The spread between cleared and tri-party US repo rates reached a post-pandemic high in September, widening earlier and further into the quarter than usual.
The daily, volume-weighted mean rate on general collateral facility (GCF) repos clocked in at 17 basis points above the non-cleared tri-party equivalent through the third quarter, the highest in a data series going back to Q2 2018.
!function(e,n,i,s){var d="InfogramEmbeds";var o=e.getElementsByTagName(n)[0];if(window[d]&&window[d].initializedOnly users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
CDS clearing rates hit 71% high around September iTraxx roll
CFTC data shows tilt away from bilateral settlement mainly in Europe-referencing instruments
JPM, PNC bolster available-for-sale portfolios in Q3
Four major US banks add $119bn to AFS holdings
TD US to sell up to $50bn of securities
Asset cap imposed after AML settlement limits growth of retail banking arm
G-Sib pair has largest TLAC shortfall since 2018
Basel monitoring report estimates €30bn below their fully loaded requirements
Mizuho Americas has highest non-core funding ratio of any US bank
High-level measure of duration mismatch is three times that of next bank, BNP Paribas USA
Nine jurisdictions yet to finalise Basel III rules
Turkey and South Africa worst laggards, with no final drafts published
Morgan Stanley, Goldman FCMs set new margin records
Investment banks see futures, options and swaps margin hit new highs in September
GAR coverage misreporting widespread among top EU banks
Sabadell, OTB rectify reporting errors; Helaba backtracks to incorrect method