An Empirical Analysis of the Gcf Repo® Service

13 Pages Posted: 16 Dec 2016 Last revised: 16 Dec 2017

See all articles by Adam M. Copeland

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

Date Written: 2015

Abstract

This article examines how dealers use the GCF Repo service. It begins by explaining the strategies that dealers employ when trading GCF Repo and then uses empirical analysis to quantify the predominance of these strategies. Looking across all dealers and all days, the study finds that on an average day, at least 23 percent of dealers focus on strategies to raise cash and at least 20 percent focus on managing their inventory of securities. This activity involves using GCF Repo to both exclusively source collateral and perform collateral swaps.

Keywords: GCF Repo, tri-party repo reforms, financial intermediation

JEL Classification: E42, E58, G23, G28

Suggested Citation

Copeland, Adam M. and Davis, Isaac and Martin, Antoine, An Empirical Analysis of the Gcf Repo® Service (2015). Economic Policy Review, Issue 2, pp. 25-37, 2015, Available at SSRN: https://ssrn.com/abstract=2886333

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)

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