NY Fed Tri-Party Repo Tool
The NY Fed's "Liberty Street Economics" blog, writes, "The Tri-Party Repo Market Like You Have Never Seen it Before." The article says, "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." It continues, "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.... 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.... Finally, you might ask about the concentration of collateral among dealers.... Concentration has decreased for most asset classes, which should reduce the risk of fire sales to some extent." It concludes, "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."
