Search Results
Discussion Paper
Are Higher Haircuts Better? A Paradox
McAndrews, James J.; Martin, Antoine; McLaughlin, Susan; Begalle, Brian; Copeland, Adam
(2013-08-19)
Repurchase agreement (repo) markets played an important role in the 2007-09 financial crisis in the United States, and much discussion since then has focused on the role of repo haircuts. A repo is essentially a loan collateralized by securities. Typically, the value of the securities exceeds the value of the loan and the amount of overcollateralization corresponds to the haircut. In a 2010 paper, Yale?s Gary Gorton and Andy Metrick identified a dramatic increase in haircuts in the bilateral segment of the repo market, which they interpreted as a run on repo. Separately, an industry task ...
Liberty Street Economics
, Paper 20130819
Working Paper
Monetary Policy Implementation and Private Repo Displacement : Evidence from the Overnight Reverse Repurchase Facility
Kandrac, John; Anderson, Alyssa G.
(2016-10-31)
In recent years, the scale and scope of major central banks' intervention in financial markets has expanded in unprecedented ways. In this paper, we demonstrate how monetary policy implementation that relies on such intervention in financial markets can displace private transactions. Specifically, we examine the experience with the Federal Reserve's newest policy tool, known as the overnight reverse repurchase (ONRRP) facility, to understand its effects on the repo market. Using exogenous variation in the parameters of the ONRRP facility, we show that participation in the ONRRP comes from ...
Finance and Economics Discussion Series
, Paper 2016-096
Working Paper
Overnight RRP Operations as a Monetary Policy Tool: Some Design Considerations
Frost, Josh; Logan, Lorie; Martin, Antoine; McCabe, Patrick E.; Natalucci, Fabio M.; Remache, Julie
(2015-02-19)
We review recent changes in monetary policy that have led to development and testing of an overnight reverse repurchase agreement (ON RRP) facility, an innovative tool for implementing monetary policy during the normalization process. Making ON RRPs available to a broad set of investors, including nonbank institutions that are significant lenders in money markets, could complement the use of the interest on excess reserves (IOER) and help control short-term interest rates. We examine some potentially important secondary effects of an ON RRP facility, both positive and negative, including ...
Finance and Economics Discussion Series
, Paper 2015-10
Working Paper
Collateral Runs
Vardoulakis, Alexandros; Infante, Sebastian
(2018-04-04)
This paper models an unexplored source of liquidity risk faced by large broker-dealers: collateral runs. By setting different contracting terms on repurchase agreements with cash borrowers and lenders, dealers can source funds for their own activities. Cash borrowers internalize the risk of losing their collateral in case their dealer defaults, prompting them to withdraw it. This incentive creates strategic complementarities for counterparties to withdraw their collateral, reducing a dealer's liquidity position and compromising her solvency. Collateral runs are markedly different than ...
Finance and Economics Discussion Series
, Paper 2018-022
Working Paper
The Regulatory and Monetary Policy Nexus in the Repo Market
Senyuz, Zeynep; Anbil, Sriya
(2018-04-17)
We examine the interaction of regulatory reforms and changes in monetary policy in the U.S. repo market. Using a proprietary data set of repo transactions, we find that differences in regional implementation of Basel III capital reforms intensified European dealers' window-dressing by 80%. Money funds eligible to use the Fed's reverse repo (RRP) facility cut their private lending almost by half and instead lent to the Fed when European dealers withdraw, contributing to smooth implementation of Basel III. In a difference-in-differences setting, we show that ineligible funds lent 15% less to ...
Finance and Economics Discussion Series
, Paper 2018-027
Working Paper
Securities Financing and Asset Markets: New Evidence
Breach , Tomas; King, Thomas B.
(2018-11-27)
This paper presents new evidence on bilateral securities financing based on the Federal Reserve's Senior Credit Officer Opinion Survey, which was launched in the wake of the financial crisis to provide a window into this otherwise opaque market. The survey asks large broker-dealers about terms at which they fund client positions, and the demand for such funding, across several different collateral types. Within asset classes, reported changes in spreads, haircuts, and other financing terms move closely together, and we show that they also covary with the state of the underlying cash ...
Working Paper Series
, Paper WP-2018-22
Report
Repo and securities lending
Martin, Antoine; Begalle, Brian; Adrian, Tobias; Copeland, Adam
(2012-12-01)
We provide an overview of the data required to monitor repo and securities lending markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets and argue that it is crucial to understand the institutional arrangements. Data collection is currently incomplete. A comprehensive collection would include, at a minimum, six characteristics of repo and securities lending trades at the firm level: principal amount, interest rate, collateral type, haircut, tenor, and counterparty.
Staff Reports
, Paper 529
Report
Reference guide to U.S. repo and securities lending markets
Copeland, Adam; McCaughrin, Rebecca; Baklanova, Viktoria
(2015-09-01)
This paper is intended to serve as a reference guide on U.S. repo and securities lending markets. It begins by presenting the institutional structure, and then describes the market landscape, the role of the participants, and other characteristics, including how repo and securities lending activity has changed since the 2007-09 financial crisis. The paper then discusses vulnerabilities in the repo and short-term wholesale funding markets and the efforts to limit potential systemic risks. It next provides an overview of existing data sources on securities financing markets and highlights ...
Staff Reports
, Paper 740
Working Paper
Emergency Collateral Upgrades
Macchiavelli, Marco; Carlson, Mark A.
(2018-11-15)
During the 2008-09 financial crisis, the Federal Reserve established two emergency facilities for broker-dealers. One provided collateralized loans. The other lent securities against a pledge of other securities, effectively providing collateral upgrades, an operation similar to activities traditionally undertaken by broker-dealers. We find that these facilities alleviated dealers' funding pressures when access to repos backed by illiquid collateral deteriorated. We also find that dealers used the facilities, especially the ability to upgrade collateral, to continue funding their own illiquid ...
Finance and Economics Discussion Series
, Paper 2018-078
Report
Repo Intermediation and Central Clearing: An Analysis of Sponsored Repo
Copeland, Adam; Kahn, R. Jay
(2024-12-01)
This paper evaluates the salient forces behind a dealer-intermediary’s decision to move a bilateral repo transaction with a customer into central clearing. We provide evidence that dealers turn to sponsored repo on occasions when balance sheet space is scarce, such as when there is a large issuance of Treasury coupon securities and end-of-month dates. We also find that sponsored repo spreads tend to be affected by a range of factors, with the three largest drivers being money market fund assets, a proxy for hedge fund demand for repo funding, and end-of-month dates.
Staff Reports
, Paper 1140
FILTER BY year
FILTER BY Bank
Federal Reserve Bank of New York 19 items
Board of Governors of the Federal Reserve System (U.S.) 12 items
Federal Reserve Bank of Chicago 2 items
Federal Reserve Bank of Atlanta 1 items
Federal Reserve Bank of Dallas 1 items
FILTER BY Series
Finance and Economics Discussion Series 12 items
Staff Reports 9 items
Liberty Street Economics 7 items
Economic Policy Review 2 items
Working Paper Series 2 items
Dallas Fed Economics 1 items
Policy Hub 1 items
Speech 1 items
show more (3)
show less
FILTER BY Content Type
Working Paper 14 items
Report 9 items
Discussion Paper 7 items
Journal Article 3 items
Speech 1 items
FILTER BY Author
Copeland, Adam 12 items
Martin, Antoine 8 items
Infante, Sebastian 5 items
Baklanova, Viktoria 3 items
Cipriani, Marco 3 items
Logan, Lorie 3 items
Bayeux, Kathryn 2 items
Begalle, Brian 2 items
Caglio, Cecilia R. 2 items
Choi, Mark 2 items
Clark, Kevin 2 items
Frost, Josh 2 items
Goldberg, Linda S. 2 items
Kahn, R. Jay 2 items
Kahn, Robert Jay 2 items
Lerman, Robert 2 items
McCabe, Patrick E. 2 items
McCormick, Matthew 2 items
Natalucci, Fabio M. 2 items
Remache, Julie 2 items
Senyuz, Zeynep 2 items
Sherman, Scott 2 items
Solimine, Brett 2 items
Adrian, Tobias 1 items
Altman, Alexandra 1 items
Anbil, Sriya 1 items
Anderson, Alyssa G. 1 items
Barsky, Robert 1 items
Bogusz, Theodore 1 items
Breach , Tomas 1 items
Cambron, Alyssa 1 items
Carlson, Mark A. 1 items
Davis, Isaac 1 items
Dunne, Peter G. 1 items
Easton, Matthew 1 items
Fleming, Michael J. 1 items
Huh, Yesol 1 items
Kahn, Charles M. 1 items
Kandrac, John 1 items
Keane, Frank M. 1 items
King, Thomas B. 1 items
Klee, Elizabeth C. 1 items
LeSueur, Eric 1 items
Macchiavelli, Marco 1 items
McAndrews, James J. 1 items
McCaughrin, Rebecca 1 items
McLaughlin, Susan 1 items
Monnet, Cyril 1 items
Narajabad, Borghan N. 1 items
Paddrik, Mark 1 items
Porter, Burt 1 items
Quinn, Stephen F. 1 items
Ravazzolo, Fabiola 1 items
Ravazzolo, Francesco 1 items
Riordan, Will 1 items
Roberds, William 1 items
Saravay, Zack 1 items
Selig, Ira 1 items
Tarascina, Anya 1 items
Tase, Manjola 1 items
Taylor, Benjamin 1 items
Vardoulakis, Alexandros 1 items
Wessel, Timothy 1 items
Yoldas, Emre 1 items
Yorulmazer, Tanju 1 items
Zholos, Andrey 1 items
show more (61)
show less
FILTER BY Jel Classification
G23 9 items
E52 7 items
E58 6 items
G1 6 items
G12 6 items
E44 5 items
G01 5 items
G24 5 items
G28 4 items
E43 3 items
G10 3 items
G11 3 items
G21 3 items
C32 2 items
E51 2 items
F33 2 items
F34 2 items
G18 2 items
G2 2 items
G20 2 items
C72 1 items
C78 1 items
D53 1 items
E4 1 items
E41 1 items
E42 1 items
E49 1 items
E53 1 items
E63 1 items
G00 1 items
G14 1 items
G19 1 items
G1;G2 1 items
G33 1 items
L10 1 items
N20 1 items
show more (31)
show less
FILTER BY Keywords
repo 20 items
Repo 15 items
liquidity 5 items
Monetary policy 4 items
monetary policy 4 items
securities lending 4 items
Collateral 3 items
Federal Reserve Board and Federal Reserve System 3 items
Commercial paper 2 items
Federal Reserve 2 items
Federal Reserve lending facilities 2 items
Money market mutual funds 2 items
Rehypothecation 2 items
adverse selection 2 items
dollar 2 items
haircut 2 items
haircuts 2 items
interest on excess reserves 2 items
money market funds 2 items
money markets 2 items
overnight RRP 2 items
reverse repos 2 items
swap line 2 items
systemic risk 2 items
Asset-backed commercial paper 1 items
Bargaining 1 items
Basel III regulations 1 items
Bilateral matching 1 items
COVID-19 1 items
Central Bank Swap Lines 1 items
Dealer 1 items
Dealers 1 items
Default 1 items
Demand segmentation 1 items
Directed search 1 items
Dollar swap lines 1 items
Eurodollar 1 items
FIMA Repo Facility 1 items
Fed funds 1 items
Federal Reserve Board 1 items
Federal Reserve System 1 items
Federal funds 1 items
Financial crisis 1 items
Financial services and intermediation 1 items
GARCH models 1 items
GC 1 items
Lender of last resort 1 items
Liquidity 1 items
Market liquidity 1 items
Over-the-counter market 1 items
Private money 1 items
Re-use 1 items
Reference Rate 1 items
Rent 1 items
Reverse repo facility 1 items
Runs 1 items
Safe assets 1 items
Security lending 1 items
Specialness 1 items
Specials 1 items
Treasury 1 items
U.S. Treasury market 1 items
VAR models 1 items
Wholesale funding 1 items
active 1 items
announcements 1 items
bankruptcy 1 items
belief disagreements 1 items
central bank 1 items
central clearing 1 items
collateral 1 items
competitiveness 1 items
concentration 1 items
conditions 1 items
facilities 1 items
financial 1 items
financial crises 1 items
financial crisis 1 items
funding 1 items
intra-day timing 1 items
leverage cycles 1 items
margins 1 items
markets 1 items
overnight money markets 1 items
pandemic 1 items
passive 1 items
prime brokerage 1 items
reference rates 1 items
regulation 1 items
rehypothecation 1 items
reserves management 1 items
reverse repo 1 items
risk 1 items
shocks 1 items
sponsored services 1 items
tri-party repos 1 items
show more (91)
show less