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Tag Archives: treasuries
BOJ Review: Kuroda concedes that Japan’s monetary policies have been exhausted
Friday came and went, with Kuroda stating that “ETF was the most appropriate” policy response to Japan’s bad economic shape. While I had underestimated the resistance from banks’ against NIRP, I am glad that my interpretation of BOJ’s narrative was not … Continue reading
Will BOJ decision to make borrowing JGBs easier affect banks’ behavior to employ Fed swap lines?
Over the past few months, we have seen LIBOR rising across all tenors (+22.5bps since 27 June) and JPY and EUR XCCS widening due to MMF reforms. The main reason is because US prime funds’ holdings of securities by non-US … Continue reading
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Tagged agency discount notes, collaterals, cross currency basis, dollar funding, eur, french, govies, govt-only funds, japanese, jgb, jpy, libor, mmf, money market funds, prime funds, reforms, repo, treasuries, xccs
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Why Arbitrageurs Ignore Negative Swap Spreads
U.S. Swap spreads were the talk of the town in November last year when back-end tenors swap spreads fell into uncharted territory. While negative spread spreads are not new (7Y and 10Y went negative in March 2010), 10 year spreads … Continue reading
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Tagged basel3, bonds, economics, finance, government, govies, interest rate, IRS, libor, macro, regulation, swap spread, swaps, treasuries
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