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I am a capital market analyst, and I am responsible for margin call and repo roll of our MBS bond repurchase agreements.

Our bond repo are normally charged a rate of Libor(1 month) + 150-180 basis points. In the past week, the spread is widening to 350 bps due to market turmoil. How do I know whether 350bps make sense? Is there any place where I can find the average repo spread of other borrowers? Thank you!

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  • $\begingroup$ I'm voting to close this question as off-topic because it is more a trading question than a quantitative finance question $\endgroup$
    – Ezy
    Mar 22, 2020 at 18:32

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No, it is not published. The best you can do is call a few dealers and get competitive rates. As you might know there has been a significant deleveraging in the last few days, involving liquidations of mortgages by REITS and money managers. Funding rates for mortgages and other assets are hogher than normal as dealers get asked to take on more assets.

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  • $\begingroup$ thank you! it is important to have cash on hand under current market situation $\endgroup$
    – Larry
    Mar 20, 2020 at 4:13

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