Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60888
Authors: 
Copeland, Adam
Martin, Antoine
Walker, Michael
Year of Publication: 
2010
Series/Report no.: 
Staff Report, Federal Reserve Bank of New York 477
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 he 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.
Subjects: 
Tri-party repo
wholesale funding
short-term funding
JEL: 
E44
E58
G24
Document Type: 
Working Paper

Files in This Item:
File
Size
766.83 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.