Board of Governors of the Federal Reserve System

Figure 1. MMF Lending: ON RRP and Private Repo

The x-axis measures time, and it ranges from spring 2020 through summer 2023. The y-axis measures repo transaction volume, and it ranges from 0 to 3,000 in billions of dollars. The data are daily. This figure shows daily repo lending volume by money market funds, split into two components. The blue line shows MMFs’ lending to the Fed’s ON RRP facility, which increased from zero to two trillion dollars from the beginning of 2021 to early 2023. The red line shows MMFs’ repo lending during the same time period to private counterparties, which declined gradually – from about a trillion dollars to 700 billion – as the ON RRP swelled in size.

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Figure 2. Share of MMF Private Overnight Repo Transactions at or Above the ON RRP Rate

The x-axis measures time, and it ranges from spring 2020 through summer 2023. The y-axis measures transaction share, and it ranges from 0 to 125 percent. The data are daily. This figure shows the share of money market funds’ overnight repo transactions with private counterparties that is transacted at rates at or above the ON RRP rate. The figure shows that prior to the beginning of the Fed’s increase in policy rates in March 2022, virtually all private repo lending by MMFs was transacted at or above the ON RRP rate. However, during the rate-hiking cycle, this share dropped to around 50 percent before rebounding in mid-2023.

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Figure 3. MMF Weighted-Average Private Repo Spreads

The x-axis measures time, and it ranges from January 2022 through May 2023. The y-axis measures repo spreads in percentage points, and it ranges from -0.3 to 0.1. The data are daily. This figure shows three lines that represent the time series of weighted-average private repo spreads for three different categories of money market funds: MMFs that are RRP counterparties in the blue solid line, other MMFs in the red dot-dashed line, and omnibus accounts in the gray dashed line. The figure shows that MMFs’ private repo rates were generally below the ON RRP rate for all three categories of MMFs, with a magnitude around 0.01 to 0.20 percent below zero during 2022, and then in 2023, a magnitude around 0.01 to 0.05 percent below zero.

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Figure 4. Non-ON RRP Tri-Party Repo Transaction Volume by Borrower

The x-axis measures time, and it ranges from spring 2020 through summer 2023. The y-axis measures repo transaction volume, and it ranges from 0 to 1,000 in billions of dollars. The data are daily. This figure shows the daily volume of private tri-party repo borrowing by borrower domicile, split into three geographies: US borrowers, European borrowers, and other borrowers. The figure shows that US borrowers increased their volume by more than non-US borrowers from January 2021 to August 2022. US borrowers increased their borrowing from approximately $600 billion to approximately $800 billion. European borrowers increased their borrowing slightly from approximately $400 billion to approximately $450 billion. Other borrowers increased their borrowing slightly from approximately $300 billion to approximately $350 billion.

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Figure 5. Private Tri-Party Repo Transaction Volume by Lender Type

The x-axis measures time, and it ranges from spring 2020 through summer 2023. The y-axis measures repo transaction volume, and it ranges from 0 to 800 in billions of dollars. The data are daily. This figure shows the daily lending volume in private tri-party repo by lender type, split into four categories: MMFs, affiliates of the borrowing dealer, asset managers, and others. The figure shows that from January 2021 to August 2022, lending by MMFs declined as lending by dealers’ affiliates increased. MMF lending decreased from about $523 billion to about $377 billion. Lending from dealers’ affiliates increased from about $274 billion to about $359 billion.

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