OFR Short-term Funding Monitor - Market Digests


The tenor of a financial contract refers to the amount of time before that contract expires. Tenor aggregates can be used to examine the provision of funding over different time horizons. These charts present insights into the tenor of financing across various short-term funding markets.

Centrally cleared repo outstanding volume by venue and tenor

Transaction volume in the Fixed Income Clearing Corporation's (FICC) GCF Repo Service and DVP Service broken out by tenor

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One of the ways the market for repurchase agreements (repo) supports cash market liquidity is by allowing financial institutions to fund their portfolios using securities as collateral. The OFR currently collects data on two centrally cleared repo platforms, FICC's GCF Repo Service and DVP Service. Participants in these services use them to fund their security portfolios over different time horizons. Participants also use the DVP Service to obtain specific securities, supporting both cash market liquidity and price discovery.

This chart shows a breakdown of GCF Repo Service and DVP Service volumes by the repo's tenor, which is the amount of time between the initial trade of cash for securities and the repurchase of those securities. Financing needs can vary by time horizon, leading to demand for loans of a different tenor. Shorter-tenor trades maximize lenders' liquidity, typically reducing rates borrowers have to pay. However, borrowers in shorter-tenor trades carry the risk that financing rates increase or that financing becomes unavailable, which is referred to as rollover risk. In addition, longer-tenor trades are treated differently for regulatory purposes than shorter-tenor trades. Examining volume across tenors in these markets provides a window into the availability of and demand for financing across time horizons. In periods of high volatility, longer-tenor trades can provide more stability to borrowers, but during these times it may also be difficult for lenders to extend credit at longer horizons.

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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 ).