Staff Reports
Repo Runs: Evidence from the Tri-Party Repo Market
July 2011  Number 506
Revised March 2012
JEL classification: E44, E58, G24

Authors: Adam Copeland, Antoine Martin, and Michael Walker

This paper provides a detailed description of the U.S. tri-party repurchase market, a key source of short-term funding for securities dealers and a market that played an important role in the recent financial crisis. The institutional details of this market are first explained. Then, using confidential data from July 2008 to January 2010, we provide a quantitative account of the tri-party repurchase market during the financial crisis. We document that the level of haircuts and the amount of funding were surprisingly stable in this market, even for securities dealers who suffered adverse shocks. A notable exception is Lehman Brothers, for which we document a sudden and rapid decrease in collateral financed in the tri-party repurchase market. The stability of haircuts in the tri-party repurchase market contrasts with evidence from the bilateral repurchase market, in which haircuts increased sharply (as shown in Gorton and Metrick [2011]).

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