I’d love to hear your thoughts on it!
Now, let's shift gears to the post-NFP landscape.
The explosive NFP report completely shattered consensus estimates, quickly pushing November’s 50 bps cuts off the table. Risk-taking is being incentivized, and we’re seeing signs that reserves in the system are tightening relative to the demand for leverage—especially evident as SOFR briefly surpassed the Standing Repo Facility rate at the end of the month.
In response, I’ve developed a script that auto-updates repo market data every Friday, giving you a fresh view of market conditions alongside detailed visuals.
In the coming weeks, I’ll also include more explainers and insights, with contributions from a colleague who helped me build this monitor.
Stay tuned for more on spreads, MMF positioning by asset, and other key metrics!
This week’s spotlight: SOFR surpassing the Standing Repo Facility rate, opening an arbitrage window for those with balance sheet space.
This is an ongoing project, and with new regulatory changes coming in 2024, there’s a lot more to explore.
COBER
That’s it for this week’s dive into the repo market. Keep an eye on the data, and don’t hesitate to reach out with your thoughts or questions.
Until then, I’ll be here—breaking down the numbers and exploring what’s next.
Obrigado,
Cober
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