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Have Dealers' Strategies in the GCF Repo® Market Changed?

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Abstract

In a previous post, ?Mapping and Sizing the U.S. Repo Market,? our colleagues described the structure of the U.S. repurchase agreement (repo) market. In this post, we consider whether recent regulatory changes have changed the behavior of securities broker-dealers, who play a significant role in repo markets. We focus on the General Collateral Finance (GCF) Repo market, an interdealer market primarily using U.S. Treasury and agency securities as collateral. We find that some dealers use GCF Repo as a substantial source of funding for their inventories, while others primarily use GCF Repo to fine-tune their repo positions. Recent regulatory changes, such as the supplementary leverage ratio (SLR), may be contributing to reduced lending in the GCF Repo market.

Suggested Citation

  • Nina Boyarchenko & Thomas M. Eisenbach & Or Shachar, 2015. "Have Dealers' Strategies in the GCF Repo® Market Changed?," Liberty Street Economics 20150720, Federal Reserve Bank of New York.
  • Handle: RePEc:fip:fednls:87048
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    Cited by:

    1. Allahrakha, Meraj & Cetina, Jill & Munyan, Benjamin, 2018. "Do higher capital standards always reduce bank risk? The impact of the Basel leverage ratio on the U.S. triparty repo market," Journal of Financial Intermediation, Elsevier, vol. 34(C), pages 3-16.

    More about this item

    Keywords

    GCF repo; supplementary leverage ratio;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services

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