US repo markets score highly on transparency, even in the absence of swaps-like transaction-level reporting.

Repo market data is still poorly understood. By breaking the market down into its constituent parts and examining the data from a market structure perspective, the transparency out there makes a lot of sense.

Following on from my Guide to US Treasury Repo Markets, I take a look at the data resources available to better understand what is going on in the market.

The Dual Axes of Repo

You will find a lot written about repo by the US Office of Financial Research (OFR). Their literature introduced me to thinking about the repo market along two axes, as shown in this diagram:

So keeping that same structure, it makes sense to look at the transparency resources that we have in each quadrant. Let’s go clockwise, starting in the top right-hand side:

Centrally Cleared Bilateral Repo

At the moment, DTCC’s FICC is the only active clearing service for US repos, with CME and ICE coming along to the party very soon.

DTCC volumes in centrally cleared bilateral repos (known as “DVP” at DTCC) are available in depth via the OFR’s Repo Monitor here. This is what the transparency data covers:

• Daily aggregated volumes and notional outstanding
• Daily average prices
• Prices and volumes broken down by maturity buckets:
  • Overnight/open
  • 2-7 days
  • 8-30 days
  • >30 days
• Data is not published at trade-level. There is no counterparty information.

That is a cool amount of transparency. Comparing to Swap markets (see here) – it is more data than a CCP would provide because it includes some data on prices. However, it does not go as far as SDR data at a transaction-level.

Some examples:

VWAP of overnight bilateral repos at FICC:

Transaction volume of long-dated repos:

DTCC also publish volume data on the bilateral repos cleared by sponsored members. This shows the daily transaction volume, by trade side, in centrally cleared bilateral repos by “clients”:

Transaction volume of bilateral repos by clients in clearing:

Non-Centrally Cleared Bilateral Repo (NCCBR)

Let’s get this one out of the way early in the blog. There is little transparency for the bilateral corner of the repo market that is not centrally cleared. There have been a few papers estimating the size of the market and there are the NY Fed weekly statistics on what Primary Dealers are up to.

However, the best resource promises to be one that is not yet published. The OFR performed a data collection exercise in 2022 and started collecting the data on a daily basis in 2025. There is not yet any word when this data might make it into public hands.

Non-Centrally Cleared Triparty Repo

Sitting in a middle ground that doesn’t exist in Swaps markets is Triparty repo. From a transparency perspective, the fact that BNY is the only third-party agent means that, similar to a CCP, we have an independent agent to the trades. BNY provides the OFR daily data on non-cleared triparty repos.

BNY triparty volumes are available in depth via the OFR’s Repo Monitor here. This is what the transparency data covers:

• Daily aggregated volumes
• Daily average prices
• Prices and volumes broken down by maturity buckets:
  • Overnight/open
  • 2-7 days
  • 8-30 days
  • >30 days
• Prices and volumes broken down by underlying collateral:
  • US Treasuries
  • Corporate Debt
  • Federal Agency and GSE Securities
  • Other Collateral
• Volumes and average prices including and excluding transactions with the Federal Reserve, but otherwise no other counterparty information.

Some examples:

VWAP of overnight triparty repos excluding Fed activity:

This chart adds additional transparency value to our first chart today. OFR data allows us to monitor spreads between different repo markets.

Triparty volumes in USTs excluding the Fed:

The chart above looks very healthy for repo activity in USTs and reflects true underlying “market” demand for repo funding. The chart looks very different when the Fed is included!

With the inclusion of data about the underlying collateral, the non-cleared triparty repo segment is the most transparent we have so far looked at. That is, until you look at the final segment of the market.

Centrally Cleared Triparty Repo

There is a “hard-line” between dealer and client activity in this corner of the market.

Dealer-to-dealer transparency is delivered courtesy of the OFR again (which is handy!).

Dealer-to-dealer centrally cleared triparty volumes are transacted via a product called GCF Repo at DTCC’s FICC. Data is available in-depth via the OFR’s Repo Monitor here. This is what the transparency data covers:

• Daily aggregated volumes and notional outstanding
• Daily average prices
• Prices and volumes broken down by maturity buckets:
  • Overnight/open
  • 2-7 days
  • 8-30 days
  • >30 days
• Prices and volumes broken down by underlying collateral:
  • US Treasuries
  • Corporate Debt
  • Federal Agency and GSE Securities
  • Other Collateral

Some examples:

VWAP of overnight triparty repos versus US Treasuries:

Notional outstanding of long-dated repos:

DTCC also publish volume data on the general collateral repos cleared by sponsored members. A bit of digging reveals that these GC repos are also triparty and conducted via the BNY triparty platform. This data therefore shows the daily transaction volume, by trade side, in centrally cleared triparty repos by “clients”:

Transaction volume of triparty repos by clients in clearing:

I probably saved the best chart for last there – that is impressive growth!

Transparency

All of the repo data detailed here is published on a T+1 timeline. That level of transparency for a market where trading occurs across multiple venues, potentially across multiple CCPs and with four distinct “flavours” of activity is admirable.

Whilst I have a natural inclination to want “more” (what is the average rate on long-dated repos with USTs as collateral executed by clients?), that would require transaction-level reporting.

So I will try to be thankful. US repo transparency is somewhat fragmented, but practical. Compared to SFTR reporting in Europe, it is refreshingly usable!

In Summary

• US repo market transparency varies accordingly to which of the four corners of the market you are looking at.
• Cleared bilateral, non-cleared triparty and dealer-to-dealer cleared triparty repos all have useful T+1 data available via OFR.
• The blind spot remains non-centrally cleared bilateral repo, where public data is still limited despite OFR collection work.
• Compared to SFTR in Europe, US repo transparency is practical, accessible and usable.