OFR starts release of repo data 10 September 2020Washington Reporter: Natalie Turner
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The US Office of Financial Research (OFR) has released its new repo markets data and its short-term funding monitor, an interactive tool that provides a deeper look into short-term funding markets.
The OFR collects data on centrally-cleared repo, which amount to more than $1 trillion in daily transactions. This is done to help the Financial Stability Oversight Council (FSOC) monitor risk in these markets.
The short-term funding monitor integrates the OFR’s repo markets data release, whereas the monitor combines data on the balance sheets and the funding needs of short-term funding market participants, as well as the volumes and rates across market segments.
Users can download all of the monitor data via a public application programming interface.
The OFR’s cleared repo data also supports the calculation of the Secured Overnight Financing Rate (SOFR), the Alternative Reference Rates Committee’s preferred alternative to the US Dollar London Interbank Offered Rate (LIBOR) reference rate.
Due to concerns about LIBOR, different markets across the world are transitioning to other reference rates. “The OFR’s repo collection is expected to provide a permanent and expanded source of data to support the SOFR and reference rate transition,” says Dino Falaschetti, director of the OFR.
“Fulfilling the OFR’s Dodd-Frank mandate, the cleared repo data provides the FSOC with a more complete view of the complex and critical repurchase agreement market,” Falaschetti adds.
Through its new data release, the OFR is making aggregates of this data, and data covering tri-party repo, available to the public. The monitor is available on the OFR’s website.
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