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.
Average rates of return in tri-party repo markets by collateral type
Rates of return in tri-party repo market broken out by type of collateralSkip the Chart
In tri-party repurchase (repo) transactions, participants know their counterparty, but transact against classes of collateral, rather than specific securities. As a result, tri-party repo is used only for financing, and not for obtaining specific securities. A custodian, usually a bank, maintains post-trade processing activities such as collateral selection, payments and deliveries, custody of collateral securities, and collateral management. Borrowers in tri-party repo tend to be larger dealers to which cash lenders are willing to be directly exposed.
This chart shows volume-weighted mean interest rates in this market by the underlying security used as collateral. Interest rates on high-quality collateralized overnight loans are a measure of bank and dealer funding costs.
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Office of Financial Research, “OFR Short-term Funding Monitor,” refreshed daily, https://www.financialresearch.gov/short-term-funding-monitor/ (accessed ).