RRP No Collateral Coincidences As Bills Quirk, Too


Interestingly, for the collateral view, secondary market bill prices have normalized to the higher RRP payment scheme beginning right on July 1. In other words, still the same correlation as before only so far in Q3 there has been less collateral pressure (via overbid bill prices) and not coincidentally a bit less in RRP rather than continuously higher as has been predicted.

Some minor good news, perhaps, for a global bond market spitting out only bad of late (and that might actually be related to bill yields).

This doesn’t mean, however, that all collateral strains have been eliminated in a rush of optimism and reflation; far from it. It’s just that, judging by the secondary market, the collateral-side imprint in lower bill yields has lessened to the point that, so far in July, most pricing services believe yields have stuck more closely to the RRP “threshold” compared to late June when they kept pricing below it (for obvious collateral-related reasons).
 

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Disclosure: This material has been distributed for informational purposes only. It is the opinion of the author and should not be considered as investment advice or a recommendation of any ...

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