The federal research office charged with helping to promote financial stability on Wednesday announced the launch of two data tools which will inform the public about U.S. repo and short-term funding markets, which together can provide an early indication of financial stress, the office said.
The collection of repo data is also expected to provide “a permanent and expanded source of data to support the SOFR [Secured Overnight Financing Rate] and reference rate transition,” said Dino Falaschetti, director of the Office of Financial Research (OFR). SOFR is the Alternative Reference Rates Committee’s preferred alternative to the U.S. dollar LIBOR reference rate.
The OFR was created under the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank) principally to support the Financial Stability Oversight Council (FSOC) and its member agencies. On Wednesday, it launched the U.S. Repo Markets Data Release, a prototype publication of daily data on repo markets; and the Short-term Funding Monitor, an interactive tool that provides a more complete view into short-term funding markets.
The OFR points out that trillions of dollars in repo agreements trade daily in short-term funding markets, and pressure in those markets can provide an early warning signal of financial stress. The OFR collects data on centrally cleared repurchase agreements – more than $1 trillion in transactions daily – and will make available to the public aggregates of this data, as well as data covering tri-party repo. Falaschetti said the cleared repo data provides the FSOC a more complete view of the “complex and critical” repurchase agreement market.
The Short-term Funding Monitor integrates the OFR’s U.S. Repo Markets 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, the OFR said, as well as the volumes and rates across market segments. The office said users can download all of the monitor data via a public API (application programming interface).