We think BNYM has 78% of the US tri-party repo market; JPM has 22%
We were asked last week what the market share was between the two big US tri-party repo agents, BNYM and JPM. We dug into the numbers and think that the…
Read More "Puts in the Shadow", a new paper by Manmohan Singh is worth a read
A paper from IMF Economist Manmohan Singh entitled “Puts in the Shadow” was published earlier this month. It is thought provoking and worth a read. We want to focus in…
Read More Liberty Street Economics Blog on bilateral and tri-party repo haircut differences: they can't explain it. We can.
On the FRBNY Liberty Street Economics blog there was post on Monday, September 17, 2012 entitled “The Odd Behavior of Repo Haircuts during the Financial Crisis” that caught our eye.…
Read More Collateral, collateral transformation and CCPs: a close look at the crazy numbers
Basel III, CCP, Collateral Management, Derivatives, Prime Brokerage, Re-Hypothecation, Regulatory, Repo, Securities Lending, Tri-Party Repo
The figures on how much collateral will be necessary to fund initial margin in CCPs are all over the place. A September 10, 2012 Bloomberg Businessweek article quoted figures between…
Read More A new Liberty Street Economics blog post looks at the PDCF
The second in a series of FRBNY Liberty Street Economics blog posts on programs put in place by the Fed to provide liquidity to the market in response to the…
Read More US Tri-Party Repo Reform: "Everyday you are still rolling the dice"
The US Senate held testimony yesterday on US tri-party repo reform and had some criticisms. Most notable, the Senate wanted to know who was in charge and couldn’t get a…
Read More Fitch publishes “Repos: A Deep Dive in the Collateral Pool”, an update to the tri-party repo market for less liquid collateral
Fitch has just published “Repos: A Deep Dive in the Collateral Pool”, a research paper focused on the tri-party repo market and less liquid collateral in particular. It is an…
Read More Three highlights for securities finance from the 2012 US Office of Financial Research Annual Report
The US Treasury’s Office of Financial Research (OFR) recently published its first annual report, including an interesting section on data transparency in the repo markets. The OFR was created as…
Read More Singh and Stella on the velocity of collateral: banks just don't trust each other. We think there is more to it.
Basel III, CCP, Collateral Management, Derivatives, Liquidity Management, Re-Hypothecation, Regulatory, Repo, Securities Lending, Shadow Banking, Systemic Risk, Tri-Party Repo
A July 2, 2012 post by IMF Economist Manmohan Singh and consultant Peter Stella in the blog Vox revisits a familiar topic: the velocity of collateral. We’ve written about this…
Read More Liberty Street Economics blog post: the US repo market is a lot smaller than we thought
A June 25, 2012 blog post at the Fed’s Liberty Street Economics by Adam Copeland, Isaac Davis, Eric LeSueur, and Antoine Martin, caught our attention. Entitled “Mapping and Sizing the U.S.…
Read More Fed Governor Tarullo Beats the Drum on Shadow Banking: We Break Down his Speech for Clues on Future Regulatory Action
Federal Reserve Governor Tarullo gave a speech on June 12th entitled “Shadow Banking After the Financial Crisis”. It got a lot of press, but not much analysis past the sound…
Read More Shadow Banking not that Shadowy, says Cantor
An article in the June 1, 2012 Business Week by Jody Shenn and Lisa Abramowicz, “Cantor Plans to Enter Shrinking Shadow Banking”, took us by surprise. Cantor Fitzgerald is starting…
Read More “Replumbing Our Financial System: Uneven Progress” by Darrell Duffie: turn tri-party clearing into a "dedicated regulated utility"
A recent paper authored by Darrell Duffie, Finance Professor at Stanford GSB is worth taking a look at. “Replumbing Our Financial System: Uneven Progress” was presented at the Fed conference…
Read More Bank of New York Mellon targets DTC-cleared paper in the next step in tri-party reform. This one is going to hurt.
Collateral Management, Liquidity Management, Regulatory, Repo, Systemic Risk, Technology, Tri-Party Repo
Bank of New York Mellon (BNYM) has told their tri-party customers about the next step in reducing the systemic risk….and some market players fear it will create some nasty unintended…
Read More Pro-cyclicality and repo: do regulators understand how haircuts are determined?
Pro-cyclicality is every regulator’s favorite whipping boy right now. Regulators pound the table over ways to offset the tendency to ease financing terms when the market is strong, only to…
Read More BofE's Tucker may turn the tri-party repo market upside-down
On Monday we wrote about the speech given on April 27th by Paul Tucker “Shadow banking: thoughts for a possible policy agenda.” Mr. Tucker is Deputy Governor of the Bank…
Read More Comments on the FSB interim report on repo and securities lending
The Financial Stability Board (FSB) Workstream on Securities Lending and Repos has released “Securities Lending and Repos: Market Overview and Financial Stability Issues” (April 27, 2012). We mentioned yesterday that…
Read More The CME is now accepting corporate bonds as collateral for OTC derivatives…we have some questions
As of April 13, 2012 the CME has started accepting corporate bonds as collateral for cleared OTC Interest Rate Swaps. We have been thinking about the CME criteria for accepting…
Read More Looking at new ways to manage margin: a central depository
A paper, “The possible impact of OTC derivatives central clearing on counterparty risk” (draft, March 9, 2012), from David Murphy of UK consultancy Rivast caught our eye recently. The bulk of…
Read More Fed says not so fast to Fitch's research saying riskier assets making a come back in repo
A post on the New York Fed’s Liberty Street Economics blog by Antoine Martin caught our eye. Entitled “Is Risk Rising in the Tri-Party Repo Market?” it refutes a research…
Read More So what is next for tri-party reform?
The displeasure from the Fed on the pace of the tri-party reforms is now well known. Its not all bad news though. The systemic risk embedded in the unwind/rewind hasn’t…
Read More Fed: US Tri‐Party Repo Infrastructure Reform Task Force Releases Final Report
Today, the Tri‐Party Repo Infrastructure Reform Task Force (“the Task Force”), under the auspices of the Payments Risk Committee (PRC), released its final report, concluding the work of the Task…
Read More From the ERC a new paper, "Haircuts and initial margins in the repo market"
The European Repo Council, part of ICMA, came out with an interesting paper today, “Haircuts and initial margins in the repo market”. It was authored by Richard Comotto, Senior Visiting Fellow…
Read More Déjà vu All Over Again: risky assets making a comeback in repo?
A February 3, 2012 article in Businessinsider (link is here) alerted us to a piece of new research from Fitch on the repo market. The Fitch report (link is here)…
Read More Where is all that corporate cash going? Why, to repo of course.
If you were wondering where all that corporate cash is going, according to a January 9, 2012 article in Reuters by Douwe Miedema (a link is here) it is going into…
Read More What Too Big to Fail Means in the Tri-party Repo Market
What happens if a major issuer of repo defaults? This question comes up as the November Federal Reserve tri-party data remind us that the repo market is highly concentrated. For…
Read More Central Bank actions on FX Swaps will bolster securities financing markets
Today’s news of coordinated action by the major central banks to reduce the cost of FX swaps by 50bp and extending the program’s authorization until February, 2013 certainly captured the market’s…
Read More Fed: Remaining Risks in the Tri-Party Repo Market
One of our favorite blogs, the FRB NY Liberty Street Economics site, has a new post on the risks of tri-party unwind/rewind. The author, Antoine Martin, makes a great point about the…
Read More FRB-NY Money and Payments Workshop Examines Repo Market Reform
I am sure these papers will make for interesting reading. Finadium’s July 2011 research report The New Face of the Repo Market for Investors, Dealers, and Clearers took an in…
Read More Bloomberg live on tri-party repo connectivity – Bloomberg
NEW YORK — Investors in the U.S. tri-party securities repurchase (repo) market can now use Bloomberg technology to match and confirm repo trades with both clearing banks, Bank of New…
Read More Bond Traders Left Adrift as Dealers Reduce Risk: Credit Markets
Volatility in the markets certainly contributes to the pullback in trading of corporate bond and other “story paper”. We wonder if the changes in the tri-party market, preparation for the…
Read More New York Fed May Seek Liquidity Details From European Banks
Apropos our article earlier today on Fed research on foreign bank liquidity during the credit crisis, here is an interesting story from Bloomberg on the Fed seeking more liquidity details…
Read More The Fed criticizes tri-party repo reform timetable?
The Wall Street Journal had some interesting comments today regarding a speech from Federal Reserve Bank of NY President William Dudley on tri-party repo reform. Apparently the Fed, which signed…
Read More Eurex Clearing gets two key ingredients right for seclending CCP
Eurex has gotten two key aspects right in their new CCP for securities lending. These important details have eluded other CCPs, notably the OCC in its provision of CCP services…
Read More New platform from Newedge and MTS to target corporates to lending cash, will collateralize using tri-party infrastructure
This seems like potentially disruptive technology. By targeting term trades to corporates (who typically transact unsecured deposits) on a secured tri-party basis, the product could be very appealing to both…
Read More