Copeland, Adam M.
[Verfasser:in]
;
Martin, Antoine
[Sonstige Person, Familie und Körperschaft];
Walker, Michael
[Sonstige Person, Familie und Körperschaft]
Erschienen in:FRB of New York Staff Report ; No. 477
Umfang:
1 Online-Ressource (83 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.1719105
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 1, 2010 erstellt
Beschreibung:
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 signs of stress in the market for dealers other than Lehman Brothers, on which we provide some evidence. This suggests that runs in the tri-party repo market may occur precipitously, like traditional bank runs, rather than manifest themselves as large increases in margins