Repo market effects of the Term Securities Lending Facility

Michael Fleming, Warren Hrung and Frank M. Keane

No 426, Staff Reports from Federal Reserve Bank of New York

Abstract: The Term Securities Lending Facility (TSLF) was introduced by the Federal Reserve to promote liquidity in the financing markets for Treasury and other collateral. We evaluate one aspect of the program--the extent to which it has narrowed repo spreads between Treasury collateral and less liquid collateral. We find that TSLF operations have precipitated a significant narrowing of repo spreads. More refined tests indicate the market conditions and types of operations associated with the program's effectiveness. Various additional tests, including a split-sample test, suggest that our findings are robust.

Keywords: Treasury bonds; Liquidity (Economics); Federal Reserve Bank of New York; Repurchase agreements (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-ban and nep-mon
Note: Published in American Economic Review: https://doi.org/10.1257/aer.100.2.591
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Citations: View citations in EconPapers (48)

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Journal Article: Repo Market Effects of the Term Securities Lending Facility (2010)
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