Discussion Paper

Mapping and Sizing the U.S. Repo Market


Abstract: The U.S. repurchase agreement (repo) market is a large financial market where participants effectively provide collateralized loans to one another. This market played a central role in the recent financial crisis; for example, both Bear Stearns and Lehman Brothers experienced problems borrowing in this market in the period leading up to their collapse. Unfortunately, comprehensive and detailed data on this market are not available. Rather, data exist for certain segments of the repo market or for specific firms that operate in this market (see this recent New York Fed staff report). The spotty data make it difficult to understand the U.S. repo market as a whole and the relative importance of its different segments. In this post, we draw upon various data sources and market knowledge to provide a map of the U.S. repo market and to estimate its size. We argue that our estimate improves upon the $10 trillion estimate of Gorton and Metrick, which has received substantial press coverage.

Keywords: tri-party repos; Repo;

JEL Classification: G1;

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Bibliographic Information

Provider: Federal Reserve Bank of New York

Part of Series: Liberty Street Economics

Publication Date: 2012-06-25

Number: 20120625