Repo Markets showing signs of stress againRepo markets showing signs of stress. Bank reserves in the system running low.
ShortIndicator info
The Secured Overnight Financing Rate (SOFR) is a broad measure of the cost of borrowing cash overnight collateralized by US Treasury securities. Published daily by the Federal Reserve Bank of New York, it serves as the primary benchmark interest rate for dollar-denominated derivatives and loans, having formally replaced the London Interbank Offered Rate (LIBOR). Because it is based on observable, transaction-level data in the Treasury repurchase (repo) market, SOFR provides traders and institutions with a resilient, risk-free reference rate for pricing trillions of dollars in global financial contracts.
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Funding Rates DashboardA 6 chart dashboard keeping you updated of current states of Bank Reserves liquidity and Repo Markets.
The risk manager – putting the US Treasury’s QRA on the radar While the US500 and NAS100 juggernaut rolls on and the VIX index remains under 13%, we ask what could derail this risk rally.
One event which has shown form through 2023 as a market mover is the US Treasury’s QRA (Quarterly Refunding Announcement).
For background the ‘QRA’ – or Quarterly Refinanc
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