What Drives U.S. Treasury Re-use?
Description
Based on confidential supervisory data, this dataset estimates the degree of collateral re-use at the dealer level through their collateral multiplier: the ratio between a dealer's total secured funding and their outright holdings financed through secured funding. Treasury re-use increases as the supply of available securities decreases, especially when supply declines due to Federal Reserve asset purchases. Non-U.S. dealers' re-use increases when profits from intermediating cash are high, U.S. dealers' re-use increases when demand to source on-the-run Treasuries is high, and both types of dealers' re-use can alleviate safe asset scarcity. Finally, there was a sharp drop in Treasury re-use at the onset of the COVID-19 pandemic, with a subsequent reversal after the Federal Reserve's intervention to support market functioning.
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Tags
- federal-reserve-balance-sheet
- data-resource
- financial-markets
- primary-dealers
- u-s-treasury-securities
- frs-research-data
- capital-markets