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25 posts on "Repo"
December 19, 2016

Investigating the Proposed Overnight Treasury GC Repo Benchmark Rates

In its recent “Statement Regarding the Publication of Overnight Treasury GC Repo Rates,” the Federal Reserve Bank of New York, in cooperation with the U.S. Treasury Department’s Office of Financial Research, announced the potential publication of three overnight Treasury general collateral (GC) repurchase (repo) benchmark rates.

May 5, 2016

Borrowing, Lending, and Swapping Collateral in GCF Repo®

By Marco Cipriani and Adam Copeland In the third post in this series, we examined GCF Repo® traders’ end-of-day strategies. In this final post, we further our understanding of dealers’ behavior by looking at their trading pattern within the day.

May 4, 2016

Why Dealers Trade in GCF Repo®

Analysis using confidential market data shows that the majority of individual dealers follow consistent strategies in GCF Repo, where dealers are net borrowers or lenders on almost every day that they are active.

May 3, 2016

Understanding the Interbank GCF Repo® Market

In this post, we provide a different perspective on the General Collateral Finance (GCF) Repo® market.

Posted at 7:05 am in Financial Markets, Repo | Permalink | Comments (0)
July 20, 2015

Have Dealers’ Strategies in the GCF Repo® Market Changed?

In a previous post, “Mapping and Sizing the U.S. Repo Market,” our colleagues described the structure of the U.S. repurchase agreement (repo) market.

May 13, 2015

Financial Innovation: Evolution of the Tri-Party Repo Arrangement

In our earlier post, we described how the tri-party repo arrangement was a clever way to reduce the costs and risks that individual firms faced when settling bilateral repos.

Posted at 7:00 am in Financial Markets, Repo | Permalink | Comments (0)
August 19, 2013

Are Higher Haircuts Better? A Paradox

Brian Begalle, Adam Copeland, Antoine Martin, Jamie McAndrews, and Susan McLaughlin Repurchase agreement (repo) markets played an important role in the 2007-09 financial crisis in the United States, and much discussion since then has focused on the role of repo haircuts. A repo is essentially a loan collateralized by securities. Typically, the value of the […]

July 17, 2013

Magnifying the Risk of Fire Sales in the Tri-Party Repo Market

The fragility inherent in the tri-party repo market came to light during the 2008-09 financial crisis.

September 17, 2012

The Odd Behavior of Repo Haircuts during the Financial Crisis

Since the financial crisis began, there’s been substantial debate on the role of haircuts in U.S. repo markets.

June 25, 2012

Mapping and Sizing the U.S. Repo Market

The U.S. repurchase agreement (repo) market is a large financial market where participants effectively provide collateralized loans to one another.

Posted at 7:00 am in Financial Markets, Repo | Permalink | Comments (1)
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