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The word repo refers to the repurchase agreements that govern this market. Essentially it is a collaterized loan. The repo market allows banks and investors to exchange high-quality assets, usually US government bonds, for cash funding. Borrowers then repurchase the assets for a slightly higher price at an agreed date, usually the next day, creating a short-term loan. The market lets banks meet their short-term funding needs and is essential for the smooth operation of the dollar-based financial system.
Reference: Triparty-Repos by the NY FED, this describes the Repo Market, the terms and risk associated with it and the various calculations and formulae that govern the yield calculation, not just tri-party.
Opening Leg: The value of the collateral provided is greater than the cash lent. This difference is called "the haircut". For example, if the value of the securities is $100 and the cash lent is $94, the haircut is $6.
Time between Opening and Closing legs is usually a day or two. This is the term of the repo. If during this term the observed price of the security rises or falls, there may be margin calls to preserve the haircut.
Breaking News: In the last week of September there was a huge problem in the repo market. Lenders disappeared from the market, leaving many who wanted short term funding without takers; this created a
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