The repurchase agreement (repo) market is a foundational component of the U.S. financial system, providing trillions of dollars of daily funding and facilitating liquidity for U.S. Treasuries and other securities. The repo market allows participants to borrow cash against securities pledged as collateral, with an obligation to repurchase those securities in the future.
The Non-centrally Cleared Bilateral Repo (NCCBR) market, with an estimated market size exceeding $2 trillion outstanding, is the largest of the repo market’s four segments. The NCCBR segment remains opaque. This is the only segment of the market that contains neither a central counterparty nor a triparty custodian.
Pilot Data Collection
As a starting point to address the gap and provide more information on the market, the OFR secured the voluntary participation of nine dealers for a pilot data collection. These dealers include primary dealers and nonprimary dealers, bank-affiliated and nonbank-affiliated dealers, and both purely domestic dealers and dealers that are affiliates of foreign institutions.
The OFR collected NCCBR transaction-level data from these dealers for three days in June 2022. Each voluntary participant provided details on their outstanding non-centrally cleared bilateral trades conducted in the U.S., including terms of the transactions such as rate, tenor, collateral, and haircut, as well as the timing of the transactions.
Proposed Rule to Establish an Ongoing Data Collection
In January 2023, the Office of Financial Research proposed a rule to establish a data collection of non-centrally cleared bilateral transactions in the U.S. repurchase agreement market. This collection supplements the transactional information the OFR has access to on the triparty and centrally cleared FICC DVP and FICC GCF markets. This proposed rule is designed to fill a critical gap in the repo market by collecting data on the non-centrally cleared bilateral repo market and provide greater transparency into a historically opaque market.
NOTICE OF PROPOSED RULEMAKING (NPRM) | JAN 5, 2023Collection of Non-Centrally Cleared Bilateral Transactions in the U.S. Repurchase Agreement Market
PRESS RELEASE | JAN 5, 2023Office of Financial Research releases Proposal to Collect Data on Certain Repo Transactions
FACT SHEET | JAN 5, 2023NCCBR Notice of Proposed Rulemaking Fact Sheet
BLOG | DEC 5, 2022OFR’s Pilot Provides Unique Window Into the Non-centrally Cleared Bilateral Repo Market
BLOG | AUG 24, 2022Non-centrally Cleared Bilateral Repo
FROM THE DIRECTOR | AUG 1, 2022OFR Continues Efforts to Fill Key Gap in Financial Data