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Tri-Party Repo

Federal Reserve Bank of New York – “This interactive examines historical volumes, haircuts, and concentrations of the top 3 dealers in the U.S. tri-party repo market, aggregated by asset class. The data are being provided to the public in the interest of creating greater transparency on the size of the U.S. tri-party repo market and the nature of its activity, as outlined in Recommendation 13 of the Tri-Party Repo Task Force Report. The data are obtained from each of the Tri-party Repo clearing banks, BNY Mellon (BNYM) and JP Morgan Chase (JPMC), and provide a snapshot view of the market for the seventh business day of each month. The underlying data includes all transactions in the US tri-party repo market, excluding GCF. In particular, it includes those transactions involving the Federal Reserve. These summary statistics are computed for each asset class and capture:

  • Volume – the total volume of tri-party repo transactions for each asset class
  • Haircuts – the percentage overcollateralization of the tri-party repos. This is calculated for each individual transaction. The median and a range (10th to 90th percentile) are reported by asset class.
  • Concentration of Top Dealers – the percentage of repo transactions that are undertaken by the top three dealers (where the top three are identified for each asset class by their total volume of trades)
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