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Scott Skyrm @ScottSkyrm

Executive Vice President at Curvature Securities. Author of: The Repo Market Shorts Shortages & Squeezes, More Rogue Traders, Rogue Traders, The Money Noose curvaturesecurities.com Joined April 2012
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Scott Skyrm @ScottSkyrm

3 days ago

O/N rates barely dropped this week. Between GSE cash and the bill maturities, I expected rates lower. There was less cash in the market or more securities than normal. However, there are higher rates on the horizon. The GSE cash leaves tomorrow and month-end is on Tuesday

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Scott Skyrm @ScottSkyrm

4 days ago

Don't use term GC to price Fed moves. It's not accurate. Term GC incorporates the price of bank balance sheet & capital costs (including RWA and FICC margin) over quarter-end. This generates a wide spread between the futures strips and the GC curve as the curve goes further out

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Scott Skyrm @ScottSkyrm

4 days ago

The futures market is still pricing a 2% chance of a rate cut in May, a 13% chance in June, and a 42% chance by the end of July. The spread between GC and fed funds moves from 4 basis points in the front of the curve to over 20 basis points in the longer end

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Scott Skyrm @ScottSkyrm

5 days ago

Right now, there's one central clearing counterparty in the Treasury market, but that's about to change. After the SEC "mandated" central clearing, the CME, ICE & LCH-Clearnet all began planning to enter the market. Treasury central clearing will look different in a few years

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Scott Skyrm @ScottSkyrm

5 days ago

FICC has an advantage because they are well established, but their costs and margin are considered high. The CME has significant advantages. They have the fed funds, SOFR, and Treasury futures contracts for cross-margining and they own Brokertec

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Scott Skyrm @ScottSkyrm

5 days ago

ICE has a technology and efficiency advantage, but ICE has no existing business synergies. LCH-Clearnet is the CCP in Europe. Theoretically, there could be cross-margining efficiencies for European counterparties trading both Treasurys and European sovereigns

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Scott Skyrm @ScottSkyrm

6 days ago

Funding This Week- The stars just might be aligned. Not only will more GSE cash flow into the market, but there are two large bill paydowns: $26B on Tuesday and $25B on Thursday. We could see very soft GC Repo rates on Tuesday, Wednesday, and Thursday.

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Scott Skyrm @ScottSkyrm

a week ago

I have a whole chapter about that in my book The Repo Market Shorts Shortages and Squeezes

BlacklionCTA Profile Picture

Brent aka Blacklion @BlacklionCTA

a week ago

I have a whole chapter about that in my book The Repo Market Shorts Shortages and Squeezes

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Scott Skyrm @ScottSkyrm

a week ago

RRP represents excess liquidity in the financial system. Once it’s gone, balance sheet runoff and net new treasury issuance will begin draining actual liquidity

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AJ Desai @AJDesai2

a week ago

RRP represents excess liquidity in the financial system. Once it’s gone, balance sheet runoff and net new treasury issuance will begin draining actual liquidity

Scott Skyrm retweeted
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AJ Desai @AJDesai2

a week ago

@ScottSkyrm Whole of modern history was without RRP facility. Really, why should it matter now that it run off - almost ? $300B is cash is completely immaterial... I just don't understand why everyone is obsessed about it ?

Scott Skyrm retweeted
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dharmafi @dharmatrade

a week ago

@ScottSkyrm It's back up to $440B as of yesterday. x.com/dharmatrade/st…

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dharmafi @dharmatrade

a week ago

@ScottSkyrm It's back up to $440B as of yesterday. x.com/dharmatrade/st…

Scott Skyrm retweeted
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Jeremy Johnson @JCJohnsonCA

a week ago

@ScottSkyrm And already back at $440b today.

Scott Skyrm retweeted
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Jorge Ponce @jorgeponce18300

a week ago

@ScottSkyrm Past pro-forma is not indicative of future defaults.

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Scott Skyrm @ScottSkyrm

a week ago

RRP volume dropped to $327 billion on Monday, continuing its downward trajectory. There's conjecture about when RRP will drain to zero, but no talk about what happens after

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Scott Skyrm @ScottSkyrm

a week ago

My very basic straight trend-line paints a gloomy picture. Note - this trend-line doesn't consider changes in Balance Sheet Runoff, Treasury issuance, the TGA account, or bill versus coupon issuance

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Scott Skyrm @ScottSkyrm

a week ago

Once RRP vol hits zero, liquidity will continue to drain from the financial system with continued Balance Sheet Runoff and Treasury issuance. The trend-line is pretty powerful. As it stands, there could be as much as $1.3T drained from the financial system by the end of the year

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Scott Skyrm @ScottSkyrm

a week ago

🤞🏻

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dp/dy @quant_smart

2 weeks ago

🤞🏻

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Scott Skyrm @ScottSkyrm

2 weeks ago

Ever since the SEC approved cross-margining between FICC and the CME, there's been a rush for FCMs

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Scott Skyrm @ScottSkyrm

2 weeks ago

The cross-margin allows positions in US Treasurys to net against Treasurys, FOFR, and fed funds futures. In some cases, it's an 80% margin reduction. Cross-margining is only allowed for " in house" trading accounts and, there is no cross-margining for customers

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Scott Skyrm @ScottSkyrm

2 weeks ago

As a result, there's a rush for FCMs. All of the small FCMs have received multiple calls about purchases. Supposedly, large hedge funds have applied to set up broker-dealers and FCMs.

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