Accessible Version
Monitoring Risk From Collateral Runs, Accessible Data
Figure 1.
The figure presents two graphical representations of a representative dealer's balance sheet. Asset positions are represented by green diamonds, SFTs are represented by blue rectangles, unsecured liabilities are represented by a yellow oval, and an orange hexagon for excess cash. On the first balance sheet, green diamonds and blue rectangles on the asset side are larger than those on the liability side, leaving space for a yellow oval. On the second balance sheet, the green diamonds and blue rectangles on the liability side are larger than those on the asset side, leaving space for an orange hexagon. The second balance sheet captures the idea that if contracting terms between borrowing and lending are different, then a dealers can extract extra cash from intermediating funds between end borrowers and lenders.
Figure 2.
The figure presets 4 panels, each with three lines representing the cross sectional quartiles of primary dealers’ RRWs from all SFTs. The panel on the top left shows the RRW for all collateral classes; with the 75th percentile between 0 and 10%; the 50th percentile fluctuating around 0%; and the 25th percentile between minus 15 and minus 10%. The panel on the top right shows the RRW for US Treasuries; with the 75th percentile fluctuating around 0%; the 50th percentile fluctuating around minus 10%; and the 25th percentile fluctuating around minus 20%. The panel on the bottom left shows the RRW for corporate bonds; with the 75th percentile fluctuating around 0%, but increasing towards 25% at the end of the sample; the 50th percentile fluctuating around 0%; and the 25th percentile somewhat more volatile, starting -75% at the beginning of the sample and reaching -25% towards the end of the sample. The panel on the bottom right shows the RRW for Agency MBS; with the 75th percentile increasing from 40% at the beginning of the sample to 60% towards the end of the sample; the 50th percentile between minus 10 and 40%; and the 25th percentile fluctuating around 0%.
Figure 3.
The figure presets 4 panels, each with three lines representing the cross sectional quartiles of primary dealers’ RRWs from repo. The panel on the top left shows the RRW for all collateral classes; with the 75th percentile fluctuating around 20%; the 50th percentile fluctuating around 10%; and the 25th fluctuating around 0%. The panel on the top right shows the RRW for US Treasuries; with the 75th percentile fluctuating around 10%; the 50th percentile fluctuating around minus 0%; and the 25th percentile between 0 and minus 10%. The panel on the bottom left shows the RRW for corporate bonds; with the 75th percentile increasing from around 50% to about 75% at the end of the sample; the 50th percentile fluctuating around 50%; and the 25th between 0 and 25%. The panel on the bottom right shows the RRW for Agency MBS; with the 75th percentile between 25% and 50%; the 50th percentile between 0 and 20%; and the 25th percentile fluctuating around 0%.