The U.S. Bilateral Repo Market: Lessons from a New Survey

Viktoria Baklanova, Cecilia Caglio (cecilia.r.caglio@frb.gov), Marco Cipriani and Adam Copeland
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Cecilia Caglio: Board of Governors of the Federal Reserve

No 16-01, Briefs from Office of Financial Research, US Department of the Treasury

Abstract: We provide aggregate statistics on U.S. dealers' bilateral repurchase agreements and economically equivalent securities lending activities. The data were collected from the U.S.-affiliated securities dealers of nine bank holding companies under a voluntary pilot program run by the Office of Financial Research (OFR) and the Federal Reserve System with input from the Securities and Exchange Commission. We found that the majority of this activity involves the delivery or receipt of U.S. Treasuries, with equities a distant second. The most common maturity is one day. Finally, rates are widely dispersed across asset classes.

Keywords: Repurchase Agreements; Data Pilot; haircuts; Bank Holding Companies (search for similar items in EconPapers)
Pages: 7 pages
Date: 2016-01-13
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Citations: View citations in EconPapers (4)

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