The Cleared Bilateral Repo Market and Proposed Repo Benchmark Rates

David Bowman, Joshua Louria, Matthew McCormick and Mary-Frances Styczynski
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David Bowman: https://www.federalreserve.gov/econres/david-bowman.htm

No 2017-02-27-2, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: As described in a recent statement and blog post, the Federal Reserve Bank of New York (FRBNY), in cooperation with the Office of Financial Research (OFR), is considering the publication of several new benchmark rates for overnight Treasury general collateral repurchase agreement (repo) transactions in order to enhance market transparency and efficiency by improving the quality and breadth of repo market information available to the public. This note sheds light on another important segment of the overnight repo market – the segment of the bilateral repo market cleared by FICC – based on an anonymized sample of data made available to the Board of Governors.

Date: 2017-02-27
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2017-02-27-2

DOI: 10.17016/2380-7172.1940

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