The US Office of Financial Research (OFR) has released its new US repo markets data prototype, a publication of daily data on repo markets. It has also unveiled the Short-term Funding Monitor, an interactive tool that provides a more complete view into short-term funding markets.
Trillions of dollars in repo agreements trade hands daily in short-term funding markets and pressure in short-term funding markets can serve as an early warning signal of financial stress as was seen this time last year. To help the US’ Financial Stability Oversight Council monitor risk in these markets, the OFR collects data on centrally cleared repurchase agreements, which amount to more than $1 trillion in daily repo transactions. Through its new data release, the OFR is making aggregates of this data, and data covering tri-party repo, available to the public.
“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,” says Dino Falaschetti, director of the Office of Financial Research. “We’re making aggregates of these data available to the public to increase transparency and facilitate research on the financial system.”
The Short-term Funding Monitor integrates the new data release with other existing data sets previously scattered across many sources. The monitor combines data on the balance sheets and funding needs of short-term funding market participants, and the volumes and rates across market segments. Users can download all of the monitor data via a public API.
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 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,” Falaschetti says.