TRI-PARTY REPO MARGIN AND GCF REPO® STATISTICS


As of September 2012, the statistics are no longer published to this site and are now available on the Tri-Party Repo Infrastructure Reform page »

 

The Task Force's May 17, 2010 report outlined recommendations for improvements to the infrastructure of the U.S. Tri-Party Repo Market. Recommendations in the report include the publishing of summary tri-party repo statistics.

Summary Statistics for the U.S. Tri-Party Repo Market

FICC General Collateral Finance (GCF) Repo™ Data __________________________________________________________________________

Summary Statistics for the U.S. Tri-Party Repo Market

Margin (haircut) and collateral composition information is being collected from the two clearing banks and consolidated by the NY Fed. These tables are published monthly.

Please see the Explanatory Notes for further information regarding the calculation of this data.

Tri-party Repo Statistics as of 8/9/2012
Composition and Concentration of Tri-party Repo Collateral

Asset Group

Collateral Value
(billions)

Share of Total

Concentration by
Top 3 Dealers
ABS (Investment & Non Investment Grade)
$34.58
1.9%
47.6%
Agency CMOs
$118.86
6.7%
44.9%
Agency Debentures & Strips
$109.38
6.1%
38.3%
Agency MBS
$686.00
38.5%
28.5%
CMO Private Label (Investment & Non Investment Grade)
$33.98
1.9%
44.2%
Corporates (Investment & Non Investment Grade)
$55.43
3.1%
30.8%
Equities
$82.66
4.6%
41.3%
Money Market
$20.92
1.2%
56.6%
Municipality Debt
$20.60
1.2%
56.7%
US Treasuries Strips
$46.08
2.6%
43.2%
US Treasuries excluding Strips
$565.50
31.7%
28.1%
Other*
$8.54
0.5%
 

Total

$1,782.55

  

 
* Other includes CDOs, International Securities, and Whole Loans

Distribution of Investor Haircuts in Tri-party Repo

Asset Group

Cash Investor Margins Levels

         10th
      Percentile

Median

90th
   Percentile

ABS (Investment & Non Investment Grade)
2.0%
7.0%
15.0%
Agency CMOs
2.0%
3.0%
5.0%
Agency Debentures & Strips
2.0%
2.0%
4.0%
Agency MBS
2.0%
2.0%
3.0%
CMO Private Label (Investment & Non Investment Grade)
2.0%
7.0%
16.1%
Corporates (Investment & Non Investment Grade)
2.0%
5.0%
15.0%
Equities
5.0%
8.0%
15.0%
Money Market
2.0%
5.0%
5.0%
Municipality Debt
2.0%
5.0%
10.0%
US Treasuries Strips
2.0%
2.0%
2.0%
US Treasuries excluding Strips
2.0%
2.0%
2.0%
 

Total number of individual repo deals

7,250

Total number of collateral allocations

10,401


 
Tri-party Repo Statistics
  
 
2012
 
 
August pdf xls
  
   

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FICC General Collateral Finance (GCF) Repo™ Data

FICC-GSD’s GCF Repo™ service enables dealers to trade general collateral repos.1 In order to participate; dealers must be netting members of FICC’s Government Securities Division (GSD).

GCF Repo transactions are settled on a tri-party basis, which requires dealer participants to have an account with either one or both of the participating clearing banks: The Bank of New York Mellon or JPMorgan Chase.

GCF Repos are an extension of the tri-party repo market and help foster a highly liquid market for securities financing.

 

Nominal value of GCF Repos netted and traded on or before 8/9/2012 for clearing to FICC-GSD2

By collateral type

Overnight3

Term4

Treasury

$147.8 billion

$232.9 billion

Agency (other than MBS)

$43.4 billion

$31.4 billion

Agency MBS

$148.9 billion

$384.4 billion

 

Memo: Total amount of securities (collateral) delivered by participants to FICC-GSD to meet settlement obligations resulting from GCF Repo agreements.5

 

$204.9 billion

Memo: Total amount of cash borrowed by FICC-GSD participants via GCF Repo agreements.5

$160.8 billion
Source: FICC-GSD
For information on the interest rates paid on General Collateral Finance (GCF) Repurchase Agreements (Repos), see DTCC GFC Repo Index™.
1 GCF Repo™ (hereinafter, "GCF Repo") is a registered trademark of the Depository Trust and Clearing Corporation or its affiliates in the United States.
2 Amounts are measured at par. Figures shown are the total nominal value of GCF Repos submitted to the daily GCF netting process each day. All GCF trades are submitted to FICC by an interdealer broker on a ‘blind basis.’ These statistics do not include the interdealer broker trades, which always net to zero by virtue of the broker’s role in the transaction.
3 The overnight trades are all trades done on the date above for end date the following day.
4 The term trades are all trades done prior to and including the date above for forward maturation
5 These amounts are determined as a result of Fixed Income Clearing Corporation-Government Securities Division (FICC-GSD) interposing itself between the original trading parties. FICC-GSD becomes the legal counterparty for settlement purposes and nets off-setting transactions.

 

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  QUICK LINKS
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 Task Force Final Report pdf
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 Minimum Parameters Required for Tri-party Repo Matching pdf
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 2010 Task Force Report pdf
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 Summary of Task Force Recommendations pdf
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 Dealer/Lender Template Letter pdf
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 Checklist for Fund Investors of Repurchase Agreements offsite
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 PRC Website
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 NY Fed White Paper on Tri-Party Repo
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 Explanatory Notes

 
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