The cost of borrowing overnight cash in the repo market is poised to hit levels not seen since the financial crisis as dealers aggressively pare their balance sheets ahead of a quarter-end deadline for regulatory reporting.
The general collateral repo rate at which dealers lend to each other averaged 90 basis points on Thursday morning – compared to around 50bp through much of September – and is widely expected to top 100bp on Friday.
"The repo market is going to be more and more disjointed as pe
The week on Risk.net, October 6-12, 2017Receive this by email
- Quantile, TriOptima face off in cleared swaps compression battle
- SGX, HKEX expect to be among first wave of Mifid II equivalence
- Leaked EU doc could shield legacy swaps from clearing grab
- ABS set for revival under US Treasury’s liquidity buffer plans
- Quants stymied by lack of alternative risk premia flows data