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On Sept. 17, the rate on overnight Treasury-funded US repurchase agreements, or repos, jumped to an average of 5.25% from 2.43% the day before, with some trades settling as high as 9%.
According to the returns for Axioma’s factors, the first quarter of 2019 was probably a tough one for many systematic, factor-based investors, especially those investing in the US.
According to the returns for Axioma’s factors, the first quarter of 2019 was probably a tough one for many systematic, factor-based investors, especially those investing in the US.
Ever since the onset of the financial crisis in 2008, volatility has become a critical aspect for investors to consider in their portfolios.
This month, the STOXX® GC Pooling EUR Deferred Funding Rate (GC Pooling Deferred), a benchmark of overnight borrowing costs in Europe, turned five years old, as did the full STOXX GC Pooling money market curve. 
The European Central Bank (ECB) recently conducted a market consultation to assess three candidate euro overnight rates as alternatives to the current benchmark EONIA, the long-established risk-free rate (RFR) for pan-European lending.
The secured interbank lending market may play a role in the search for a reliable indicator of the cost of funding in Europe.
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