Fungibility and GC repo: Difference between pages
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imported>Doug Williamson (Add link.) |
imported>Doug Williamson (Create page. Source: ICMA https://www.icmagroup.org/Regulatory-Policy-and-Market-Practice/repo-and-collateral-markets/icma-ercc-publications/frequently-asked-questions-on-repo/8-what-is-general-collateral-gc/) |
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''Reference rates''. | |||
GC repo is an abbreviation for General Collateral repo rate. | |||
International Capital Market Association commentary: | |||
:'GC or general collateral is a set of security issues which trade in the repo market at the same or a very similar repo rate, which is called the GC repo rate. | |||
:GC securities can therefore be substituted for one another without changing the repo rate much, if at all. | |||
:In other words, the buyer in a GC repo is indifferent to which of the GC securities they receive. | |||
:The fact that GC securities can be substituted for one another means that the driver of the GC repo rate is not the supply and demand of particular issues of securities, but of cash. | |||
:For this reason, GC repo is sometimes called cash-driven repo. | |||
:As a measure of the cost of borrowing cash, the GC repo rate is highly correlated with unsecured money market interest rates.' | |||
== See also == | == See also == | ||
* [[ | * [[Collateral]] | ||
* [[ | * [[EONIA]] | ||
* [[ | * [[European Central Bank]] | ||
* [[ | * [[International Capital Market Association]] (ICMA) | ||
* [[ | * [[Over night index average rate]] | ||
* [[Overnight indexed swap]] | |||
* [[Reference rate]] | |||
* [[Repo]] | |||
* [[Repo rate]] | |||
* [[Security]] | |||
[https://www.icmagroup.org/Regulatory-Policy-and-Market-Practice/repo-and-collateral-markets/icma-ercc-publications/frequently-asked-questions-on-repo/8-what-is-general-collateral-gc/ ICMA Frequently Asked Questions on Repo] | |||
[[Category:Financial_products_and_markets]] | [[Category:Financial_products_and_markets]] | ||
Revision as of 13:00, 24 March 2019
Reference rates.
GC repo is an abbreviation for General Collateral repo rate.
International Capital Market Association commentary:
- 'GC or general collateral is a set of security issues which trade in the repo market at the same or a very similar repo rate, which is called the GC repo rate.
- GC securities can therefore be substituted for one another without changing the repo rate much, if at all.
- In other words, the buyer in a GC repo is indifferent to which of the GC securities they receive.
- The fact that GC securities can be substituted for one another means that the driver of the GC repo rate is not the supply and demand of particular issues of securities, but of cash.
- For this reason, GC repo is sometimes called cash-driven repo.
- As a measure of the cost of borrowing cash, the GC repo rate is highly correlated with unsecured money market interest rates.'
