回购中介与中央结算：赞助回购分析

Adam Copeland|R. Jay Kahn Repo Intermediation and Central Clearing: AnAnalysis of Sponsored RepoAdam CopelandandR. Jay Kahn FederalReserve Bank of New York Staff Reports, no.1140December2024https://doi.org/10.59576/sr.1140 Abstract This paper evaluates the salient forces behind a dealer-intermediary’s decision to movea bilateral repotransaction with a customer into central clearing. We provide evidence thatdealers turn to sponsored repoon occasions when balance sheet space is scarce, such aswhen there is a large issuance of Treasurycoupon securities and end-of-month dates. Wealso find that sponsored repo spreads tend to be affectedby a range of factors, with thethree largest drivers being money market fund assets, a proxy for hedgefund demand forrepo funding, and end-of-month dates. JEL classification:G12, G23Keywords:repo, sponsored services, central clearing, money markets Copeland: Federal Reserve Bank of New York (email:adam.copeland@ny.frb.org).Kahn:Board ofGovernors of the Federal Reserve(email:jay.kahn@frb.gov).The authors thank Owen Engbretson forexcellent research assistance. This paper presents preliminary findings and is being distributed to economists and other interestedreaders solely to stimulate discussion and elicit comments. The views expressed in this paper are those ofthe author(s) and do not necessarily reflect theposition of the Federal Reserve Bank of New York or theFederal Reserve System. Any errors or omissions are the responsibility of the author(s). To view the authors’ disclosure statements, visithttps://www.newyorkfed.org/research/staff_reports/sr1140.html. Through the past decade, the Treasury market has experienced several episodes duringwhich market functioning has been severely disrupted, most notably the dash-for-cash inMarch 2020 due to the Covid-19 pandemic. These disruptions have highlighted the impor-tant role of intermediaries and raised questions on identifying the drivers of spreads chargedby these firms. Although significant work has been done considering these issues for the morewell-known markets for Treasury securities, little work has been done on a key and unusualsegment of the Treasury repo market, sponsored repo, where dealer-to-customer trades arecentrally cleared. Although currently a relatively small portion of the overall repo market, theSecurities and Exchange Commission’s (SEC) recently instituted rule amendments to centralclearing are expected to greatly expand the size of sponsored repo, increasing its importance. This paper evaluates the salient forces behind a dealer-intermediary’s decision to move abilateral repo transaction with a customer into central clearing. This is done by studying whatare the main drivers of volumes and spreads of sponsored repo using detailed trade-level data.We begin by explaining the institutional arrangements of sponsored repo and how it differsfrom the other, more well-studied, segments. We then detail how sponsored repo provides apotentially important benefit to dealers by allowing them to net their customer trades with othercentrally cleared trades on a balance sheet basis. We also describe how margins in sponsoredrepo are computed and argue that this process is likely to impose higher capital costs on dealersrelative to repos that are not centrally cleared. From a dealer’s perspective, sponsored repotherefore provides a key tradeoff between two of the main costs of intermediation in the repomarket: lower balance sheet costs and higher capital costs. Finally, we lay out the potentialcosts and benefits for dealers’ customers from central clearing through sponsored repo. We then turn to quantifying the main drivers of repo volumes and pricing, with a focus onwhich of the relative advantages of sponsored repo are the main forces driving the decision tomove repo transactions into sponsored repo. We use the confidential data provided by the U.S.Department of the Treasury’s Office of Financial Research (OFR) centrally cleared repo col-lection. We begin by documenting several facts about sponsored repo, including the evolutionof volumes and rates over time. Importantly, we show that money market funds (MMF) arethe largest customer type investing cash against Treasuries in sponsored repo, whereas hedgefunds are the dominant customer type delivering Treasury securities against cash. To better understand the drivers of sponsored repo volumes and rates, we use a regression approach. The estimated coefficients imply that sponsored repo volumes increase with Trea-sury coupon issuance, in line with results in the literature which show that issuance drives repovolumes generally. The coefficients also show that sponsored repo volumes increase on end-of-month dates, when dealers’ balance sheet costs are typically high. Further, there is evidenceof market participants increasing sponsored repo activity in response to a decline in cash avail-able in money markets, such as when corporate tax payments are made to the Treasury.