The Federal Reserve Bank of New York released their monthly statistics of the U.S. tri-party repo market for January 2016.
As of January 12, 2016, the total collateral in the U.S. tri-party repo market decreased by approximately $14 billion to $1.578 trillion. U.S. Treasuries excluding strips collateral value increased nearly $45 billion to $699.43 billion. U.S. Agency Mortgage-Backed Securities decreased by $20.82 billion to $430.26 billion. After moving higher the two previous months, Equities collateral decreased by nearly $10 billion to $137.54 billion. Corporates Investment Grade collateral decreased by $8.08 billion to $44.49 billion.
Median margin levels largely remained stable. The median margin level for U.S. Agency Collateralized Mortgage Obligations decreased from 4% to 3%. The median margin levels for Asset-Backed Securities Non-Investment Grade collateral and International Securities increased by 2% and 0.7%, respectively.
The January statistics can be found here.
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