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Repurchase Agreements with Negative Interest Rates


Michael J. Fleming


Federal Reserve Bank of New York

Kenneth Garbade


Federal Reserve Bank of New York

Current Issues in Economics and Finance, Vol. 10, No. 5, April 2004

Abstract:     
Contrary to popular belief, interest rates can drop below zero. From early August to mid-November of 2003, negative rates occurred on certain U.S. Treasury security repurchase agreements. An examination of the market conditions behind this development reveals why market participants are sometimes willing to pay interest on money lent.

Number of Pages in PDF File: 7

Keywords: repurchase agreements, gcf repo, general collateral, fixed income clearing corporation, dealer finance

JEL Classification: G28, G18, H63

Accepted Paper Series


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Date posted: October 4, 2004  

Suggested Citation

Fleming, Michael J. and Garbade, Kenneth, Repurchase Agreements with Negative Interest Rates. Current Issues in Economics and Finance, Vol. 10, No. 5, April 2004. Available at SSRN: http://ssrn.com/abstract=599907

Contact Information

Michael J. Fleming (Contact Author)
Federal Reserve Bank of New York ( email )
33 Liberty Street
New York, NY 10045
United States
212-720-6372 (Phone)
212-720-1582 (Fax)
HOME PAGE: http://www.newyorkfed.org/research/economists/fleming/
Kenneth Garbade
Federal Reserve Bank of New York ( email )
33 Liberty Street
New York, NY 10045
United States
Feedback to SSRN (Beta)


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