A Primer on the GCF Repo® Service

56 Pages Posted: 2 May 2014

See all articles by Paul Agueci

Paul Agueci

Federal Reserve Bank of New York

Leyla Alkan

Federal Reserve Bank of New York

Adam M. Copeland

Federal Reserve Bank of New York

Isaac Davis

Federal Reserve Bank of New York

Antoine Martin

Federal Reserve Bank of New York - Research and Statistics

Kate Pingitore

Federal Reserve Banks - Federal Reserve Bank of New York

Caroline Prugar

Federal Reserve Bank of New York

Tyisha Rivas

Federal Reserve Bank of New York

Date Written: April 1, 2014

Abstract

This primer provides a detailed description of the GCF Repo® Service, a financial service provided by the Fixed Income Clearing Corporation. The primer is composed of an introductory note and two separate papers.

The first paper focuses on the clearance and settlement of GCF Repo. These financial plumbing details are especially important because the settlement of GCF Repo has been and will continue to be impacted by the current reforms to the tri-party repo settlement platform. In particular, the authors lay out the various ways that intraday credit was used pre-reform to facilitate the settlement of GCF Repo and why this use of credit is problematic. They also describe the reforms that are planned or in effect already, and consider how these reforms affect the use of intraday credit.

The second paper examines how dealers use the GCF Repo Service. The authors first describe the various strategies that dealers employ when trading GCF Repo and then use empirical analysis to quantify the predominance of these strategies.

Although they focus on different aspects of the GCF Repo Service, the two papers are complementary. This is because the strategies that dealers follow in trading GCF Repos are influenced by the clearance and settlement procedures in place. Furthermore, when gauging the risks of potential changes to the clearance and settlement of GCF Repo, it is important to take into account how GCF Repos are traded. Consequently, the papers are presented jointly so as to encourage readers to become familiar with both aspects of the GCF Repo Service.

Keywords: triparty repo reforms, financial intermediation

JEL Classification: E42, E58, G23, G28

Suggested Citation

Agueci, Paul and Alkan, Leyla and Copeland, Adam M. and Davis, Isaac and Martin, Antoine and Pingitore, Kate and Prugar, Caroline and Rivas, Tyisha, A Primer on the GCF Repo® Service (April 1, 2014). FRB of New York Staff Report No. 671, Available at SSRN: https://ssrn.com/abstract=2430966 or http://dx.doi.org/10.2139/ssrn.2430966

Paul Agueci

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

Leyla Alkan

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

Adam M. Copeland (Contact Author)

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

Isaac Davis

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)

Kate Pingitore

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

33 Liberty Street
New York, NY 10045
United States

Caroline Prugar

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

Tyisha Rivas

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

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