Office of Financial Research (OFR)
Opaque NCCBR market twice as big as regulators expected
Transaction-level data reveals $5trn in non-centrally cleared bilateral repo, raising transparency and risk concerns
Collateral cushions swell as US hedge fund borrowing tops $5.6trn
Top 10 funds’ borrowing becomes 3.7% over-collateralised amid record Q1 leverage
Citadel exec questions regulatory findings on repo haircuts
Isda AGM: OFR analysis didn’t account for excess collateral held against cleared positions in related trades
Repo clearing rule could raise SOFR volatility – OFR analysts
Analysis of 2022 data finds large divergence in tail rates but no change in median
US hedge funds post near-record low share of securities collateral
SEC data shows $3.66 trillion tied to posted securities at end-2024, down 10% in three months
US MMFs retrenched to Fed repos as 2024 wrapped up
Allocation needs trump yields, boosting RRP exposure by 125% in December
US MMFs clear record one-third of repos via FICC
Trades executed through sponsored access hit a $865 billion high at end-2024
US MMFs tilted from repo to cash USTs in November
Outright allocations captured growing share of funds’ record cash pile
Breaking market norms, tri-party repo rates plunge for fringe collateral
Yields hierarchy upended as cost of repo-ing equities and other volatile securities falls over a percentage point below UST repos
US primary dealers mark largest settlement failures to date under T+1
Hung-trade volumes hit highest in two years at the end of September
US MMF investments near $7trn amid short-term yield chasing
Surging inflows led some managers to turn to Fed’s RRP facility for risk-free cash allocation
US repo-clearing premium soared to post-pandemic high in Q3
Spread to non-cleared tri-party rates widened earlier and further than in previous quarters
FICC captures record share of US MMF repos
Fed facility sees continued outflows as funds redirect assets
Four US MMF managers return to Fed repos in May
Fidelity and American Funds among managers opting to increase investments in RRP
US banks seek to open vendors’ black box on green data
Inaugural Fed climate scenario analysis flags lack of transparency around third-party models
As US MMF assets hit new records, so does manager concentration
Fidelity, JP Morgan and Vanguard commanded 40% of holdings as of February
Schwab’s MMF assets rose 225% through Fed’s rate-hike journey
Climb of fund managers’ ranks contrasts with slumping banking deposits
US MMFs back in love with US Treasuries in Q4
Cash securities snatch crown from ebbing repos as funds’ top investment
Cleared US repos hit record high as MMFs wean off Fed
Deflating tri-party volumes coincide with FICC DVP trades’ climb to $2tn
US MMF repos with dealers hit record amid RRP pullback
Non-Fed trades up 13% in November as facility’s usage declines rapidly
US MMFs’ holdings hit record as deposits flee banks
Funds run by JP Morgan, Fidelity and Goldman behind half of new investments in March