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Quantitative Finance · Glosarium

Apa itu Sponsored repo?

Definition 5.5 Markets II: Rates, FX and Credit · Bab 5 — Repo and Specials

In sponsored repo a dealer that is a member of the Treasury clearing house sponsors a non-member, typically a money-market fund lending cash or a hedge fund borrowing it, into the clearing house: the trade is novated to the central counterparty and nets against the dealer’s other cleared trades.

Three ways to do the same repo. Bilaterally, the cash lender can ask for a specific security. In tri-party, an agent bank allocates collateral from the dealer’s inventory to fit the lender’s schedule. Sponsored, a dealer brings both sides into the clearing house, which faces each of them, and the dealer’s two trades net.
Figure 5.1. Three ways to do the same repo. Bilaterally, the cash lender can ask for a specific security. In tri-party, an agent bank allocates collateral from the dealer’s inventory to fit the lender’s schedule. Sponsored, a dealer brings both sides into the clearing house, which faces each of them, and the dealer’s two trades net.
FICC sponsored repo volumes at each month-end, March 2020 to August 2026. Money funds lend through sponsored reverse repo, hedge funds borrow through sponsored repo; both grew four- to fivefold, with peaks at year-ends, when a netted trade is worth most to a dealer. Data: Office of Financial Research, Hedge Fund Monitor (FICC data).
Figure 5.2. FICC sponsored repo volumes at each month-end, March 2020 to August 2026. Money funds lend through sponsored reverse repo, hedge funds borrow through sponsored repo; both grew four- to fivefold, with peaks at year-ends, when a netted trade is worth most to a dealer. Data: Office of Financial Research, Hedge Fund Monitor (FICC data).
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