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Repo Specials/Fails Across Board

US TSYS/OVERNIGHT REPO

Overnight repo at special across the curve -- 10s remain at fail after falling to -4.0% Wednesday. Currently, T-Bills: 1M 0.0253%, 3M 0.0330%, 6M 0.0558%;

Tsy General O/N Coll. 0.05%.

DurationCurrentOld Issue
2Y0.03%0.04%
3Y0.04%-0.08%
5Y-0.03%0.02%
7Y0.01%0.02%
10Y-0.08%-3.72%
30Y0.00%-0.25%

One desk posits current specials/fails "will be alleviated soon with this morning's $120B refunding announcement which will include $38B re-opened 10yrs."
Bloomberg cited large (-ish) consolidation from Japanese funds for "repo rout" in the first place: "Japanese funds sold a record $34 billion of foreign bonds in the two weeks ended Feb. 26 as the nation's fiscal year-end in March approaches, enough to cause reverberations in U.S. repurchase markets for 10-year" Tsys

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