Sizing up Repo

We measure the repo funding extended by money market funds and securities lenders to the shadow banking system, including quantities, haircuts, and repo rates sorted by the type of underlying collateral. Both the quantity and price data suggest that there was a run on repo backed by non-Agency MBS/ABS collateral, while the repo market for Treasury and Agency collateral was not significantly affected. However, to gauge the consequences of such a run one must also take into account that prior to the financial crisis only about 3% of outstanding non-Agency MBS/ABS is financed with repo from money market funds and securities lenders. A more sizeable contraction in short-term debt financing of non-Agency MBS/ABS occurs with the contraction in asset-backed commercial paper. While the contraction in aggregate repo funding with non-Agency MBS/ABS was small relative to the outstanding stock of non-Agency MBS/ABS, dealer banks with a larger exposure to private debt securities were affected more strongly and resorted to the Fed's emergency lending programs for funding.