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The Cleared Bilateral Repo Market and Proposed Repo Benchmark Rates

Author

Listed:
  • David Bowman
  • Joshua Louria
  • Matthew McCormick
  • Mary-Frances Styczynski

Abstract

As described in a recent statement and blog post, the Federal Reserve Bank of New York (FRBNY), in cooperation with the Office of Financial Research (OFR), is considering the publication of several new benchmark rates for overnight Treasury general collateral repurchase agreement (repo) transactions in order to enhance market transparency and efficiency by improving the quality and breadth of repo market information available to the public. This note sheds light on another important segment of the overnight repo market – the segment of the bilateral repo market cleared by FICC – based on an anonymized sample of data made available to the Board of Governors.

Suggested Citation

  • David Bowman & Joshua Louria & Matthew McCormick & Mary-Frances Styczynski, 2017. "The Cleared Bilateral Repo Market and Proposed Repo Benchmark Rates," FEDS Notes 2017-02-27-2, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfn:2017-02-27-2
    DOI: 10.17016/2380-7172.1940
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    Cited by:

    1. Fabienne Schneider, 2024. "On-the-run Premia, Settlement Fails, and Central Bank Access," Working Papers 24.05, Swiss National Bank, Study Center Gerzensee.
    2. Valseth, Siri, 2023. "Repo market frictions and intermediation in electronic bond markets," UiS Working Papers in Economics and Finance 2023/1, University of Stavanger.
    3. Sebastian Infante & Zack Saravay, 2020. "What Drives U.S. Treasury Re-use?," Finance and Economics Discussion Series 2020-103r1, Board of Governors of the Federal Reserve System (U.S.), revised 24 Aug 2021.

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