The Tri-Party Repo Market before the 2010 Reforms

83 Pages Posted: 3 Dec 2010

See all articles by Adam M. Copeland

Adam M. Copeland

Federal Reserve Banks - Federal Reserve Bank of New York

Antoine Martin

Federal Reserve Bank of New York - Research and Statistics

Michael Walker

Federal Reserve Banks - Federal Reserve Bank of New York

Date Written: November 1, 2010

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: Tri-Party Repo, Wholesale Funding, Short-Term Funding

JEL Classification: E44, E58, G24

Suggested Citation

Copeland, Adam M. and Martin, Antoine and Walker, Michael, The Tri-Party Repo Market before the 2010 Reforms (November 1, 2010). FRB of New York Staff Report No. 477, Available at SSRN: https://ssrn.com/abstract=1719105 or http://dx.doi.org/10.2139/ssrn.1719105

Adam M. Copeland (Contact Author)

Federal Reserve Banks - Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

Antoine Martin

Federal Reserve Bank of New York - Research and Statistics ( email )

33 Liberty Street
New York, NY 10045
United States
212-720-6943 (Phone)

Michael Walker

Federal Reserve Banks - Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

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