Developments in Repo Markets During the Financial Turmoil

BIS Quarterly, December 2008

17 Pages Posted: 21 Jul 2012

See all articles by Peter Hördahl

Peter Hördahl

Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific

Michael R. King

Gustavson School Of Business

Date Written: December 8, 2008

Abstract

As the financial crisis deepened and unsecured interbank markets effectively shut down, repo market activity became increasingly concentrated in the very shortest maturities and against the highest-quality collateral. Repo rates for US Treasury collateral fell relative to overnight index swap rates, while comparable sovereign repo rates in the euro area and the United Kingdom rose. The different dynamics across markets reflected, among other things, differences in the intensity of market disruptions and the extent of the scarcity of sovereign collateral.

Keywords: Repo markets, financial crisis, OIS, collateral

JEL Classification: E43, E58, G12

Suggested Citation

Hoerdahl, Peter and King, Michael Robert, Developments in Repo Markets During the Financial Turmoil (December 8, 2008). BIS Quarterly, December 2008, Available at SSRN: https://ssrn.com/abstract=1329903

Peter Hoerdahl

Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific ( email )

78th floor, Two International Finance Centre
8 Finance Street, Central
Hong Kong

Michael Robert King (Contact Author)

Gustavson School Of Business ( email )

University of Victoria
Business & Economics Building, Room 246
Victoria, British Columbia V8W 2Y2
Canada
250-721-6425 (Phone)

HOME PAGE: http://https://www.uvic.ca/gustavson/faculty/faculty/faculty/current/kingm.php

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
1,325
Abstract Views
4,847
rank
16,427
PlumX Metrics