Markit Securities Finance has partnered with BNY Mellon to offer its clients access to data on US dollar tri-party repo transactions data with balances in excess of $1 trillion.
It is the first time that clients will be able to see aggregated US tri-party repo data at a granular level (including cash currency, open/term and transaction numbers spanning all asset classes). Markit is offering clients API and Excel beta trials ahead of a launch in the next couple of months.
Markit Securities Finance has integrated aggregate tri-party US Dollar Repo data and position updates from BNY Mellon into the reports and analysis provided to clients including banks, insurance companies, fund managers and corporations. The data includes a two-year history and represents outstanding positions in excess of $1 trillion, based on BNY Mellons estimated 80% share of the triparty repo market.
The aggregate repo data provides visibility into the key drivers of Repo pricing at market, sector and security levels. It will provide repo market participants with information on maturities, haircuts, collateral type, currency and collateral quality.
David Carruthers, managing director, Markit Securities Finance, said: We are pleased to have integrated comprehensive US Dollar Repo data alongside our securities lending flow data. We are confident it will provide our clients with insight into the Repo and collateral markets and foster greater transparency and better price discovery.
Markit will provide data on BNY Mellon’s repo balances in addition to the coverage of $2 trillion of securities on loan it currently covers.
Carruthers said: “The new service was given impetus as the Dodd Frank Act mandated the pledging of collateral into law for OTC derivatives deals. For example, insurers doing interest rate swaps must post initial margin and there is potentially a shortage of government bonds available for this purpose. The service extends to other collateral types, helping borrowers and lenders in their choice of which collateral to borrow and accept. Additionally, repo rates and flows information allows the market to price collateral transformation swaps.”
The new service also addresses the New York Federal Reserve tri-party repo reform initiative, which aims to ensure the system is robust and diversified as repo transactions include more diverse forms of collateral.
The next step will be to include Euros into the service. “We already get some data on Euros and we will probably be talking to other providers, including banks and trust banks about expanding the service to include this currency,” said Carruthers.
Over the coming weeks, Markit will compile a list of beta trialists including stock loan clients and repo desks and add stock loan clients to test the new data. “They will be getting to grips with the data set delivered via excel, said Carruthers. Following that, Markit will launch a web front for a broader audience including corporate treasurers, money market fund managers and risk managers.
(JDC)