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Author:Alkan, Leyla 

Journal Article
The financial plumbing of the GCF Repo® Service
The authors describe the ways that intraday credit was used to facilitate the settlement of trades before reforms to the tri-party repo settlement system. In particular, they focus on two main processes: the end-of-day settlement and the morning unwind. The authors then describe why this extension of intraday credit by the clearing banks is problematic, specifically pointing to concerns that a clearing bank may not be able to absorb the impact of a failing dealer. The authors also discuss various reforms to the tri-party repo settlement process, which, they note, are likely to influence the costs of settling GCF Repo transactions.
AUTHORS: Agueci, Paul; Prugar, Caroline; Alkan, Leyla; Rivas, Tyisha; Copeland, Adam; Pingitore, Kate
DATE: 2015

Discussion Paper
Magnifying the Risk of Fire Sales in the Tri-Party Repo Market
The fragility inherent in the tri-party repo market came to light during the 2008-09 financial crisis. One of the main vulnerabilities is the risk of fire sales, which can be enhanced by the response of some investors to stress events. Money market mutual funds (MMFs) and the agents investing cash collateral obtained from securities lending (SLs) are thought to behave, in times of stress, in ways that exacerbate fire-sale risks in the tri-party repo market. Based on detailed investor data, we find that MMFs and SLs constitute almost half of the investor market, making it crucial for tri-party repo participants and regulators to account for MMF and SL investment behavior when considering how to mitigate the risk of fire sales.
AUTHORS: Vic Chakrian; Davis, Isaac; Copeland, Adam; Alkan, Leyla; Martin, Antoine
DATE: 2013-07-17

Report
A primer on the GCF Repo® Service
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. {{p}} 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. {{p}} 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. {{p}} 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.
AUTHORS: Agueci, Paul; Alkan, Leyla; Copeland, Adam; Davis, Isaac; Martin, Antoine; Pingitore, Kate; Prugar, Caroline; Rivas, Tyisha
DATE: 2014-04-01

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