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Repo runs: evidence from the tri-party repo market

  • Copeland, Adam

    (Federal Reserve Bank of New York)

  • Martin, Antoine

    (Federal Reserve Bank of New York)

  • Walker, Michael

    ()

    (University of California, Berkeley)

The repo market has been viewed as a potential source of financial instability since the 2007-09 financial crisis, owing in part to findings that margins increased sharply in a segment of this market. This paper provides evidence suggesting that no system-wide run on repo occurred. Using confidential data on tri-party repo, a major segment of this market, we show that the level of margins and the amount of funding were surprisingly stable for most borrowers during the crisis. However, we also document a sharp decline in the tri-party repo funding of Lehman in September 2008.

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Paper provided by Federal Reserve Bank of New York in its series Staff Reports with number 506.

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Length: 55 pages
Date of creation: 2011
Date of revision: 01 Aug 2014
Handle: RePEc:fip:fednsr:506
Note: For a published version of this report, see Adam Copeland, Antoine Martin, and Michael Walker, "Repo Runs: Evidence from the Tri-Party Repo Market," Journal of Finance 69, no. 6 (December 2014): 2343-80.
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  1. Adam Copeland & Antoine Martin & Michael Walker, 2010. "The tri-party repo market before the 2010 reforms," Staff Reports 477, Federal Reserve Bank of New York.
  2. Arvind Krishnamurthy & Stefan Nagel & Dmitry Orlov, 2012. "Sizing Up Repo," NBER Working Papers 17768, National Bureau of Economic Research, Inc.
    • Arvind Krishnamurthy & Stefan Nagel & Dmitry Orlov, 2014. "Sizing Up Repo," Journal of Finance, American Finance Association, vol. 69(6), pages 2381-2417, December.
  3. Tobias Adrian & Hyun Song Shin, 2008. "Liquidity and leverage," Staff Reports 328, Federal Reserve Bank of New York.
  4. Kenneth D. Garbade, 2006. "The evolution of repo contracting conventions in the 1980s," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 27-42.
  5. Markus K. Brunnermeier & Lasse Heje Pedersen, 2009. "Market Liquidity and Funding Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
  6. Michael J. Fleming & Warren B. Hrung & Frank M. Keane, 2010. "Repo Market Effects of the Term Securities Lending Facility," American Economic Review, American Economic Association, vol. 100(2), pages 591-96, May.
  7. Antoine Martin & David R. Skeie & Ernst-Ludwig Von Thadden, 2010. "Repo runs," Staff Reports 444, Federal Reserve Bank of New York.
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