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November 22, 2017

Stacey Schreft, the Deputy Director for Research and Analysis at the OFR, updated the FSOC on the bilateral repo collection initiative of OFR at the meeting of the principals of the FSOC. In collaboration with the New York FED and the Federal Reserve System, OFR updated the FSOC on plans for a permanent repo data collection.

Stacey Schreft highlighted, “We intend to collect data in two stages. The first will focus on cleared repo transactions. In the second, we will collect data on unclear bilateral repo transactions. We intend to issue a Notice of Proposed Rulemaking on a cleared repo collection in the first half of 2018.” According to Stacey, these collections are critical for three reasons:

  • They will fill a major data gap in securities financing transactions. From the data pilot, it is estimated that bilateral repo activity constitutes about half of the repo funding of major dealers and the majority of the funding that dealers provide to others. Monitoring the tenor, haircuts, and rates in such repos across a broad range of collateral will help us understand the functioning of, and spot stress in, asset and funding markets.
  • The interest rate information that is collected on cleared repo transactions is critical for the production of the Secured Overnight Financing Rate (SOFR) selected by the Alternative Reference Rate Committee, as an alternative to London Interbank Offered Rate or LIBOR. The cleared repo data will be used immediately in the publication of the SOFR. Subsequently collecting data on unclear bilateral repo transactions will ensure the availability of comprehensive data for rate production as markets evolve.
  • By shedding light more broadly on the specifics of repo funding, these collections will support other FSOC initiatives such as understanding dynamics that affect liquidity in Treasury markets.


Related Links: Update on Bilateral Repo Collection

Keywords: Americas, US, Banking, Bilateral Repo Collection, Repo Transactions, FSOC, OFR

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