This post was written by Todd Zerega and Tom Watterson.
The Federal Reserve Bank of NY (FRBNY) posted on its website an estimate of future intraday credit risk for clearing banks in the tri-party repo market. The estimate notes the various steps, along with accompanying timeframes, that the clearing banks are taking to reduce their intraday credit risk.
The changes noted in the estimate are designed to reduce the intraday credit risk of the clearing banks to the 10% cap on intraday credit goal set by the Tri-Party Repo Reform task Force in 2010.
The release is available here.
In the past month, the total collateral in the U.S. tri-party repo market remained virtually unchanged, increasing by $7 billion. Treasuries increased by $25 billion, and by 1.1% in their share of the total collateral used in tri-party repos. Agency debentures and strips and agency MBS that was used as collateral both decreased as a share of the total tri-party repo collateral by 0.5% and 0.4%, respectively.
Haircuts remained relatively stable with the median haircut remaining constant for all collateral types.
The statistics are available here.
Good day. Good reading. TSR