Just Released: New York Fed Markets Data Dashboard
The Federal Reserve Bank of New York releases data on a number of market operations, reference rates, monetary policy expectations, and Federal Reserve securities portfolio holdings. These data are released at different times, for different types of securities or rates, and for different audiences.
The Cost and Duration of Excess Funding Capacity in Tri‑Party Repo
In a previous post, we showed that dealers sometimes enter into tri-party repo contracts to acquire excess funding capacity, and that this strategy is most prevalent for the agency mortgage-backed securities (MBS) and equity asset classes. In this post, we examine the maturity of the repos used to pursue this strategy and estimate the associated costs.
Excess Funding Capacity in Tri‑Party Repo
Regulatory Incentives and Quarter‑End Dynamics in the Repo Market
Since the global financial crisis, central bankers and other prudential authorities have worked to design and implement new banking regulations, known as Basel III, to reduce risk in the financial sector. Although most features of the Basel III regime are implemented consistently across jurisdictions, some important details vary.
Which Dealers Borrowed from the Fed’s Lender‑of‑Last‑Resort Facilities?
Investigating the Proposed Overnight Treasury GC Repo Benchmark Rates
In its recent “Statement Regarding the Publication of Overnight Treasury GC Repo Rates,” the Federal Reserve Bank of New York, in cooperation with the U.S. Treasury Department’s Office of Financial Research, announced the potential publication of three overnight Treasury general collateral (GC) repurchase (repo) benchmark rates.
Borrowing, Lending, and Swapping Collateral in GCF Repo®
Why Dealers Trade in GCF Repo®
Understanding the Interbank GCF Repo® Market
Have Dealers’ Strategies in the GCF Repo® Market Changed?
In a previous post, “Mapping and Sizing the U.S. Repo Market,” our colleagues described the structure of the U.S. repurchase agreement (repo) market.