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Reference Guide to U.S. Repo and Securities Lending Markets

Author

Listed:
  • Viktoria Baklanova

    () (Office of Financial Research)

  • Adam Copeland

    () (Federal Reserve Bank of New York)

  • Rebecca McCaughrin

    () (Office of Financial Research)

Abstract

This paper is intended to serve as a reference guide on U.S. repo and securities lending markets. It begins by presenting the institutional structure, describing the market landscape, the role of the participants, and other characteristics, including how repo and securities lending activity has changed since the 2007-09 financial crisis. The paper then discusses vulnerabilities in the repo and short-term wholesale funding markets and efforts to limit potential systemic risks. It next provides an overview of existing data sources on securities financing markets, and highlights specific shortcomings related to data standards and data quality. Lastly, the authors discuss a near-term agenda to help fill some of the data gaps in repo and securities lending markets.

Suggested Citation

  • Viktoria Baklanova & Adam Copeland & Rebecca McCaughrin, 2015. "Reference Guide to U.S. Repo and Securities Lending Markets," Working Papers 15-17, Office of Financial Research, US Department of the Treasury.
    • Handle: RePEc:ofr:wpaper:15-17
    as

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    File URL: https://financialresearch.gov/working-papers/files/OFRwp-2015-17_Reference-Guide-to-U.S.-Repo-and-Securities-Lending-Markets.pdf
    File Function: First version, 2015
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    References listed on IDEAS

    as
    1. Arvind Krishnamurthy & Stefan Nagel & Dmitry Orlov, 2014. "Sizing Up Repo," Journal of Finance, American Finance Association, vol. 69(6), pages 2381-2417, December.
    2. Fleming, Michael J. & Garbade, Kenneth D., 2007. "Dealer behavior in the specials market for US Treasury securities," Journal of Financial Intermediation, Elsevier, vol. 16(2), pages 204-228, April.
    3. Adam Copeland & Antoine Martin & Michael Walker, 2014. "Repo Runs: Evidence from the Tri-Party Repo Market," Journal of Finance, American Finance Association, vol. 69(6), pages 2343-2380, December.
    4. Duffie, Darrell, 1996. " Special Repo Rates," Journal of Finance, American Finance Association, vol. 51(2), pages 493-526, June.
    5. Reena Aggarwal & Pedro A. C. Saffi & Jason Sturgess, 2015. "The Role of Institutional Investors in Voting: Evidence from the Securities Lending Market," Journal of Finance, American Finance Association, vol. 70(5), pages 2309-2346, October.
    6. Viral V. Acharya & T. Sabri Öncü, 2013. "A Proposal for the Resolution of Systemically Important Assets and Liabilities: The Case of the Repo Market," International Journal of Central Banking, International Journal of Central Banking, vol. 9(1), pages 291-351, January.
    7. Gorton, Gary & Metrick, Andrew, 2012. "Securitized banking and the run on repo," Journal of Financial Economics, Elsevier, vol. 104(3), pages 425-451.
    8. Viral V. Acharya & T. Sabri Öncü, 2013. "A Proposal for the Resolution of Systemically Important Assets and Liabilities: The Case of the Repo Market," World Scientific Book Chapters,in: The Social Value of the Financial Sector Too Big to Fail or Just Too Big?, chapter 10, pages 159-214 World Scientific Publishing Co. Pte. Ltd..
    9. Zoltan Pozsar, 2014. "Shadow Banking: The Money View," Working Papers 14-04, Office of Financial Research, US Department of the Treasury.
    10. Frank M. Keane, 2013. "Securities loans collateralized by cash: reinvestment risk, run risk, and incentive issues," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 19(May).
    11. Agueci, Paul & Alkan, Leyla & Copeland, Adam & Davis, Isaac & Martin, Antoine & Pingitore, Kate & Prugar, Caroline & Rivas, Tyisha, 2014. "A primer on the GCF Repo® Service," Staff Reports 671, Federal Reserve Bank of New York, revised 01 May 2014.
    12. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Jieshuang He, 2016. "Endogenous Bank Networks and Contagion," Caepr Working Papers 2016-005 Classification-D, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
    2. Ravi Kashyap, 2016. "Securities Lending Strategies: Exclusive Valuations and Auction Bids," Papers 1603.00987, arXiv.org, revised Oct 2018.
    3. Meraj Allahrakha & Benjamin Munyan, 2016. "Do Higher Capital Standards Always Reduce Bank Risk? The Impact of the Basel Leverage Ratio on the U.S. Triparty Repo Market," Working Papers 16-11, Office of Financial Research, US Department of the Treasury.
    4. Alyssa G. Anderson & John Kandrac, 2016. "Monetary Policy Implementation and Private Repo Displacement : Evidence from the Overnight Reverse Repurchase Facility," Finance and Economics Discussion Series 2016-096, Board of Governors of the Federal Reserve System (US).
    5. Christoph Aymanns & Co-Pierre Georg & Benjamin Golub, 2017. "Illiquidity spirals in Coupled Over-The-Counter Markets," Working Papers on Finance 1810, University of St. Gallen, School of Finance.
    6. repec:eee:jfinin:v:34:y:2018:i:c:p:3-16 is not listed on IDEAS

    More about this item

    Keywords

    Repurchase Agreements; Repos; Securities Lending; Wholesale Funding;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • L10 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - General

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