2,886,660 research outputs found
Repo Market Microstructure in Unusual Monetary Policy Conditions
No full textThe financial turmoil that began in mid-2007 produced severe stress in interbank markets and prompted significant changes in central banks’ funding operations. We examine the changing characteristics of ECB official interventions through the crisis and assess how they affected the efficiency and reliability of the secondary repo market as a mechanism for the distribution of interbank funding. The limit orderbook from the BrokerTec electronic repo trading platform is reconstructed to provide a range of indicators of participating banks’ aversion to the risk of failing to fund their liquidity needs. These indicators anticipate similar variables from ECB reverse repo auctions and are also affected by surprise outcomes of auctions.Repo, Financial crisis, liquidity, market microstructure, monetary policy operations
Bidding Behavior in the SNB's Repo Auctions
No full textThe Swiss National Bank (SNB) provides reserves to market participants via fixed rate tender auctions. We analyze the banks' bidding behavior and identify the determinants for the decision to participate as well as on the amount to tender. Therefore, we estimate bidding functions for banks which participate regularly in the SNB's auctions. We find that a bank's bids from the previous day and the amount of maturing repo operations with the SNB have for most banks a significant effect. The autonomous factors (government balances at the SNB and currency in circulation) are of only minor importance. A further determinant of the bidding behavior is the attractiveness of the SNB's auction rate compared to the prevailing interbank market repo rate. The spread of unsecured and repo rates as well as the attractiveness of funding Euros indirectly via a Swiss franc repo transaction with the SNB are only for few banks significant. Further, the question is addressed whether the bidding behavior changed in the financial market crisis of 2007/2008. There is little evidence of a systematic change in bidding behavior in the crisis. This results from the fact that the SNB has addressed the volatile demand for reserves in the crisis with overnight fine-tuning operations.Open Market Operations, Bidding Behavior, FixedRate Tender Auction, Repo, Switzerland
The evolution of repo contracting conventions in the 1980s
No full textContracting conventions for repurchase agreements, or repos, changed significantly in the 1980s. The growth of the repo market, new uses for repos, and the emergence of new and previously unappreciated risks prompted market participants to revise their contracting conventions. This article describes the evolution of the conventions during that period, focusing on three key developments: the recognition of accrued interest on repo securities, a change in the application of federal bankruptcy law to repos, and the accelerated growth of a new form of repo-tri-party repo. The author argues that the emergence of tri-party repo owed to the efforts of individual market participants acting in their own economic self-interest. By comparison, recognition of accrued interest and the change in bankruptcy law were effected, respectively, by participants taking collective action and seeking legislative relief because uncoordinated, individual solutions would have been more costly. These developments offer important insights into how markets operate: contracting conventions that are efficient in one market environment may have to be revised when the environment changes, and institutional arrangements can change in any number of ways.Repurchase agreements ; Contracts
Repo markets, counterparty risk and the 2007/2008 liquidity crisis
No full textA standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral assets, the feasibility of secured lending, and welfare implications of the central bank’s collateral framework. As an important innovation, we allow for two-sided counterparty risk. Our findings relate to empirical characteristics of repo transactions and have an immediate bearing on market developments since August 2007. JEL Classification: G21, G32, E51collateral, Counterparty risk, haircuts, liquidity, repurchase agreements
Repo-Man coordinates chromosomal reorganization with nuclear envelope reassembly during mitotic exit
No full textThis article is available open access under a Creative Commons license (http://creativecommons.org/licenses/by/3.0/). Copyright @ 2011 Elsevier Inc.Repo-Man targets protein phosphatase 1 γ (PP1γ) to chromatin at anaphase onset and regulates chromosome structure during mitotic exit. Here, we show that a Repo-Man:PP1 complex forms in anaphase following dephosphorylation of Repo-Man. Upon activation, the complex localizes to chromosomes and causes the dephosphorylation of histone H3 (Thr3, Ser10, and Ser28). In anaphase, Repo-Man has both catalytic and structural functions that are mediated by two separate domains. A C-terminal domain localizes Repo-Man to bulk chromatin in early anaphase. There, it targets PP1 for the dephosphorylation of histone H3 and possibly other chromosomal substrates. An N-terminal domain localizes Repo-Man to the chromosome periphery later in anaphase. There, it is responsible for the recruitment of nuclear components such as Importin β and Nup153 in a PP1-independent manner. These observations identify Repo-Man as a key factor that coordinates chromatin remodeling and early events of nuclear envelope reformation during mitotic exit.The Wellcome Trust, the Medical Research Council, and the European Commission
Bidder behavior in repo auctions without minimum bid rate : evidence from the Bundesbank
No full textA distinguishing feature of the ECB’s monetary policy setup is the preannouncement of a minimum bid rate in its weekly repo auctions. However, whenever interest rates are expected to decline, the minimum bid rate is viewed as too high and banks refrain from bidding, severely impeding the ECB’s money market management. To shed more light on banks’ underbidding, we perform a panel analysis of the bidder behavior in the repo auctions of the Bundesbank where no minimum bid rate was set. Our results indicate that neither bank’s participation nor the submitted bid amount is significantly affected by an expected rate cut. This suggests that abandoning the minimum bid rate might increase the efficiency of the ECB’s money market management.Nach dem Vorbild der Deutschen Bundesbank spielen wöchentliche Repo-Auktionen (die Hauptrefinanzierungsgeschäfte) eine zentrale Rolle für die Geldpolitik der Europäischen Zentralbank. Das dort bereitgestellte Refinanzierungsvolumen bestimmt die Liquidität des Bankensektors und der dabei von der EZB gesetzte Mindestbietungssatz gilt als geldpolitischer Leitzins für die Zinssätze am Interbankengeldmarkt. Ausgangspunkt dieser Arbeit ist die Beobachtung, dass die Verwendung eines Mindestbietungssatzes bei Zinssenkungserwartungen zu einem unerwünschten Unterbieten der Banken führt. Im Extremfall eines Bieterstreiks wird das Liquiditätsmanagement der EZB merklich behindert. Thema dieser Studie ist das Bieteverhalten der Banken bei den Repo-Auktionen der Bundesbank, die in den 90er Jahren bei den Zinstendern auf die Vorgabe eines Mindestbietungssatzes verzichtete. Auf der Grundlage individueller Bietedaten wird mit Hilfe panelökonometrischer Methoden untersucht, wie verschiedene Faktoren, wie zum Beispiel Zinserwartungen, Opportunitätskosten, Zinsunsicherheit oder der Bankentyp die Teilnahmeentscheidung und das Bietevolumen einer Bank bei einem Zinstender ohne Mindestbietungssatz bestimmen. Die empirischen Ergebnisse zeigen, dass Zinserwartungen, auch bei den Bundesbank Auktionen das Bieteverhalten der Banken beeinflussten. Allerdings verursachen Zinserwartungen im Gegensatz zur EZB keine abrupten Änderungen im Bieteverhalten und auch keine Bieterstreiks. Offenbar bewirkte das Fehlen eines Mindestbietungssatzes, dass sich die Gebote der Banken und damit der Reposatz und die Zinssätze am Interbankengeldmarkt graduell an ein verändertes Zinsniveau anpassen konnten
[Report to Chief J. E. Curry, by an unknown author #1]
No full textReport to Chief J. E. Curry, by an unknown author. The report contains a list of officers who gave depositions to the United States Attorney
[Report to Chief J. E. Curry, by an unknown author #2]
No full textReport to Chief J. E. Curry, by an unknown author. The report contains a list of officers who gave depositions to the United States Attorney
The dollar squeeze of the financial crisis
No full textBy Covered Interest rate Parity (CIP), the FX swap implied currrency interest rates should coincide with actual interest rates. When a difference occurs, the residual is referred to as the cross currency basis. We link the Euro- Dollar currency basis (e.g. in 2008) to shadow prices of dollar funding constraints and interpret the basis as the relative physical possession value of the scarcer currency, or the “convenience yield” associated with that currency. This is similar to specialness in repo markets, expressing the physical possession value of a security. We examine how the coordinated central banks intervention can reduce the currency basis.FX swaps, Repo, Euro-Dollar currency basis, The 2008 dollar squeeze, Possession
An examination of Treasury term investment interest rates
No full textIn November 2003, the Term Investment Option (TIO) program became an official cash management tool of the U.S. Treasury Department. Through TIO, the Treasury lends funds to banks for a set number of days at an interest rate determined by a single-rate auction. One reason why the Treasury introduced TIO was to try to earn a market rate of return on its excess cash balances. This article studies 166 TIO auctions from November 2003 to February 2006 to determine how TIO interest rates have compared with market rates. The author investigates the spread between TIO rates and rates on mortgage-backed-security repos, a close benchmark for TIO rates. He finds that aside from offerings with very short term lengths, the Treasury receives an interest rate on TIO auctions comparable to market rates. He also documents a negative relationship between an auction's size and the spread between TIO and repo rates. Furthermore, the Treasury's announcement and auctioning of funds on the same day does not adversely affect rate spreads, a finding that suggests that banks are indifferent to more advance notice of TIO auctions.Auctions ; Government securities ; Interest rates ; Repurchase agreements
- …
