An expensive and odd quarter end for US repo including equities (Premium)

The rising cost of US Treasury repo at quarter end is now well documented but something strange happened last week between the bilateral and CCP market. Trends in S&P 500 equity repo were also stark on the short end, and bank regulatory trends are set to increase the cost even further going out for term. We evaluate data from the DTCC’s GCF Repo Index(R) and AVM LP’s Direct Repo(TM) platform.

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