Tri-Party Repo Infrastructure Task Force to Publish Monthly Data on New Website
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July 30, 2010
TO: MONEY MARKET FUNDS ADVISORY COMMITTEE No. 31-10MUNICIPAL SECURITIES ADVISORY COMMITTEE No. 29-10
SEC RULES MEMBERS No. 71-10 RE: TRI-PARTY REPO INFRASTRUCTURE TASK FORCE TO PUBLISH MONTHLY DATA ON NEW WEBSITE
Yesterday, the Payments Risk Committee announced that the Tri-Party Repo Infrastructure Reform Task Force (“the Task Force”) will publish new summary statistics on tri-party repo margins by asset class, as recommended by the Task Force to improve the U.S. tri-party repo market infrastructure. [1] These summary statistics, which were first released when the Task Force issued its final report in May 2010, are now available on a new web site dedicated to these statistics and other information regarding the Task Force’s activities and recommendations.
The tri-party repo margin summary statistics will be published monthly and will represent the entire population of securities allocated in U.S.-based tri-party repo transactions. The underlying data will be collected by the two tri-party repo clearing banks and summarized by the Federal Reserve Bank of New York (“the NY Fed”).
The summary will show aggregate statistics on repo collateral and cash investor margin levels by asset class. In addition, summary information on market concentration, represented by the three largest dealer holdings, will be shown both by asset group and in total. The underlying data will be obtained as of the close of business on the seventh business day of each month. Summary statistics for June and July 2010 are now available.
For a link to the new website and the monthly margin data, see http://www.newyorkfed.org/tripartyrepo.
Jane G. Heinrichs
Senior Associate Counsel
endnotes
[1] For a link to the Payments Risk Committee press release, see http://www.newyorkfed.org/prc/prc_100729.pdf.