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SUMMARY:The Japan Repo Premium and US Dollar Intermediation
DTSTART:20170925T120000
DTEND:20170925T130000
DTSTAMP:20260427T230603Z
UID:f5307c61dbf381f3717a09884f372628e892eb0f82554d525aba7d93
CATEGORIES:Conferences - Seminars
DESCRIPTION:Egemen EREN (Bank of International Settlements)\nJapanese bank
 s pay a premium to borrow via repos from US MMFs\, even for overnight repo
 s with US Treasury collateral. We show that money markets are not perfectl
 y competitive\, and find that MMF bargaining power and the inelastic dolla
 r demand of Japanese banks can explain the premium. Moreover\, Japanese ba
 nks require funding that improves their liquidity coverage ratio. MMFs typ
 ically do not provide such terms in repos. We provide evidence of US dolla
 r repo intermediation by non-Japanese to Japanese banks\, with estimated s
 preads of 35-90 basis points from maturity and collateral transformation. 
 Disruptions in repo intermediation at quarter-ends spill over to FX swaps.
 \n 
LOCATION:UNIL\, Extranef\, room 118 https://planete.unil.ch/plan/?local=EX
 T-118.1
STATUS:CONFIRMED
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