As previously noted there is a very large implied problem that can be (has been) inferred from the Fed’s repo operations. As of close 03/13/20, my analysis puts that at $15 trillion, roughly 50/50 between TOMO/POMO.

JPM has apparently published an interesting note on a $12 trillion problem $12 Trillion margin call

Here is my updated sheet: repo-analysis-20200313

Please note an error was corrected which under-counted the cumulative POMO conducted since 4/2019. This developed relatively recently, and was caused by a limited range in the spreadsheet sum. Once we had more than a certain number of ops, the tail was being cut off. I’ve been paying more attention to TOMO though. But that is changing.

The Fed has stopped short of $400bn TOMO outstanding vs. it’s promised open lines, but Friday marked some furious multi-operation activity in POMO. There is apparently concern over leveraged treasury investors, macro funds being blown out, possible bailouts for Citadel, Bridgewater and Renaissance, and a gobal USD shortage.

Most of the primary dealers have reported their updated annual balance sheet figures. It now looks like, barring any unexpected update, they’ve de-levered over the past year, according to the end of period filings, down to about 20x total assets / total equity.

Notably, the wild and crazy HSBC entity that was running 134x (!!!) is now down to a ‘meager’ 84x. Wow those Fed guys are really on the ball.

Bank of America remains an enigma. Every broker dealer is supposed to report a Form X-17A-5 annually. BofA’s entity, known alternately as either BofA Securities, Inc. or BOFAML Securities, Inc. is not available as far as I can tell. My inquiries to BofA and the SEC remain unanswered. A strange situation. If anyone can shed light, please do.

Additionally, Citigroup and NatWest (an arm of RBS) are starting to look late. Still waiting on those filings. Citi is the more meaningful, in terms of size.

I am hearing chatter the Fed may begin a program to buy commercial paper Monday. I wouldn’t take that well. It seems like there’s fear of money fund runs as well.

Stay healthy!