Researchers at the Federal Reserve issued a report last week that sized the US repo market at US$12 trillion, about 30% higher than data from any combination of other public filings. This markedly higher figure suggests that expectations about the size and scale of change from mandatory US Treasury repo clearing will also be larger than expected.
The Fed study, The $12 Trillion US Repo Market: Evidence from a Novel Panel of Intermediaries, relied on some secret sauce data that are not accessible to the public. Broker-dealers submit FOCUS reports to the US Securities and Exchange Commission (SEC), which contain detailed information on their financial activity including footnotes that detail business with affiliates. According to the SEC, This FOCUS Report (Form X-17A-5) constitutes the basic financial and operational report required of those brokers or dealers subject to any minimum net capital requirement set forth in Rule 15c3-1. The Fed analysis also used Office of Financial Research (OFR) cleared repo data at the transactional level.
According to the Fed report authors, “The data we gather includes the dealer’s gross repo positions, the amount netted and the amount remaining to be reported on the balance sheet. We scrape the universe of these reports covering all SEC-registered broker dealers and, using a combination of automated and manual methods, parse their appendices. We gather this data for a panel of 156 dealers from 2014 to 2024, which we believe to cover the universe of SEC-registered broker-dealers with repo exposures.”
The Fed analysis still relies on some guesswork: “To construct our estimate of the size of the repo market, we begin by establishing total gross repo from the annual reports of dealers and banks. Adding repo and reverse repo by these dealers would overstate total transactions, since some transactions may be between dealers. To account for this double counting we use transaction-level data that allow us to calculate inter-dealer transactions. Finally, we add inter-affiliate transactions as well as transactions in tri-party and cleared markets that are not intermediated by a U.S. bank or dealer, and therefore would not otherwise appear in our estimates, to reach our estimate of $12 trillion.” The US$4.6 trillion in the Fed’s estimate from the non-centrally cleared bilateral repo (NCCBR) segment was found by taking totals of the entire market then carving out known triparty and centrally cleared figures from other sources..
While the study pulls out inter-affiliate repo and reverse repo for Bank Holding Companies, the findings don’t line up with anecdotal data. The authors calculate that inter affiliate repo is 7% of the market while inter affiliate reverse repo is 6%. Dealers have told us that the figures are more like 25%. The difference may lie in the fact that the Fed study collected data from only US sources; a study of international banks and cross-border banking business may tell a different story.
If the non-cleared market outside of triparty is actually US$4.6 trillion and this is intermediated business, which most matched book repo desks operate, then this suggests a sharply highly figure that needs to find its way into central clearing than the market has been expecting. In a February 2025 report, we sized the amount of non-cleared hedge fund UST repo business not yet being cleared at US$1 trillion. An additional US$3.6 trillion could include a much larger range of counterparties, including corporates and government organizations, that are not required to clear but may do so anyhow for better pricing, similar to the reasons for posting margin for uncleared derivatives.
If an additional US$3.6 trillion or even anywhere north of US$2 trillion still needs to find its way into clearing, that could also force a rethink about the necessity of the agent clearing model. Agent clearing for UST repo has already been cited as a mechanism to help dealers expand capacity past sponsored repo. These may be the numbers to back up that argument.
The Fed’s study shines a light on market data not available to the public. As a next step, regular aggregate data on FOCUS reports and the OFR’s Cleared Repo Collection would be a welcome move for transparency.