28 November 2017
Reporter: Drew Nicol

OFR adds repo to securities financing data collection

The Office of Financial Research (OFR) is set to expand its data collection of securities financing transactions to include bilateral and cleared repo, with the first report expected in the first half of 2018.

Speaking on behalf of the OFR’s Financial Stability Oversight Council (FSOC), which is spearheading the data collection, Stacey Schreft, the OFR’s deputy director for research and analysis, said the expanded securities finance data collection would be critical for market transparency and accurate pricing.

The FSOC conducted a pilot study in partnership with the New York Federal Reserve for bilateral repo transactions in 2016 and the long-term data collection will be built of the back of this work.

A ‘notice of proposed rulemaking’ on a cleared repo collection is set to be released in H1 2018.

“From the data pilot, we estimate that bilateral repo activity constitutes about half of the repo funding of major dealers, and the majority of the funding that dealers provide to others,” said Schreft.

“Monitoring the tenor, haircuts, and rates in such repos across a broad range of collateral will help us understand the functioning of and spot stress in asset and funding markets.”

Schreft also noted that the interest rate information that the OFR collects on cleared repo transactions is “critical for the production of the Secured Overnight Financing Rate (SOFR)”.

SOFR was selected as an alternative to LIBOR by the Alternative Reference Rate Committee on 22 June. The cleared repo data will be used immediately in the publication of the SOFR.

“Thirdly, by shedding light more broadly on the specifics of repo funding, these collections will support other FSOC initiatives, such as understanding dynamics that affect liquidity in Treasury markets,” Schreft added.

More news
The latest news from Securities Lending Times
Join Our Newsletter

Sign up today and never
miss the latest news or an issue again

Subscribe now
J.P. Morgan and Citi collaborate on truePTS post-trade platform
15 December 2017 | New York | Reporter: Zsuzsa Szabo
The New-York-based startup processes ecosystem for the global $700 trillion derivatives market
SIFMA: US market requires improved CCP access
15 December 2017 | Washington DC | Reporter: Jenna Lomax
The Dodd-Frank Act has increased the need for US firms to have access to non US swaps trading venues and central counterparties, according to paper by FIA and SIFMA
France raises spectre of European financial transactions tax
15 December 2017 | Paris | Reporter: Jenna Lomax
French President Emmanuel Macron and several ministers have dismissed concerns over the negative effect of an EU financial transactions tax on securities lending revenue
Vekaria exits Credit Suisse
14 December 2017 | Dublin | Reporter: Zsuzsa Szabo
Head of Credit Suisse's Dublin branch Manish Vekaria has left the bank
Cerberus hires new managing director
14 December 2017 | New York | Reporter: Jenna Lomax
Kimmel was previously global head of prime services at Cantor Fitzgerald
SMEs to face new research costs under MIFID II
14 December 2017 | Frankfurt | Reporter: Zsuzsa Szabo
Research services for SMEs will no longer be free of charge when MiFID II comes into force on 3 January 2018
Hedge funds in sprint finish for record-breaking returns in 2017
14 December 2017 | London | Reporter: Drew Nicol
Hedge funds are on track for their best annual revenue since 2013 with average returns of 7.7 percent, according to eVestment research