Treasury bills go negative in quarter-end rush

Wed, September 24, 2014

The Financial Times

Investors are pushing rates on Treasury bills into negative territory due to a scarcity of safe assets as funding pressures intensify with the end of the financial quarter.

..."People who want to be invested past September 30 are hoarding Treasury bills pre-emptively," said Lou Crandall, economist at Wrightson Icap.

"Money funds' willingness to lock in term investments at low rates through October 1 now will, if anything, make the quarter-end squeeze in the overnight market on September 30 even more extreme as banks accepting cash are tying up whatever limited balance sheet space they might be wiling to make available over the statement date."