On September 17 and 19th the Federal Reserve Bank of New York issued changes to its reverse repo program.

Most notable of the changes were:

  • Each eligible counter-party is permitted to submit one bid for an operation of up to $30 billion. This is an increase from the prior $10 billion bid limit.
  • The total amount of repo done an operation will be limited to $300 billion.
  • Eligible counter-parties must now submit a rate of interest with their bid and if the sum of all bids exceeds the $300 billion limit awards will be made based upon the interest rates submitted. Therefore, if the bids submitted do not exceed the $300 billion each counter-party will be awarded a trade at the offering rate (currently 5bps) announced by the Federal Reserve Bank of NY. However, if the bids exceed the $300 billion limit then all bids will be evaluated in ascending order by submitted interest rate and awards will be made at the rate at which the overall limit was achieved. Bids with an offered interest rate over this rate will not receive an award in the operation.
  • Negative interest rates can be submitted by eligible counter-parties in their bidding.
  • On Tuesday, September 30, 2014 the operations will be conducted from 8:00 a.m. to 8:30 a.m. rather than the usual time of 12:45-1:15 p.m.

Eligible counter-parties in the program include 94 money market funds, 6 government sponsored entities, 18 banks and 22 primary dealers.

The releases can be found here.

Good Day. Good bidding. DR2