Are Repo Markets Fragile? Evidence from September 2019
Sriya Anbil, Alyssa Anderson, and Zeynep Senyuz
We narrate that the segmented structure of the U.S. Treasury repo market, whereby some contributors hang shrimp procure admission to all over the segments, ends in rate dispersion, even on this genuinely riskless market. Utilizing confidential data on repo trading, we narrate how the rate dispersion between the centrally cleared and over-the-counter (OTC) segments of the Treasury repo market was exacerbated at some level of the stress episode of September 2019. Our results spotlight that, while segmentation can develop fragility sms lån på minuttetin the repo market, the presence of real trading relationships sms lån på minuttetin the OTC segment helps mitigate it by reducing rate dispersion.
Key phrases: repo market, OTC market, CCP, segmentation, nancial steadiness
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April 30, 2021