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30 posts on "Repo"
October 12, 2017

Just Released: New York Fed Markets Data Dashboard

The Federal Reserve Bank of New York releases data on a number of market operations, reference rates, monetary policy expectations, and Federal Reserve securities portfolio holdings. These data are released at different times, for different types of securities or rates, and for different audiences.

October 4, 2017

The Cost and Duration of Excess Funding Capacity in Tri-Party Repo

In a previous post, we showed that dealers sometimes enter into tri-party repo contracts to acquire excess funding capacity, and that this strategy is most prevalent for the agency mortgage-backed securities (MBS) and equity asset classes. In this post, we examine the maturity of the repos used to pursue this strategy and estimate the associated costs.

October 2, 2017

Excess Funding Capacity in Tri-Party Repo

Security dealers sometimes enter into tri-party repo contracts to fund one class of securities with the expectation they will wind up settling the contract with higher quality securities.

August 7, 2017

Regulatory Incentives and Quarter-End Dynamics in the Repo Market

Since the global financial crisis, central bankers and other prudential authorities have worked to design and implement new banking regulations, known as Basel III, to reduce risk in the financial sector. Although most features of the Basel III regime are implemented consistently across jurisdictions, some important details vary.

Posted at 7:00 am in Banks, Financial Markets, Repo | Permalink | Comments (2)
May 10, 2017

Which Dealers Borrowed from the Fed’s Lender-of-Last-Resort Facilities?

During the 2007-08 financial crisis, the Fed established lending facilities designed to improve market functioning by providing liquidity to nondepository financial institutions—the first lending targeted to this group since the 1930s.

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
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.

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