Pricing US bilateral, non-tri-party UST repo rates from SOFR (Premium)

May 29, 2018

Interest rates, Repo, SOFR, Tri-Party Repo

bilateral, GCF, Repo, SOFR, topstory, tri-party

A bit of data analysis sheds light on what had previously been a hidden aspect of the US repo market: how does pricing look in the non-tri-party, bilateral market compared…

US money market funds turn away from the Federal Reserve’s Reverse Repo Facility and towards non-bank counterparties

April 2, 2018

Josh Galper

Investments, Repo, RRP, Tri-Party Repo, US

FICC, GCF, MetLife, Prudential, Repo, Reverse Repo Facility, topstory, Treasury repo, US money funds

No Comments

The Federal Reserve’s Reverse Repo Facility (RRP) had a good run up, topping out at $468 billion in cash borrowed in December 2016. US money funds lent 86% of this…

US repo rates jumped last week: an expected outcome with drivers that suggest future directions

March 19, 2018

Josh Galper

Federal Reserve, Repo, US

Federal Reserve, GCF, Repo, Reverse Repo Facility, tapering, US Treasuries

No Comments

US repo rates for government and other collateral jumped on Thursday with GCF(R) averages of 1.636% for repo backed by US Treasuries, up from 1.45% just two weeks prior. This…

How did US and European repo markets fare at the end of 2017? (Premium)

January 3, 2018

Josh Galper

ECB, Europe, Repo, Tri-Party Repo, US

BNY Mellon, DTCC, ECB, Federal Reserve, GCF, Repo, RepoFundsRate, Reverse Repo Facility, topstory

No Comments

US and European repo markets got a bit tetchy last week as the year closed but not as bad as 2016. We review the data and offer some observations. Continue…

Our thoughts on CCPs and repo market efficiencies

December 6, 2017

Josh Galper

Basel III, Central Counterparties, Repo, RRP, Tri-Party Repo

Bank for International Settlements, BIS, DTCC, FICC, GCF, Repo, topstory, tri-party

No Comments

The Bank for International Settlements (BIS) had a piece in their just-released Quarterly Review on CCPs and repo market efficiencies. The question is whether they help or hurt. This is…

The fate of non-cleared bilateral repo for US Treasuries as the Fed prepares to publish repo benchmark rates (Premium)

September 5, 2017

Josh Galper

Federal Reserve, Market infrastructure, Repo, Repo Indices, US

benchmark rates, bilateral, Federal Reserve, GCF, LIBOR, SOFR, topstory

No Comments

The Federal Reserve has asked for comments on their planned publication of three interest rates (along with the Office of Financial Research), including the Secured Overnight Financing Rate (SOFR) selected…

DTCC Repo Clearing Services Gain Regulatory Approval

May 3, 2017

Josh Galper

News and Notes

DTCC, GCF, Repo

No Comments

Broader institutional marketplace to benefit from FICC repo clearing, reducing risk and increasing the potential for capital relief New York / London / Singapore / Hong Kong / Sydney –…

Fed launches new Tri-Party/GCF Repo analysis tool

February 8, 2017

Josh Galper

News and Notes

Fed, GCF, Repo, tri-party

No Comments

This interactive examines several key aspects of the U.S. tri-party repo market and the GCF Repo® service. This information is provided to the public in the interest of providing greater…

Our top stories of 2016

January 3, 2017

Josh Galper

Basel III, Collateral Management, Dodd-Frank, Repo, Securities Lending, Technology

Dodd-Frank, GCF, Lehman, Pirum, SFTR, topstory, Transcend Street

No Comments

2016 was a pretty tumultuous year in financial markets, and securities finance, collateral and derivatives were no exception. Before we get into 2017, with more expected ups and downs to…

If BNYM hits it big with DBV-X, where does that leave GCF(R) Repo? (Premium)

June 20, 2016

Josh Galper

CCP, Repo, Technology, Tri-Party Repo

BNY Mellon, DBV-X, DTCC, GCF, Repo, standardized baskets, topstory, tri-party

No Comments

With all the changes currently going on in the market, if BNY Mellon’s recent purchase of DBV-X goes through and is a success, will that impact the DTCC’s GCF(R) Repo…

US$50 billion for DTCC repo clearing? With new blockchain project and more netting, maybe the figure is US$25 billion (Premium)

April 12, 2016

Josh Galper

Blockchain, Market infrastructure, Repo, Risk Management, Settlements, Technology

blockchain, DTCC, GCF, Repo, topstory

We recently spoke with Murray Pozmanter, Managing Director of DTCC, about DTCC’s announcement of a repo blockchain project with Digital Asset Holdings. We wanted to know what this meant for…

WSJ: The New Threat to Bank-to-Bank Lending

February 1, 2016

Josh Galper

News and Notes

DTCC, GCF, Repo, WSJ

No Comments

A dispute over technology could pose a new threat to Wall Street’s plumbing by severing a link that allows big banks to borrow freely from one another, according to market…

Dealers tackle year-end repo, part 2 (Premium)

December 23, 2015

Anna Reitman

Central Counterparties, Featured, Repo, RRP, Tri-Party Repo

CCPs, Commercial Paper, Direct repo, GCF, Repo, topstory

No Comments

As the repo market moves towards year-end, a number of cross currents are creating tricky dynamics that dealers will have to come to terms with. We have compiled a list…

How the Fed will really raise rates, and immediate impacts on securities finance and rates businesses (Premium Content)

September 17, 2015

Josh Galper

Featured, Federal Reserve, Investments, Liquidity Management, Repo, RRP, US

DTCC, Fed Funds, Federal Reserve, GCF, Interest on Excess Reserves, interest rates, IOER, New York Times, Reverse Repo Facility, RRP, topstory

No Comments

An excellent article in the New York Times this week detailed the mechanics of how the Fed will raise rates in this post-Quantitative Easing environment. The main point of the…

What the repo market teaches us about the Fed tightening rates

April 8, 2015

Jonathan Cooper

Basel III, Dodd-Frank, Featured, Federal Reserve, RRP

GCF, IOER, monetary policy, topstory

No Comments

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Widespread media coverage of end of quarter UST repo rate hikes, but this is the new normal

April 2, 2015

Josh Galper

Basel III, Featured, Federal Reserve, Repo, RRP, US

DTCC, Federal Reserve, GCF, ICAP, LCR, Leverage Ratio, Repo, Reverse Repo Facility, topstory

No Comments

Pretty much all the big media outlets covered US Treasury repo spikes at the end of the quarter. The data from DTCC’s GCF repo tell the story well for intra-broker…

Office of Financial Research takes a look at repo and sec lending data collection

Earlier this month the US Treasury, Office of Financial Research (OFR) released their 2014 Annual Report. It’s 150 pages plus and full of interesting stuff. This post will focus on…

The US risk-free reference rate should be the repo rate

November 18, 2014

Josh Galper

Federal Reserve, Investments, LIBOR, Short Term Interest Rate Benchmarks

benchmark rates, GCF, LIBOR, reference rates, Repo, Repo Futures, short-term interest rate benchmarks, topstory

No Comments

The Federal Reserve hosted a meeting yesterday of market participants and regulators on reforming the US risk-free reference rate for USD derivatives. We strongly think that this rate should be…

FRB-NY’s Liberty Street Economics on repo: “Lifting the Veil on the U.S. Bilateral Repo Market”

July 10, 2014

Jonathan Cooper

Federal Reserve, Repo, Tri-Party Repo

bilateral repo, FR 2004, GCF

No Comments

The latest post on the FRB-NY’s Liberty Street Economics blog is “Lifting the Veil on the U.S. Bilateral Repo Market”. Written by Adam Copeland, Isaac Davis, Eric LeSueur, and Antoine…

GCF Repo and tri-party extensions of credit: a problem still not resolved

April 29, 2014

Jonathan Cooper

CCP, Featured, Federal Reserve, Regulatory, Repo, Tri-Party Repo

"net-of-net", Federal Reserve Bank of New York, FICC, GCF, IDB, JP Morgan

No Comments

Tri-party repo is back in the news. Most of the coverage was driven by a recent FRBNY paper “A Primer on the GCF Repo® Service” (Staff Report 671) authored by…

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Pricing US bilateral, non-tri-party UST repo rates from SOFR (Premium)

US money market funds turn away from the Federal Reserve’s Reverse Repo Facility and towards non-bank counterparties

US repo rates jumped last week: an expected outcome with drivers that suggest future directions

How did US and European repo markets fare at the end of 2017? (Premium)

Our thoughts on CCPs and repo market efficiencies

The fate of non-cleared bilateral repo for US Treasuries as the Fed prepares to publish repo benchmark rates (Premium)

DTCC Repo Clearing Services Gain Regulatory Approval

Fed launches new Tri-Party/GCF Repo analysis tool

Our top stories of 2016

If BNYM hits it big with DBV-X, where does that leave GCF(R) Repo? (Premium)

US$50 billion for DTCC repo clearing? With new blockchain project and more netting, maybe the figure is US$25 billion (Premium)

WSJ: The New Threat to Bank-to-Bank Lending

Dealers tackle year-end repo, part 2 (Premium)

How the Fed will really raise rates, and immediate impacts on securities finance and rates businesses (Premium Content)

What the repo market teaches us about the Fed tightening rates

Widespread media coverage of end of quarter UST repo rate hikes, but this is the new normal

Office of Financial Research takes a look at repo and sec lending data collection

The US risk-free reference rate should be the repo rate

FRB-NY’s Liberty Street Economics on repo: “Lifting the Veil on the U.S. Bilateral Repo Market”

GCF Repo and tri-party extensions of credit: a problem still not resolved

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