Accessible Version
The $12 Trillion US Repo Market: Evidence from a Novel Panel of Intermediaries, Accessible Data
Figure 1. Comparison of dealers’ gross repo (from annual reports) and net repo (from the Financial Accounts)
This figure contains two panels, with time series as bar charts running from 2014 to 2024.
Top panel: The top panel compares repo volumes from 2014 to 2024 in billions of U.S. dollars. Two series are shown: “Financial accounts” data in green and “Annual report aggregate” data in blue. Both series trend upward over time, with “Annual report aggregates” showing higher totals, beginning at $2.4 trillion in 2014 and rising to $2.9 trillion by 2020, then rising again to $3.7 trillion in 2023, where it stayed through 2024. Meanwhile, the financial accounts aggregate begins at $1.5 trillion and rises to $1.8 trillion by the end of 2020, then after briefly staying around that level through 2022, it rises to $2.3 trillion by 2024.
Bottom panel: The bottom panel compares reverse repo volumes from the financial accounts in green and annual reports in blue, running from 2014 to 2024 in billions of U.S. dollars. The annual reports aggregate rises gradually from $2.0 trillion in 2014 to $2.5 trillion in 2020, then falls slightly in 2021 to $2.4 trillion, then rises rapidly to $3.4 trillion in 2024. The financial accounts aggregate begins at roughly $1.2 trillion, rising to $1.3 trillion by 2020, then fluctuating near that level through 2022, at which point it rises again to $1.7 trillion in 2024.
Sources: SEC Form X-17A-5, Financial Accounts of the United States.
Figure 2. Total U.S. bank and dealer repo and reverse-repo by segment
Figure 2 is a bar chart showing tri-party, GCF, DVP and NCCBR repo. The values displayed in this chart are in Appendix Table 1, reproduced here:
| Year | ||||||
|---|---|---|---|---|---|---|
| 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | |
| Repo Tri-party | ||||||
| 1. Centrally cleared (GCF) | 153 | 177 | 103 | 157 | 313 | 230 |
| 2. Non-centrally cleared | 1,237 | 1,401 | 1,251 | 1,300 | 1,613 | 1,915 |
| Bilateral | ||||||
| 3. Centrally cleared (DVP) | 817 | 967 | 785 | 816 | 1,233 | 1,463 |
| 4. Non-centrally cleared | 1,127 | 623 | 908 | 764 | 1,281 | 1,514 |
| 5. Total gross repo | 3,334 | 3,168 | 3,047 | 3,037 | 4,440 | 5,121 |
| Reverse Repo Tri-party | ||||||
| 6. Centrally cleared (GCF) | 123 | 180 | 95 | 130 | 204 | 204 |
| 7. Non-centrally cleared | 21 | 30 | 99 | 81 | 18 | 60 |
| Bilateral | ||||||
| 8. Centrally cleared (DVP) | 858 | 1,016 | 953 | 995 | 1,410 | 1,736 |
| 9. Non-centrally cleared | 2,419 | 2,153 | 2,202 | 2,281 | 2,780 | 2,991 |
| 10. Total gross reverse repo | 3,420 | 3,379 | 3,348 | 3,487 | 4,410 | 4,991 |
Note: All numbers in billions of US dollars.
Sources: SEC Form X-17A-5, SEC Form 10-K, OFR Cleared Repo Collection, Federal Reserve Tri-party Repo Data.
Note: Ket identifies in order from bottom to top. Volumes are gross repo and reverse repo before netting out inter-dealer repo. Appendix Table 1 provides the same data as Figure 2 but in table form, since some of the segments in Figure 2 are too small for a label.
Sources: SEC Form X-17A-5, SEC Form 10-K, OFR Cleared Repo Collection, Federal Reserve Tri-party Repo Data.
Figure 3. Cumulative change since 2015 in dealer and customer repo activity
This figure has two panels, both showing values in billions and running from 2015 to 2024.
Top panel: This panel shows cumulative changes since 2015 in reverse repo by hedge funds in orange and banks and dealers in blue. Bank and dealer reverse repo runs from zero in 2015, increases gradually to roughly $1 trillion between 2016 and 2017, then remains essentially flat through 2022, at which point it rises to roughly $2.5 trillion by 2024. Hedge funds show a similar pattern but fall slightly below.
Bottom panel: This panel shows cumulative changes since 2015 in repo by money market funds in green and banks and dealers in blue. Banks and dealers begin at zero in 2015, remain near this level in 2016, and then gradually rise to roughly $1 trillion through 2019, remaining at roughly this level through 2022, at which point they rise to roughly $2.5 trillion by 2024. Money market funds follow roughly the same path through 2022, but rise to only about $2 trillion between 2022 and 2024, falling just below banks and dealers.
Sources: SEC Form X-17A-5, SEC Form 10-K, SEC Form N-MFP, OFR Hedge Fund Monitor.