Money Market Update

repo rates and RRP usage temporarily spike due to year-end regulatory dates, activating the upper layers of the repo hierarchy (explained in our latest piece). this will unwind at the start of 2024

First of all, Merry Christmas and a Happy New Year! In case you missed it — or you’ve just joined us — our deep dive on the future of the Fed’s RRP (reverse repo) facility went live recently…

Next, we’ll look at the centrally cleared regions of the Treasury/repo market (a small taster below):

But first, a money market update…

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click here for a primer on these rates

click here for a primer on the foreign repo pool

why the recent spike? year-end regulatory reporting causes dealers to pull back from repo, forcing MMFs to park money in the RRP but only during year-end. notice the spike and subsequent plunge at the end of last year.

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