As a starting point to gain insight into an opaque but critical financial market, we secured the participation of nine dealers for a voluntary pilot collection of non-centrally cleared bilateral repo (NCCBR) data. These dealers included primary dealers and nonprimary dealers, bank-affiliated and nonbank-affiliated dealers, and both domestic dealers and dealers that are affiliates of foreign institutions.
We collected NCCBR transaction-level data from these dealers for three days in June 2022. Each participant provided details on their outstanding NCCBR trades conducted in the U.S., including terms of the transactions such as rate, tenor, collateral, and haircut, as well as the timing of the transactions.
2024 non-centrally cleared bilateral repo collection
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