Effective September 2, 2016, the Federal Reserve Bank of New York (FRBNY) revised the reverse repurchase transaction (RRP) counterparty eligibility criteria with respect to money market funds (MMFs). The revisions expand the set of potential RRP counterparties. The FRBNY expects the number of RRP counterparties to be 150 as a result of the revisions.
MMFs are now eligible to be RRP counterparties if the MMF has, as measured at each month-end for the most recent six consecutive months, either: (i) net assets of no less than $5 billion; or (ii) an average outstanding amount of RRP transactions of no less than $1 billion. Under the previous eligibility criteria (effective November 12, 2014; see here), only MMFs that met the $5 billion required net asset level were eligible. To be eligible under the new alternate repo prong a MMF would have had to engage in an average of $1 billion in repo, across counterparties and regardless of duration and type of collateral, for the most recent six consecutive months (measured at month end).
Additionally, government-sponsored enterprises (GSEs) chartered by the U.S. Congress are now eligible to be RRP counterparties if the GSE has, over the past three months, an average daily amount outstanding of: (i) RRP transactions of no less than $1 billion; or (ii) money market transactions of no less than $100 million. Under the previous eligibility criteria, only GSEs that met the $1 billion daily average amount of RRP transactions outstanding were eligible.
The FRBNY announcement is available here.
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