US repo-clearing premium soared to post-pandemic high in Q3
Spread to non-cleared tri-party rates widened earlier and further than in previous quarters
The spread between cleared and tri-party US repo rates reached a post-pandemic high in September, widening earlier and further into the quarter than usual.
The daily, volume-weighted mean rate on general collateral financing (GCF) repos clocked in at 17 basis points above the non-cleared tri-party equivalent through the third quarter, the highest in a data series going back to Q2 2018.
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