One-Month Rates Of Return In Repo And Treasury Markets

Rates

Interest rates measure the cost of funding. They can act as indicators both of short-term costs of capital for financial intermediaries and of stress in funding markets. These charts present interest rates across various short-term funding markets and types of funding.

One-month rates of return in repo and Treasury markets

One-month rates of return in repo markets and yields on one-month Treasuries

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The market for repurchase agreements (repo) supports short-term liquidity and price discovery by allowing financial institutions to lend or borrow cash, usually overnight, with securities as collateral. The OFR collects data on three repo markets: the tri-party market, the Fixed Income Clearing Corporation's (FICC) GCF Repo Service, and FICC's DVP Service.

Entities such as money market funds make decisions on whether to lend cash in repo markets or hold short-term Treasuries. Their decisions are often based on the rates of return available on repo loans versus rates on Treasuries. Rates of return in repo markets typically move with returns on Treasury bills. When repo markets offer markedly different returns than Treasury bills, it can indicate higher-than-usual preference for liquidity, as a one-month bill can be sold, while cash lent in a one-month repo will not be available for a full month.

Series Used

Related Charts

Repo returns by venue

Mean rates on repurchase agreements by venue: GCF Repo Service, DVP Service, and tri-party repo

One-month rates of return in repo and Treasury markets

One-month rates of return in repo markets and yields on one-month Treasuries

Average rates of return in centrally cleared repo markets by collateral type

Average interest rates in the GCF Repo Service and DVP Service broken out by type of collateral

Average rates of return in tri-party repo markets by collateral type

Rates of return in tri-party repo market broken out by type of collateral

Yields on money market fund investment holdings of repos by collateral type

Dollar-weighted median yields on money market fund investment holdings of repos by collateral type

Yields on short-maturity Treasuries

Yields on short-maturity (one year or less) Treasury securities

Yields on long-maturity Treasuries

Yields on long-maturity (one year or more) Treasury securities

Yields on money market fund investment holdings of repos by tenor

Dollar-weighted median yields on money market investment fund holdings of repos by tenor

Federal Reserve Bank of New York reference rates

Levels of overnight reference rates

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Suggested Citation

Office of Financial Research, “OFR Short-term Funding Monitor,” refreshed daily, https://www.financialresearch.gov/short-term-funding-monitor/ (accessed ).