SIFMA's Latest Research Quarterly
SIFMA's latest "Research Quarterly" for the Second Quarter 2018 says about "Funding and Money Market Instruments," "The average daily amount of total repurchase (repo) and reverse repo agreement contracts outstanding was $3.78 trillion in 2Q'18, a decrease of 3.9 percent from 1Q'18's $3.93 trillion and a decline of 5.2 percent y-o-y.. Average daily outstanding repo transactions totaled $2.14 trillion in 2Q'18, a decline of 3.2 percent q-o-q and a decline of 3.5 percent y-o-y. Reverse repo transactions in 2Q'18 averaged $1.64 trillion daily outstanding, a decrease of 5.3 q-o-q and 7.2 percent y-o-y." The update tells us, "General collateral finance (GCF) repo rates increased for Treasuries and MBS in 2Q'18 q-o-q and y-o-y: the average repo rate for Treasuries (30-year and less) rose to 183.2 basis points (bps) from 150.1 bps in 1Q'18 and 94.2 bps in 2Q'17. The average MBS repo rate rose to 184.4 bps from 152.7 bps in the previous quarter and 96.2 bps in 2Q'17." On "Commercial Paper," SIFMA writes, "Preliminary outstanding volume of commercial paper stood at $1.05 trillion at the end of the second quarter, up 0.3 percent from the prior quarter's $1.04 trillion and an increase of 13.6 percent y-o-y.... Interest rates for nonfinancial commercial paper (CP) rose to 208 bps at end-June 2018 from 200 bps end-March 2018 and 110 bps end-June 2017. Financial CP increased to 219 bps end-June 2018 from 208 bps end-March 2018 and from 116 bps end-June 2017."
