The Federal Reserve Bank of New York released their monthly statistics of the U.S. tri-party repo market for October 2015.
As of October 9, 2015, the total collateral in the U.S. tri-party repo market increased by $27.7 billion to approximately $1.635 trillion. U.S. Treasuries excluding strips collateral increased by more than $52 billion to $711 billion. Over the last two months, U.S. Treasuries excluding strips have increased nearly $100 billion, now comprising 43.5% of total tri-party repo collateral. U.S. Agency mortgage-backed securities collateral decreased by approximately $24 billion for the third consecutive monthly decline. Private Label Collateralized Mortgage Obligations (CMOs) (Investment Grade) collateral increased by $960 million, representing a greater-than 10% increase from September. Equities collateral edged slightly lower for the second month in a row, decreasing $1.6 billion to a new 2015 low of $138 billion. Equities collateral remains 18% off its May 2015 high of $168.51 billion.
The October 2015 statistics indicate several moves in median margin levels. Collateralized Debt Obligations and Money Market collateral reversed their September moves, increasing to 8% and 5%, respectively. Private Label CMOs (Investment Grade) margin levels increased from 5% to 8%, and Asset-Backed Securities (Non-Investment Grade) increased from 8% to 10%. International Securities were the only collateral with decreased margin levels, moving from 5% to 3%.
The October statistics can be found here.
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