Federal Reserve Bank of Atlanta
Second Quarter 2002
The date on which theTreasury announces the particulars of a new secu-rity to be auctioned. When-issued (that is, for-ward) trading begins on the announcement date.
The date on which a security is auc-tioned, typically one week after the announcementdate and one week before the settlement date.
The electronic network used to trans-fer funds and wirable securities such as Treasurysecurities.
A contract to deliver some-thing in the future on the delivery date at a pre-specified price, the forward price.
The difference between theexpected future spot price and the forward price.
The agreed-upon price for deliv-ery in a forward contract.
The broad class of Treasurysecurities.
General collateral rate:
The repo rate on gen-eral collateral.
Margin. For example, a 1 percent hair-cut would allow one to borrow $99 per $100 of abond’s price.
Paired repo and reverse tradeson the same underlying collateral, perhaps mis-matched in maturity.
Off the run:
A Treasury security that is no longeron the run (see below).
Old, old-old, etc.:
When a security is no longeron the run, it becomes the old security. When asecurity is no longer the old security, it becomesthe old-old security, and so on.
The condition of a repo rate when itis below the general collateral rate (when
On the run:
The most recently issued Treasurysecurity of a given original term to maturity—forexample, the on-the-run ten-year Treasury note.
A Treasury sale of an existing bondthat increases the amount outstanding.
A repurchase agreement transaction thatinvolves using a security as collateral for a loan. At the inception of the transaction, the dealerlends the security and borrows funds. When thetransaction matures, the loan is repaid and thesecurity is returned.
The repo spread times the valueof the security:
The rate of interest to be paid on arepo loan,
The difference between the gen-eral collateral rate and the specific collateral rate,
A condition that occurs when theholder of a substantial position in a bond financesa portion directly in the repo market and theremainder with “unfriendly financing” such as ina triparty repo.
A repo from the perspective of thecounterparty; a transaction that involves receiv-ing a security as collateral for a loan.
The date on which a new secu-rity is issued (the issue date).
See repo squeeze.
Collateral that is specified—for example, an on-the-run bond instead of someother bond.
Specific collateral rate:
The repo rate on spe-cific collateral.
Any repo transaction with an initialmaturity longer than one business day.
An arrangement for facilitatingan ongoing repo relationship between a dealerand a customer, where the third party is a clear-ing bank that provides useful services.
Forward trading in asecurity that has not yet been issued.
A bond that makes a singlepayment when it matures.