The Federal Reserve Bank of New York released their monthly statistics of the U.S. tri-party repo market for December 2015.
As of December 9, 2015, the total collateral in the U.S. tri-party repo market decreased by approximately $23 billion to $1.593 trillion. U.S. Treasuries excluding strips collateral value decreased for the second straight month, moving lower by $30.14 billion to $654.57 billion. Collateralized Debt Obligations (CDOs) collateral increased $570 million to $1.39 billion, which was a near 70% month-over-month increase from November. Equities collateral rose for the second straight month with a slight increase of $2.71 billion to $148.31. Corporates Investment Grade collateral increased by $6.46 billion to $52.57 billion.
Median margin levels remained stable for the majority of collateral types. Along with the 70% increase in collateral value, the median margin level for CDOs dropped back to 8% from 15% in November. Asset-Backed Securities Non-Investment Grade decreased by 2% to 8%. Median margin levels for Agency Collateralized Mortgage Obligations (CMOs), CMO Private Label Investment Grade, International Securities and Money Market collateral increased by 1%, 2%, 0.3% and 2%, respectively.
The December statistics can be found here.
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