Overnight repo still shines
14 January 2016 New York
Image: Shutterstock
More than half of repo trades collateralised with US treasuries are overnight or open trades, according to the Federal Reserve Bank of New York’s survey.
Only 28 percent of repo trades have a maturity of up to a month and 19 percent of transactions have a maturity longer than one month.
Bilateral trades involving equity securities have even shorter maturities with 94 percent being open.
The New York Fed collected three snapshots of the repo books of nine banks at the closing of three reporting days in 2015: 12 January, 10 February and 10 March.
The survey took transaction level detail about all outstanding US-dollar-denominated bilateral repo and securities lending contracts against cash at the end of these dates.
The New York Fed also found that 61 percent of transactions involved US treasury securities taken in and 81 percent for securities lent out.
The second largest asset class is equities, which represent 21 percent of securities taken in and 15 percent of securities lent out.
Other important asset classes are private label structured products (such as collateralised mortgage obligations, mortgage-backed securities and asset-backed securities) and corporate debt.
Finally, when analysing whether securities lending or repo contracts were most popular the report highlighted that securities lending contracts are used almost exclusively when dealers exchange equities for cash.
They are also are heavily relied upon when dealing with corporate securities. However, for US treasuries and agency securities, repo agreements are more common.
Only 28 percent of repo trades have a maturity of up to a month and 19 percent of transactions have a maturity longer than one month.
Bilateral trades involving equity securities have even shorter maturities with 94 percent being open.
The New York Fed collected three snapshots of the repo books of nine banks at the closing of three reporting days in 2015: 12 January, 10 February and 10 March.
The survey took transaction level detail about all outstanding US-dollar-denominated bilateral repo and securities lending contracts against cash at the end of these dates.
The New York Fed also found that 61 percent of transactions involved US treasury securities taken in and 81 percent for securities lent out.
The second largest asset class is equities, which represent 21 percent of securities taken in and 15 percent of securities lent out.
Other important asset classes are private label structured products (such as collateralised mortgage obligations, mortgage-backed securities and asset-backed securities) and corporate debt.
Finally, when analysing whether securities lending or repo contracts were most popular the report highlighted that securities lending contracts are used almost exclusively when dealers exchange equities for cash.
They are also are heavily relied upon when dealing with corporate securities. However, for US treasuries and agency securities, repo agreements are more common.
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