The GC repo rate opened this holiday-shortened week right where it shouldn't have been. Ever since September 17, monetary authorities and the public have been paying closer attention to this part of the global money markets. An unexplained eruption finally created some skepticism, forcing the Federal Reserve to respond. A fourth adjustment to IOER, a first to the RRP, constant overnight repo operations, term repos, and now a balance sheet expansion plan that isn't QE.
And for all of that the repo rate published by DTCC on Tuesday was an astounding 47 bps above the RRP wholesale floor. Wednesday was not meaningfully better, a spread of almost 37 bps.
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