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Discussion Paper
Is Risk Rising in the Tri-Party Repo Market?
At the New York Fed, we follow the repo market closely and, with some of my colleagues, I’ve tried to keep readers of this blog informed about how the market works, how it’s being reformed, and what risks remain. We’re always encouraged when others share our interest in this market, so we read a recent Fitch report—“Repo Emerges from the ‘Shadow’”—closely (the report is available at www.fitchratings.com). At first glance, the report is a bit worrisome, as it argues that the repo market has recently seen a large increase in riskier types of collateral. So we decided to take a ...
Speech
Remarks at The Evolving Structure of the U.S. Treasury Market: Third Annual Conference, Federal Reserve Bank of New York, New York City
Remarks at The Evolving Structure of the U.S. Treasury Market: Third Annual Conference, Federal Reserve Bank of New York, New York City.
Report
Fire-sale spillovers and systemic risk
We reveal and track over time the factors making the financial system vulnerable to fire sales by constructing an index of aggregate vulnerability. The index starts increasing in 2004, before any other major systemic risk measure, more than doubling by 2008. The fire-sale-specific factors of delevering speed and concentration of illiquid assets account for the majority of this increase. Individual banks? contributions to aggregate vulnerability are an excellent five-year-ahead predictor of SRISK, one of the most prominent systemic risk measures. Had our estimates been available at the time, ...
Discussion Paper
Remaining Risks in the Tri-Party Repo Market
The tri-party repo market is one in which large U.S. securities firms and bank securities affiliates (dealers) finance much of their fixed-income securities inventories. A New York Fed white paper and the Financial System Oversight Council annual report have highlighted the risks to financial stability arising from the current infrastructure of this market. The Tri-Party Repo Infrastructure Reform Task Force (Task Force), an industry group sponsored by the New York Fed, has been working on reforms that would address some of these concerns. Unfortunately, a key aspect of the reforms—capped ...
Discussion Paper
The Tri-Party Repo Market Like You Have Never Seen It Before
The tri-party repo market is a large and important market where securities dealers find a substantial amount of short-term funding. Despite its importance, this market was very opaque before the crisis. Since March 2010, in accordance with recommendation 13 of the Task Force on Tri-Party Repo Infrastructure Reform report, the Federal Reserve Bank of New York has made monthly data on the tri-party repo market available to the public. Today, with our new interactive tool, there is a whole new way to view the market and its evolution. You can make your own charts, looking at volumes for specific ...