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Fed Releases Additional Reverse Repo Data

Last week, the New York Fed began publishing more data that shows a breakdown of the use of its Reverse Repo Program by counterparty type. The facility, which uses what are commonly known as “overnight reverse repos,” receives cash from program participants in exchange for typically one-day loans of Treasury securities. The data shows that money market funds continue to be the largest users of the facility, totaling $7.7 trillion of the facility’s $9.1 trillion repos during the third quarter of 2014. Additionally, money market funds accounted for $294 billion of the capped $300 billion supply in overnight reverse repos on the last day of the third quarter where the rate dropped to zero. The facility typically faces heavy demand on the last day of the quarter due to balance sheet constraints and the third quarter end saw bids ranging from -20 bps to 5 bps and an overflow demand of $407 billion. According to Reuters, the Fed plans to publish the aggregated counterparty information each quarter with a one quarter lag.