SIFMA on Money Market Instruments
SIFMA's latest "Research Quarterly" for the Second Quarter 2017 says about "Funding and Money Market Instruments," "The average daily amount of total repurchase (repo) and reverse repo agreement contracts outstanding was $3.98 trillion in 2Q'17, an increase of 1.5 percent from 1Q'17's $3.92 trillion and a decline of 0.3 percent y-o-y. Average daily outstanding repo transactions totaled $2.22 trillion in 2Q'17, an increase of 1.7 percent q-o-q and an increase of 1.4 percent y-o-y. Reverse repo transactions in 2Q'17 averaged $1.76 trillion daily outstanding, an increase of 1.3 percent and a decline of 1.0 percent q-o-q and y-o-y, respectively." The update tells us, "DTCC general collateral finance (GCF) repo rates increased for Treasuries and MBS in 2Q'17 on a q-o-q basis and y-o-y basis: the average repo rate for Treasuries (30-year and less) rose to 94.2 basis points (bps) from 1Q'17's average rate of 62.5 bps and 2Q'16's average of 45.2 bps. The average MBS repo rate rose to 96.2 bps from 64.0 bps in the previous quarter and 46.0 bps in 2Q'16." On "Financial and Nonfinancial 3-Month Commercial Paper Interest Rates," SIFMA writes, "Interest rates for nonfinancial commercial paper (CP) rose to 110 bps end-June 2017 from 84 bps end-March 2017 and from 49 bps end-June 2016, and financial CP increased to 116 bps end-June from 83 bps end-March 2017 and also rose from 55 bps end-June 2016." The quarterly adds, "Preliminary outstanding volume of commercial paper, stood at $925.70 billion at the end of the second quarter, down 1.2 percent from the prior quarter's $937.20 billion and a decline of 8.9 percent y-o-y."
