"The average daily volume of total outstanding repurchase (repo) and reverse repo agreement contracts totaled $7.06 trillion in the first quarter of 2008, a 21.5 percent increased over the $5.81 trillion during the same period in 2007," says the latest SIFMA Research Quarterly.
Daily repos outstanding averaged $4.3 trillion in Q1, up 20.4%, and reverse repos averaged $2.76 trillion, up 23.2% from a year ago. Treasury notes accounted for the majority of repo trades (66.4%), followed by Federal agencies (11.2%), Treasury bonds (7.7%), Treasury bills (6.9%), and Other (7.9%), which includes discount agencies, TIPS, and more.
The quarterly, published by the Securities Industry and Financial Markets Association says outstanding money market securities grew 2.7% in the latest quarter to $4.2 trillion as of Q1 2008. SIFMA's "money markets" totals include commercial paper, which declined slightly to $1.78 trillion, and large time deposits, which totaled $2.42 trillion.
"Asset-backed commercial paper declined by 4.0 percent in the first quarter to $783.6 billion, due in large part to the aftermath of market dislocations, expiration of some mortgage collateralized programs and sponsors bringing more assets onto their balance sheet," says SIFMA.
"Similar to the Fed's introduction of the Term Auction Facility in December, the Term Securities Lending Facility and Primary Credit Dealer Facility have helped ease pressure on the commercial paper market as rates dropped through March. However, the 90-day CP rate rose in April as the market remains under pressure amid concerns about the effect of a slower economy and consumer credit weakening on ABCP. As noted in a recent JP Morgan report, concerns about the banking sector continue to weigh heavily on the short-term markets, as expressed by the elevated LIBOR-to-Treasury spread," said the report.
