Transactions will be excluded on a "best efforts" basis, where neither of the affiliated institutions appears to be acting in a fiduciary capacity. - ThreadSky

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macrodispatch.bsky.social • 99 days ago

Transactions will be excluded on a "best efforts" basis, where neither of the affiliated institutions appears to be acting in a fiduciary capacity.

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macrodispatch.bsky.social•99 days ago

The second modification adjusts the mechanism applied to mitigate the influence of “specials” transactions by removing a consistent 20 percent of the lowest-rate transaction volume in FICC DVP Repos

How was it before?

macrodispatch.bsky.social•99 days ago

it would eliminate trades that were in the 25th volume-weighted percentile rate of the DVP FICC

macrodispatch.bsky.social•99 days ago

For the New people repo on "Specials" are collateral that is in higher demand then Others, thefore trade at a lower level since dealers may compete for it to offer it to its final clients (Normally HF in the non-cleared repo segment).

macrodispatch.bsky.social•99 days ago

So TLDR,

Lower specials impact
Ad-hoc affiliated institutions Triming,

=

Cleaner Read of repo conditions of money markets and not specific collateral demand.

macrodispatch.bsky.social•99 days ago

Mt mate @arishisays.bsky.social calculated we can expect SOFR volumes to fall a bit because some transactions are out..

And month end fixes can be 1bp wider.

arishisays.bsky.social•98 days ago

Nice thread. Thank you!!

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