This papers studies movements in short-term repurchase agreement (repo) interest rates. The term structure of U.S. Treasury, agency, and mortgage-backed security repos are analyzed from 1997-2012, and the general factor representation is common across all of the markets. We also analyze the term structure of spreads between U.S. Treasury and mortgage-backed security repo rates and find unique dynamics, as these spreads are capturing a term structure of relative collateral risk. When we turn to the issue of risk premia, we find that excess holding period returns are predictable with R2’s higher than 0.2. Additionally, looking at excess holding period returns in the spread market, we find that while the term structure factors do provide some predictive power, other measures of macroeconomic and financial stress provide additional predictive power. This result provides insight into the type(s) of risk premia being captured in this short-term credit market.