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Journal Article
Special repo rates: an introduction
Fisher, Mark (2002-04)
Transactions involving repurchase agreements (known as repos and reverses) are important tools the Federal Reserve uses in implementing monetary policy. By undertaking such transactions with primary dealers, the Fed can temporarily increase or decrease the quantity of reserves in the banking system. The focus of this article is the repo market, especially the role the market plays in the financing and hedging activities of primary dealers. The author explains the close relation between the price premium that newly auctioned, or on-the-run, Treasury securities command and the special repo ...
Economic Review , Volume 87 , Issue Q2 , Pages 27-43

Monograph
Instruments of the money market
Cook, Timothy Q.; LaRoche, Robert K. (1993)
Monograph

Speech
More lessons from the crisis
Dudley, William (2009)
Remarks at the Center for Economic Policy Studies (CEPS) Symposium, Princeton, New Jersey.
Speech , Paper 5

Report
Expected repo specialness costs and the Treasury auction cycle
Keane, Frank M. (1995)
Repo rates for the most recently issued or "on-the-run" securities often diverge from general repo rates. The purpose of this study is to convey that relatively sizable divergences in repo rates for on-the-run issues are normal repeating events for the Treasury market, rather than evidence of abnormal circumstances. The costs associated with these repo market premia are small for short holding periods and are sometimes offset by gains from declining cash market premia for longer holding periods. Moreover, repo specialness costs seem small when considered against the alternative of not ...
Research Paper , Paper 9504

Report
Liquidity and leverage
Adrian, Tobias; Shin, Hyun Song (2008)
In a financial system in which balance sheets are continuously marked to market, asset price changes appear immediately as changes in net worth, prompting financial intermediaries to adjust the size of their balance sheets. We present evidence that marked-to-market leverage is strongly procyclical and argue that such behavior has aggregate consequences. Changes in dealer repurchase agreements (repos) -the primary margin of adjustment for the aggregate balance sheets of intermediaries - forecast changes in financial market risk as measured by the innovations in the Chicago Board Options ...
Staff Reports , Paper 328

Report
Buybacks in Treasury cash and debt management
Rutherford, Matthew; Garbade, Kenneth D. (2007)
This paper examines the use of buybacks in Treasury cash and debt management. We review the mechanics and results of the buyback operations conducted in 2000-01, during a time of budget surpluses, and assess the prospective use of buybacks in the absence of a surplus. Possible future applications include (i) managing the liquidity of the new-issue markets when deficits are declining (by allowing Treasury officials to postpone a decision to discontinue a series without also being compelled to shrink new-issue sizes); (ii) actively promoting the liquidity of the new-issue markets (by ...
Staff Reports , Paper 304

Monograph
Instruments of the money market (foreword)
Cook, Timothy Q.; LaRoche, Robert K. (1993)
Monograph

Journal Article
An examination of Treasury term investment interest rates
Hrung, Warren B. (2007-03)
In November 2003, the Term Investment Option (TIO) program became an official cash management tool of the U.S. Treasury Department. Through TIO, the Treasury lends funds to banks for a set number of days at an interest rate determined by a single-rate auction. One reason why the Treasury introduced TIO was to try to earn a market rate of return on its excess cash balances. This article studies 166 TIO auctions from November 2003 to February 2006 to determine how TIO interest rates have compared with market rates. The author investigates the spread between TIO rates and rates on ...
Economic Policy Review , Volume 13 , Issue Mar , Pages 19-32

Report
The tri-party repo market before the 2010 reforms
Walker, Michael; Copeland, Adam; Martin, Antoine (2010)
This paper provides a descriptive and quantitative account of the tri-party repo market before the reforms proposed in 2010 by the Task Force on Tri-Party Repo Infrastructure (Task Force 2010). We provide an extensive description of the mechanics of this market. We also use data from July 2008 to early 2010 to document quantitative features of the market. We find that both the level of haircuts and the amount of funding were surprisingly stable in this market. The stability of the margins is in contrast to evidence from other repo markets. Perhaps surprisingly, the data reveal relatively few ...
Staff Reports , Paper 477

Working Paper
Liquidity Regulation and Financial Intermediaries
Macchiavelli, Marco; Pettit, Luke (2018-12-06)
We document several effects of the Liquidity Coverage Ratio (LCR) rule on dealers' financing and intermediation of securities. For identification, we exploit the fact that the US implementation is more stringent than that in foreign jurisdictions. In line with LCR incentives, US dealers reduce their reliance on repos as a way to finance inventories of high-quality assets and increase the maturity of lower-quality repos relative to foreign dealers; additionally, US dealers cut back on trades that downgrade their own collateral. Dealers are nevertheless still providing significant maturity ...
Finance and Economics Discussion Series , Paper 2018-084

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