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The U.S. Bilateral Repo Market: Lessons from a New Survey

Author

Listed:
  • Viktoria Baklanova

    (Office of Financial Research)

  • Cecilia Caglio

    (Board of Governors of the Federal Reserve)

  • Marco Cipriani

    (Federal Reserve Bank of New York)

  • Adam Copeland

    (Federal Reserve Bank of New York)

Abstract

We provide aggregate statistics on U.S. dealers' bilateral repurchase agreements and economically equivalent securities lending activities. The data were collected from the U.S.-affiliated securities dealers of nine bank holding companies under a voluntary pilot program run by the Office of Financial Research (OFR) and the Federal Reserve System with input from the Securities and Exchange Commission. We found that the majority of this activity involves the delivery or receipt of U.S. Treasuries, with equities a distant second. The most common maturity is one day. Finally, rates are widely dispersed across asset classes.

Suggested Citation

  • Viktoria Baklanova & Cecilia Caglio & Marco Cipriani & Adam Copeland, 2016. "The U.S. Bilateral Repo Market: Lessons from a New Survey," Briefs 16-01, Office of Financial Research, US Department of the Treasury.
    • Handle: RePEc:ofr:briefs:16-01
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    File URL: https://financialresearch.gov/briefs/files/OFRbr-2016-01_US-Bilateral-Repo-Market-Lessons-from-Survey.pdf
    File Function: First version, 2016
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    Citations

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    Cited by:

    1. Bluhm, Marcel, 2018. "Persistent liquidity shocks and interbank funding," Journal of Financial Stability, Elsevier, vol. 36(C), pages 246-262.
    2. Office of Financial Research (ed.), 2016. "2016 Financial Stability Report," Reports, Office of Financial Research, US Department of the Treasury, number 16-3.
    3. Flood, M. D. & Jagadish, H. V. & Raschid, L., 2016. "Big data challenges and opportunities in financial stability monitoring," Financial Stability Review, Banque de France, issue 20, pages 129-142, April.
    4. Sriya Anbil & Alyssa G. Anderson & Zeynep Senyuz, 2021. "Are Repo Markets Fragile? Evidence from September 2019," Finance and Economics Discussion Series 2021-028, Board of Governors of the Federal Reserve System (U.S.).

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