What needs to happen for US repo to regain spreads? (Premium)
At the end of 2018, US repo traders told us that they were no longer worried about liquidity but spreads were a big concern. Calendar year 2019 saw liquidity pitfalls…
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Is US repo heading for trouble? Here’s the story in five charts (Premium)
The media is excited, blogs are buzzing, but the reality is that the health of the US repo market in the face of sharp equity market downturns, a rate cut…
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Three lessons learned and the data from US repo in the last days of 2019 (Premium)
Year end 2019 in the US repo markets were notably calm due to the heavy dose of liquidity promised by the Federal Reserve. The sky didn’t fall, no crisis happened…
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Should US repo be priced off of OBFR, SOFR or IOER? (Premium)
We’ve been hearing recently about differing views of US repo benchmarks for pricing that are creating some confusion. Some banks want to price off of IOER, reflecting their opportunities to…
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Pricing US bilateral, non-tri-party UST repo rates from SOFR (Premium)
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…
Read More US money market funds turn away from the Federal Reserve’s Reverse Repo Facility and towards non-bank counterparties
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…
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US repo rates jumped last week: an expected outcome with drivers that suggest future directions
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…
Read More How did US and European repo markets fare at the end of 2017? (Premium)
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…
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Our thoughts on CCPs and repo market efficiencies
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…
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The fate of non-cleared bilateral repo for US Treasuries as the Fed prepares to publish repo benchmark rates (Premium)
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…
Read More DTCC Repo Clearing Services Gain Regulatory Approval
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 –…
Read More Fed launches new Tri-Party/GCF Repo analysis tool
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…
Read More Our top stories of 2016
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…
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If BNYM hits it big with DBV-X, where does that leave GCF(R) Repo? (Premium)
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…
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US$50 billion for DTCC repo clearing? With new blockchain project and more netting, maybe the figure is US$25 billion (Premium)
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…
Read More WSJ: The New Threat to Bank-to-Bank Lending
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…
Read More Dealers tackle year-end repo, part 2 (Premium)
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…
Read More How the Fed will really raise rates, and immediate impacts on securities finance and rates businesses (Premium Content)
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…
Read More What the repo market teaches us about the Fed tightening rates
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Widespread media coverage of end of quarter UST repo rate hikes, but this is the new normal
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…
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Office of Financial Research takes a look at repo and sec lending data collection
Big Data, Federal Reserve, Market infrastructure, Regulatory, Repo, Securities Lending, Total Return Swaps, Trade Repositories, Tri-Party Repo
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…
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The US risk-free reference rate should be the repo rate
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…
Read More FRB-NY’s Liberty Street Economics on repo: “Lifting the Veil on the U.S. Bilateral Repo Market”
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…
Read More GCF Repo and tri-party extensions of credit: a problem still not resolved
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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