Average Rates Of Return In Tri-Party Repo Markets By Collateral Type

The OFR is aware of an evolving trend arising in "Tri-Party Average Rate: Other Collateral" and certain other tri-party rates. The OFR does not disclose additional information about the construction of series beyond what is reported in this monitor. For questions regarding these series or any other tri-party repo series, please refer to our methodology.

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 tri-party repo markets by collateral type

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

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In tri-party repurchase (repo) transactions, participants know their counterparty, but transact against classes of collateral, rather than specific securities. As a result, tri-party repo is used only for financing, and not for obtaining specific securities. A custodian, usually a bank, maintains post-trade processing activities such as collateral selection, payments and deliveries, custody of collateral securities, and collateral management. Borrowers in tri-party repo tend to be larger dealers to which cash lenders are willing to be directly exposed.

This chart shows volume-weighted mean interest rates in this market 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 ).