Average Rates Of Return In Centrally Cleared Repo Markets By Collateral Type

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.

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

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One of the ways the market for repurchase agreements (repo) supports cash market liquidity is by allowing financial institutions to fund their portfolios using securities as collateral. The OFR currently collects data on two centrally cleared repo platforms, the Fixed Income Clearing Corporation's GCF Repo Service and DVP Service.

This chart shows volume-weighted mean interest rates in these markets by the underlying security used as collateral. Interest rates on high-quality collateralized overnight loans are a measure of bank and dealer funding costs.

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 ).