Repurchase Agreements with Negative Interest Rates

7 Pages Posted: 4 Oct 2004

See all articles by Michael J. Fleming

Michael J. Fleming

Federal Reserve Bank of New York

Kenneth Garbade

Federal Reserve Bank of New York

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.

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

JEL Classification: G28, G18, H63

Suggested Citation

Fleming, Michael J. and Garbade, Kenneth, Repurchase Agreements with Negative Interest Rates. Available at SSRN: https://ssrn.com/abstract=599907

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

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