欧洲央行-回购的国际维度：五个新事实（英）

Working Paper Series The international dimension of repo: five new facts Felix Hermes, Maik Schmeling, Andreas Schrimpf Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3065 AbstractWe analyze the international dimension of repo markets using novel euro area regulatorymicrodata. Our findings highlight the deep integration of funding markets across theAtlantic and the US dollar’s outsized role. Our paper documents five key facts: (1)US dollar repos by euro area entities account for approximately 40% of total volumesand are comparable in size to euro repos; (2) term repos (with maturities beyond oneday) are quantitatively more relevant than commonly thought, especially non-centrallycleared ones; (3) repo markets have become more collateral-driven, involving diversenonbank financial players and trading motives; (4) banks’ intragroup transactionsform a large share of non-centrally cleared volumes; and (5) haircuts, even for riskiercollateral, are often zero or negative, especially in euro trades. We show in two empiricalapplications that US monetary policy shocks spill over to euro repo rates and thatnegative haircuts arise from market power and collateral demand dynamics.JEL Classification: G12, G14Keywords: Repo market, US dollar funding, Haircuts, Bank intermediationECB Working Paper Series No 30651Non-technical summaryThis paper analyzes the international dimension of repo markets using the Securities andFinancing Transactions Datastore (SFTDS), an extensive dataset comprising detailed regu-latory microdata from the euro area. The high granularity of SFTDS allows us to study reposin multiple currencies, most notably the US dollar. Our analysis provides a unique and com-prehensive view of the international integration and dynamics of repo markets, particularlyhighlighting the critical role of the US dollar.We present five novel empirical insights that significantly enhance the understanding ofmodern repo markets. First, US dollar repos involving euro area entities account for ap-proximately 40% of outstanding USD and EUR repo activity, underscoring the significantinternational integration of the repo market and challenging the notion of market segmenta-tion and home bias.Second, term repos, or transactions with maturities longer than overnight, are quantita-tively more important than commonly assumed. In particular, only 26% of euro-denominatedand 50% of dollar-denominated non-centrally cleared transactions are overnight. Our analysishas significant implications for understanding funding stability and rollover risks.Third, we find that repo markets have increasingly become collateral-driven, reflectingthe diverse participation and distinct trading motives of nonbank financial institutions. Thistrend is more pronounced in euro-denominated transactions, indicating structural differencesacross c