It is becoming increasingly difficult to buy short-dated gilts, or to borrow them via repurchase agreements (repo). The crisis has been brewing for some time due to increased market volatility and investors' risk aversion, but it worsened when pension funds and other market participants decided to increase their liquidity holdings in anticipation of the September/October gilt crisis. This abundance of liquidity is typically used to buy safe short-dated securities, such as gilts, or lent out against high-quality collateral on the repo market. On the repo front, the squeeze is visible in the drop of the RONIA index, a ... (full story)