econintersect.com
       
  

FREE NEWSLETTER: Econintersect sends a nightly newsletter highlighting news events of the day, and providing a summary of new articles posted on the website. Econintersect will not sell or pass your email address to others per our privacy policy. You can cancel this subscription at any time by selecting the unsubscribing link in the footer of each email.



posted on 19 October 2015

The Tri-Party Repo Market Like You Have Never Seen It Before

from Liberty Street Economics

-- this post authored by Jacob Adenbaum, Antoine Martin, and Susan McLaughlin

The tri-party repo market is a large and important market where securities dealers find a substantial amount of short-term funding. Despite its importance, this market was very opaque before the crisis. Since March 2010, in accordance with recommendation 13 of the Task Force on Tri-Party Repo Infrastructure Reform report, the Federal Reserve Bank of New York has made monthly data on the tri-party repo market available to the public. Today, with our new interactive tool, there is a whole new way to view the market and its evolution. You can make your own charts, looking at volumes for specific asset classes, at haircuts, or at concentration, over your preferred time horizon.

Starting in March 2010, the New York Fed began posting monthly snapshots of data from the tri-party repo market in PDF and Excel format. While this greatly improved transparency, it offered a cumbersome means of seeing how the market was evolving over time.

Now, with the tri-party repo interactive tool, seeing how the market is evolving has become remarkably easy. For example, you may be interested in finding out how the market's size has changed over time or how the composition of financing has evolved. You can do either one in three clicks under the Volume tab. Try it - it's easy and fun!

What you see is that the market as a whole has fluctuated between $1.5 trillion and $2 trillion and that riskier assets represent less than $500 billion. Another view reveals that the share of riskier assets has been around 20 percent but has increased in recent months. It was as low as 14.5 percent in June 2012 and as high as 23.5 percent in May 2015.

Lse_2015_tri-party-interactive_chart1_art

Lse_2015_tri-party-interactive_graph-combined_art_art

You are probably wondering, do dealers finance more non-investment-

grade corporate bonds or equities in the market today than they did last year? With a couple of clicks, you find that the amount of non-investment-

grade corporate bonds has been stable. In contrast, the amount of equities financed in the market has increased a lot since early 2012.

Repo haircuts have been much discussed in the press and in policy circles, so what is happening there? Under the Haircut tab, you can look at the median haircut, as well as the tenth and ninetieth percentile, for each asset class, one at a time. You will see that the median haircut has been very stable for most asset classes. There are a few exceptions, mainly those asset classes for which the dollar volume is very small, like collateralized debt obligations (CDOs). The median haircut for CDOs was 5 percent early in the sample but was as high as 15 percent in June 2015. The ninetieth percentile for that asset class has increased from 8 percent to 25 percent.

Lse_2015_tri-party-interactive_chart4_art

Finally, you might ask about the concentration of collateral among dealers. Good question, because the risk of fire sales, should a large dealer become under stress or default, is greater if the market is more concentrated. Concentration has decreased for most asset classes, which should reduce the risk of fire sales to some extent. That said, there are large differences in concentration among different asset classes. Concentration in agency mortgage-backed securities (MBS) has decreased from close to 50 percent early in the sample to less than 30 percent recently. Concentration in equities has also decreased overall, from 60 percent early in the sample to approximately 50 percent today, but it has been rising since late 2012. The slider below the chart area lets you focus on a specific day or period. For example, between September 2012 and September 2015, you can see that concentration in agency MBS has been very stable, while the concentration in equities has increased steadily.

Lse_2015_tri-party-interactive_chart5_art

There are many other aspects of the repo data that you can explore with the interactive tool. We hope that this new tool will be useful - and entertaining - for everyone who has an interest in the U.S. tri-party repo market.

Disclaimer

The views expressed in this post are those of the authors and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System. Any errors or omissions are the responsibility of the authors.

Source

http://libertystreeteconomics.newyorkfed.org/2015/10/the-tri-party-repo-market-like-you-have-never-seen-it-before.html#.ViUtfvmrSUk


About the Authors

Jacob AdenbaumJacob Adenbaum is a senior research analyst in the Federal Reserve Bank of New York's Research and Statistics Group.

Antoine MartinAntoine Martin is a vice president in the Research and Statistics Group.

Susan McLaughlinSusan McLaughlin is a senior vice president in the Federal Reserve Bank of New York's Markets Group.

>>>>> Scroll down to view and make comments <<<<<<

Click here for Historical News Post Listing










Make a Comment

Econintersect wants your comments, data and opinion on the articles posted.  As the internet is a "war zone" of trolls, hackers and spammers - Econintersect must balance its defences against ease of commenting.  We have joined with Livefyre to manage our comment streams.

To comment, using Livefyre just click the "Sign In" button at the top-left corner of the comment box below. You can create a commenting account using your favorite social network such as Twitter, Facebook, Google+, LinkedIn or Open ID - or open a Livefyre account using your email address.



You can also comment using Facebook directly using he comment block below.





Econintersect Contributors


search_box

Print this page or create a PDF file of this page
Print Friendly and PDF


The growing use of ad blocking software is creating a shortfall in covering our fixed expenses. Please consider a donation to Econintersect to allow continuing output of quality and balanced financial and economic news and analysis.


Take a look at what is going on inside of Econintersect.com
Main Home
Analysis Blog
Wasteful Health Care Spending
Democratic Development Lowers the Cost of Credit
News Blog
Early Headlines: Asia Stocks Mixed, Oil, Gold, Dollar Little Changed, GOP ACA Divide, Trump Budget, UK Economy Concerns, France Inflation Slows, India Tax Reform, Oz Mortgage Leverage And More
February 27, 2017 Weather and Climate Report. Short-term Forecasting Not So Easy.
Explainer: What Is VX Nerve Agent And How Does It Work?
What's Important To The Online Shopper
How Liverpool's New Local Currency Fits Into Global Trends Of Money And Power
World's Largest B2C E-Commerce Markets
Average Gasoline Prices for Week Ending 27 February 2017 Rose Over One Cent
What We Read Today 27 February 2017
February 2017 Texas Manufacturing Survey Continues to Expand But Key Internals Declined
January 2017 Pending Home Sales Index Declines
PEOPLE ARE AWESOME 2017 Amazing Talented Kids Compilation
Durable Goods New Orders Improved in January 2017
China's Continuing Credit Boom
Investing Blog
Market And Sector Analysis 26 February 2017
Trump's Address To Congress: A Preview For Investors
Opinion Blog
Brave New World: The Pill-popping, Social Media Obsessed Dystopia We Live In
What Do You Call A Lie Constructed From Other Lies?
Precious Metals Blog
Deflation And Gold: A Contrarian View
Live Markets
27Feb2017 Market Close: The Trump Bull Rally Lumbers On Despite Bearish Analysts Calls For Caution, US Dollar Settles Higher, WTI Crude End Session In The Low 54 Handle
Amazon Books & More






.... and keep up with economic news using our dynamic economic newspapers with the largest international coverage on the internet
Asia / Pacific
Europe
Middle East / Africa
Americas
USA Government





























 navigate econintersect.com

Blogs

Analysis Blog
News Blog
Investing Blog
Opinion Blog
Precious Metals Blog
Markets Blog
Video of the Day
Weather

Newspapers

Asia / Pacific
Europe
Middle East / Africa
Americas
USA Government
     

RSS Feeds / Social Media

Combined Econintersect Feed
Google+
Facebook
Twitter
Digg

Free Newsletter

Marketplace - Books & More

Economic Forecast

Content Contribution

Contact

About

  Top Economics Site

Investing.com Contributor TalkMarkets Contributor Finance Blogs Free PageRank Checker Active Search Results Google+

This Web Page by Steven Hansen ---- Copyright 2010 - 2017 Econintersect LLC - all rights reserved