OFR Short-term Funding Monitor - Market Digests


Interest rates measure the cost of funding. They can act as indicators both of short-term costs of capital for financial intermediaries and of stress in funding markets. These charts present interest rates across various short-term funding markets and types of funding.

One-month rates of return in repo and Treasury markets

One-month rates of return in repo markets and yields on one-month Treasuries

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The market for repurchase agreements (repo) supports short-term liquidity and price discovery by allowing financial institutions to lend or borrow cash, usually overnight, with securities as collateral. The OFR collects data on three repo markets: the tri-party market, the Fixed Income Clearing Corporation's (FICC) GCF Repo Service, and FICC's DVP Service.

Entities such as money market funds make decisions on whether to lend cash in repo markets or hold short-term Treasuries. Their decisions are often based on the rates of return available on repo loans versus rates on Treasuries. Rates of return in repo markets typically move with returns on Treasury bills. When repo markets offer markedly different returns than Treasury bills, it can indicate higher-than-usual preference for liquidity, as a one-month bill can be sold, while cash lent in a one-month repo will not be available for a full month.

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Suggested Citation

Office of Financial Research, “OFR Short-term Funding Monitor,” refreshed daily, https://www.financialresearch.gov/short-term-funding-monitor/ (accessed ).