Developments in Repo Markets During the Financial Turmoil
BIS Quarterly, December 2008
17 Pages Posted: 21 Jul 2012
Date Written: December 8, 2008
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: Suggested Citation