Transparency in the U.S. Repo Market

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1 Transparency in the U.S. Repo Market Antoine Martin Federal Reserve Bank of New York October 11, 2013 The views expressed in this presentation are my own and may not represent the views of the Federal Reserve Bank or New York or the Federal Reserve System

2 Outline Overview of U.S. repo market Lack of transparency prior to the crisis Improved transparency today, but much remains to be done 2

3 The U.S. repo market The U.S. repurchase agreement (repo) market is a large financial market where participants effectively provide collateralized loans to one another Key financing source for broker-dealers that make markets in Treasury and agency securities Supports dealer intermediation of credit Played a central role in the recent financial crisis Run on repo Unfortunately, sufficient data are not available 3

4 Repo and tri-party repo A repo is the sale of a security with a promise to repurchase the security at a specific future date In a tri-party repo (TPR) a clearing bank provides collateral management and settlement services Two clearing banks in U.S. TPR market JP Morgan Chase (JPMC) Bank of New York Mellon (BNYM) 4

5 Segments of the U.S. repo market Volumes as of September 2013 Bilateral cash Investors: Hedge funds Asset managers others Tri-party cash Investors: MMFs Securities lenders others $ 1.47 T $ 2.31 T $1.55 T Tri-party repo market Securities dealers GCF $ 0.24 T PB clients Hedge funds others Cash Securities 5

6 Repo markets and systemic risk Loss of repo funding contributed to the problems experienced by Bear Stearns and Lehman Failure of a large dealer could lead to fire sales Large size of portfolios financed Some investors, such as MMFs and securities lenders, face liquidity pressures of their own 6

7 Need for more transparency 7

8 Why do we want more data? Data is useful for regulators To monitor market functioning To understand market evolution Data can inform policy response in times of stress Data is useful for market participants To better understand the risk they take To assess risk of fire sales and spillovers 8

9 Before the crisis: Almost no data Only exception: Primary dealer data Provides aggregate amount of repos and reverses Available on the NY Fed s website More granularity regarding collateral since April

10 Data since the crisis: Tri-party repo TPR reform process led by industry ( ) Monthly data available on NY Fed s website since May 2010 on Volumes Haircut Market concentration 10

11 Size of the tri-party repo market 3,000 (USD bns) 2,500 2,000 1,500 1,000 Jul-08 Sep-08 Nov-08 Jan-09 Mar-09 May-09 Jul-09 Sep-09 Nov-09 Jan-10 Mar-10 May-10 Jul-10 Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Source: Bank of New York Mellon, JP Morgan Chase 11

12 Collateral financed in the TPR market 12

13 Haircuts by asset class 40% Non Investment Grade Corporates Margins: 08/ / % 30% 25% 20% 15% 10% 5% 0% 10th Percentile Median 90th Percentile 13

14 Concentration by asset class 65.00% Concentration of Top 3 Dealers in Tri-Party Repo by Asset Class 60.00% 55.00% 50.00% 45.00% 40.00% 35.00% 30.00% 25.00% May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Agency MBS UST ABS Equities 14

15 Major data gap: Bilateral repo In the U.S. too little is known about the bilateral repo market Collecting data is more difficult because there is no central point of collection Things we would like to know: What type of collateral is financed in that market? Which institutions are most active? How do bilateral and tri-party markets interact? 15

16 Data needed: FSB recommendations FSB report of August 2013 gives more detail about data needed and why Data needed: Amount, counterparty, maturity, collateral type, haircut, Data use: Understand maturity transformation and rollover risk, leverage, interconnectedness, concentration, 16

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