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Why Repo Matters: Repo markets, once viewed as a relatively mundane utility within the financial system architecture, are the subject of growing public interest in “shadow” banking. Repos have provided a policy mechanism for central banks to support market liquidity; have played a role in illiquidity-driven asset value deterioration during periods of market stress, particularly for structured finance; and were central to several high-profile incidences of financial institution distress and, in some cases, failure. A recent rise in repos backed by distressed structured finance collateral (see “Top Repo Collateral” text box) is a potential risk factor for this market and its participants.
Study of U.S. Triparty Market: Despite the systemic importance of repo markets, granular information about haircut, collateral, and counterparty trends is relatively scarce. To help fill that gap, this study analyzes transaction-level trends for U.S. prime money market fund (MMF) and dealer activites in the U.S. triparty repo market since the second half of 2006. The $1.6 trillion U.S. triparty repo market enables financial institutions (repo borrowers) to fund their securities holdings and U.S. money market funds (repo lenders) to invest on a short-term secured basis. The triparty repo market is U.S.-centric but globally important, given the participation by large international banks (including several European institutions) and the broad swath of assets financed in this market. This study could help to inform further analysis and benchmarking of collateral, haircut, and counterparty risk-management practices across other major repo markets (e.g. U.S. and European bilateral) and facilities (e.g. central bank).
Credit Market Implications: Disruptions in repo markets could negatively affect financial institutions, which may face funding challenges given the risk aversion of MMFs as repo lenders.
For MMFs, transactions backed by less liquid securities are vulnerable to market distress, as valuation declines would undermine collateralization for the remaining term of the repo. Repo market disruptions could also impair the liquidity and valuation of assets that lose acceptance as collateral, affecting not only repo market participants, but also cash investors that take long positions without deploying leverage.