EconPapers    
Economics at your fingertips  
 

The tri-party repo market before the 2010 reforms

Adam Copeland, Antoine Martin and Michael Walker

No 477, Staff Reports from Federal Reserve Bank of New York

Abstract: This paper provides a descriptive and quantitative account of the tri-party repo market before the reforms proposed in 2010 by the Task Force on Tri-Party Repo Infrastructure (Task Force 2010). We provide an extensive description of the mechanics of this market. We also use data from July 2008 to early 2010 to document quantitative features of the market. We find that both the level of haircuts and the amount of funding were surprisingly stable in this market. The stability of the margins is in contrast to evidence from other repo markets. Perhaps surprisingly, the data reveal relatively few signs of stress in the market for dealers other than Lehman Brothers, on which we provide some evidence. This suggests that runs in the tri-party repo market may occur precipitously, like traditional bank runs, rather than manifest themselves as large increases in margins.

Keywords: Repurchase agreements; Law and legislation (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-mic
References: Add references at CitEc
Citations: View citations in EconPapers (65)

Downloads: (external link)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr477.html (text/html)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr477.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fednsr:477

Ordering information: This working paper can be ordered from
pipubs@ny.frb.org

Access Statistics for this paper

More papers in Staff Reports from Federal Reserve Bank of New York Contact information at EDIRC.
Bibliographic data for series maintained by Gabriella Bucciarelli (gabriella.bucciarelli@ny.frb.org).

 
Page updated 2025-02-12
Handle: RePEc:fip:fednsr:477