Earlier I submitted this in the technical forum but this is likely a better fit for the topic. Anyway, the addition of GCF futures this month will put a larger focus on term repo. The trouble with looking at repo in a more rigorous manner is that often times repo is a softer, balance sheet and credit decision. Given the importance of funding and the restrictions on short-term funding projected to come out of Dodd-Frank term repo is going to become increasingly important. So in an attempt to start thinking about this before I'm forced to think about it quickly and make incorrect decisions as a result, are there any good theoretical resources out there for term repo? I have researched this extensively so a quick dump of Google search results here will not be helpful. Related to this is the questionable success of GCF futures ? starting to trade next week on NYSE-LIFFE. Most people are pointing to swaps where the funding leg is the GCF Index as the majority of flow for the futures; while I don?t disagree I think the majority of flow may morph into repo hedging. Overall, I see the repo market becoming more sophisticated. Any thoughts?

ICAP published some papers earlier this year when RONIA OIS started trading in the UK. they might be of interest to you

I took a look at RONIA, thanks for the heads up on that. I was quite surprised with how tightly RONIA OIS trades to SONIA OIS. I suppose the idea is twofold: 1) the collateral is assumed to be financed closely to repo rate - fine with this, but it in term assumes that gilts are the primary collateral and repo trades at a very tight spread to deposit rates, and 2) the BOE seems to increased its participation in the gilt repo market. I am more interested in the first implication of the RONIA/SONIA spread at zero. Unsecured lending rates equivalent to repo rates seems problematic to me. It fits the UK market better than the US repo market where counterparty risk is embedded in the repo but not deposit rates with the Fed. My thoughts are that the security in the repo should be worth something.In other news, I am a bit surprised as to the number of GCF futures listed - out to Dec 14. Does the existence of these futures encourage more term repo volume?

Personally, I am not too optimistic about the various repo rate futures. Maybe somewhat more optimistic about the US, because GC is a much more meaningful market rate there.As to the SONIA/GC spread, in the past SONIA has actually traded through GC and that wasn't anything to get particularly excited about. In my experience, the idiosyncratic supply/demand factors matter a lot more for that spread than the general "unsecured/secured" considerations.