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  1. Safe asset carry trade
    Author: Ballensiefen, Benedikt; Ranaldo, Angelo
    Published: July 18, 2019
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

    We provide an asset pricing analysis of one of the main categories of near-money or safe assets,the repurchase agreement (repo). Heterogeneity in repo rates allows for a remunerative carry trade. The return on this carry trade, our carry factor,... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 314
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    We provide an asset pricing analysis of one of the main categories of near-money or safe assets,the repurchase agreement (repo). Heterogeneity in repo rates allows for a remunerative carry trade. The return on this carry trade, our carry factor, together with a market factor explain the temporal and cross-sectional variation in repo rates within a no-arbitrage framework: While the market factor determines the level of short-term interest rates, the carry factor accounts for the cross-sectional dispersion. Consistent with the safe asset literature, the carry factor reflects heterogeneity in convenience premia and is explained by the safety premium, the liquidity premium, and the opportunity cost of holding money.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Edition: First draft: July 18, 2019
    Series: Working papers on finance ; no. 2019, 09
    Subjects: Safe Asset; Repo; Asset Pricing; Convenience Premium; Bond Pricing
    Scope: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  2. Essays in market microstructure
    Author: Schaffner, Patrick
    Published: 2023

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    hdl: 20.500.14171/107741
    5247
    Subjects: Geldmarkt; Wertpapierpensionsgeschäft; Interbankgeschäft; Geldpolitik; EMIR; collateral; tiered reserves; quantitative easing; Basler Eigenkapitalvereinbarung (2010); Repurchase agreement; Eurogeldmarkt; Basel III; Basel 3; Repo
    Scope: 1 Online-Ressource (circa 115 Seiten), Illustrationen
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    Dissertation, University of St.Gallen, 2022
  3. Private money creation with safe assets and term premia
    Author: Infante, Sebastian
    Published: April 11, 2017
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Finance and economics discussion series ; 2017, 041
    Subjects: Federal Reserve Board and Federal Reserve System; Monetary policy; Private money; Repo; Safe assets
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  4. Bond market intermediation and the role of repo
    Author: Huh, Yesol; Infante, Sebastian
    Published: January 2017
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

    This paper models the important role that repurchase agreements (repos) play in bond market intermediation. Not only do repos allow dealers to finance their activities, but they also increase dealers' ability to satisfy levered client demands without... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    This paper models the important role that repurchase agreements (repos) play in bond market intermediation. Not only do repos allow dealers to finance their activities, but they also increase dealers' ability to satisfy levered client demands without having to adjust their holdings of risky assets. In effect, the ability to borrow specific assets for delivery allows dealers to source large quantity of assets without taking ownership of them. Larger levered client orders imply larger asset borrowing demands, thus increasing the borrowing cost for the asset (i.e., repo specialness). Dealers pass on the higher intermediation cost to their clients in the form of higher bid-ask spreads. Although this method of intermediation is optimal, the use of repos significantly increases dealers' balance sheets. Limiting one dealer's balance sheet leverage, leaving all else equal, reduces the affected dealer's market making abilities and increases his bid-ask spreads. The equilibrium effect of limiting all dealers' balance sheet leverage on bid-ask spreads is unclear, and depends on the intensity of clients' demand and securities lenders' sensitivity to repo specialness

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Finance and economics discussion series ; 2017, 003
    FEDS Working Paper ; No. 2017-003
    Subjects: Market liquidity; Financial services and intermediation; Repo; Specialness; U.S; Treasury market
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  5. Dynamic asset-backed security design
    Author: Ozdenoren, Emre; Yuan, Kathy; Zhang, Shengxing
    Published: May 2022
    Publisher:  [LSE Financial Markets Group], [London]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper / [Financial Markets Group] ; no 856
    Paul Woolley Centre working paper ; no 86
    Subjects: Liquidity; Dynamic Price Feedback; Tradable Assets; Inter-temporal Coordination; Security Design; Multiple Equilibria; Self-fulfilling Prices; Financial Fragility; Haircut; Repo; Repo Runs; Credit Crunch; Asset-Backed Security; Collateral; Limited Commitment; Adverse Selection; Market-Based Financial Intermediation
    Scope: 1 Online-Ressource, Illustrationen
  6. Collateral choice
    Author: Ballensiefen, Benedikt
    Published: June 9, 2022
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 314
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers on finance / School of Finance, University of St. Gallen ; no. 2022, 03
    Subjects: Collateral; Repo; Bond Market; On-the-run; Liquidity
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  7. Repo and reverse repo activity of European banks
    market activity, accounting and disclosure
    Author: Löw, Edgar; Riegel, Annika Patricia Michelle
    Published: 13/07/2020
    Publisher:  European Banking Institute e.V., Frankfurt am Main, Germany

    Repurchase agreements are money market instruments that are used widely and for various purposes due to their simplicity and flexibility. The European repo market is quite concentrated, as 80% of the transactions is conducted be-tween the top 20... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 636
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    Repurchase agreements are money market instruments that are used widely and for various purposes due to their simplicity and flexibility. The European repo market is quite concentrated, as 80% of the transactions is conducted be-tween the top 20 banks and 61.9% of the collaterals used in the European repo market are originated in the Eurozone. Especially, for Europe the repo market is more important than ever, as it reached an all-time high of EUR 7,351 billion in June 2018. Even though the repo market is quite extensive and important, with respect to repos, there has no literature been found, which deals with the disclosure requirements of IFRS 7 in the European banking industry so far.How disproportionate the attention paid to repos is, becomes apparent by examining the financial statement of one German bank. It was noticed, that the information provided on repos was not too extensive, even though repos ac-counted for approximately 39% of the bank's total assets. The example of Lehman Brothers shows how important it is to formulate appropriate accounting standards that actually reflect the true nature of transactions. The extent of the financial crisis of 2007-2008 may have been reduced, if their troubled situation would have been disclosed honestly in the first place.As the mandatory requirements of IFRS 7 should ensure, that sufficient and decision-useful information to enable users of financial statements to under-stand the risks arising from repos is disclosed, the first step is to review, if the mandatory requirements are fulfilled. 38 IFRS 7 criteria were derived from these mandatory requirements. Besides these mandatory criteria, some supplementary information was gathered. The sample which was examined within this empirical analysis consists of 66 banks from 19 European countries. It will be shown from the 5-year averages that European banks only complied on average with 54%, i.e. only slightly more than half of the mandatory disclosure requirements of IFRS 7, which apply to repos

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: EBI working paper series ; no. 69 (2020)
    European Banking Institute Working Paper Series 2020 - ; no. 69
    Subjects: Repo; Banks; Accounting; Disclosure; IFRS 7; IFRS 9; Disclosure-Index
    Scope: 1 Online-Ressource (circa 104 Seiten), Illustrationen
  8. Why rent when you can buy?
    Author: Monnet, Cyril; Narajabad, Borghan N.
    Published: September 6, 2017
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 412 (2017,094)
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    Source: Union catalogues
    Language: English
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    Format: Online
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    Series: Finance and economics discussion series ; 2017, 094
    Subjects: Bargaining; Bilateral matching; Over-the-counter market; Rent; Repo; Security lending; Directed search
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen