The Federal Reserve Bank of New York released their monthly statistics of the U.S. tri-party repo market for February and March 2016.
As of February 9, 2016, the total collateral in the U.S. tri-party repo market increased by nearly $7.1 billion to $1.585 trillion. U.S. Treasuries excluding Strips collateral value decreased $9.7 billion to $689.72 billion. U.S. Agency Mortgage-Backed Securities increased by $31.91 billion to $441.35 billion. Equities collateral decreased by nearly $24 billion to $113.66 billion. Corporates Investment Grade collateral increased by $2.44 billion to $46.93 billion.
Median margin levels largely remained stable. The median margin level for Collateralized Debt Obligations decreased from 8% to 6%. The median margin level for CMO Private Label Investment Grade collateral decreased from 7% to 6%. The median margin levels for International Securities and Money Market collateral decreased by 1% and 0.5%, respectively.
The February statistics can be found here.
As of March 9, 2016, the total collateral in the U.S. tri-party repo market increased by nearly $13.1 billion to $1.598 trillion. U.S. Treasuries excluding Strips collateral value increased $33.2 billion to $722.92 billion. U.S. Agency Mortgage-Backed Securities decreased by nearly $20.1 billion to $420.36 billion. Equities collateral increased by nearly $4.9 billion to $118.5 billion but remains well below its May 2015 high of $168.51 billion. Municipality Debt collateral increased $2.13 billion, nearly 25% from February.
Median margin levels largely remained stable. The median margin level for Agency CMOs increased from 3% to 3.9%. The median margin level for ABS Investment Grade collateral increased from 5% to 5.2%. The median margin level for CMO Private Label Investment Grade collateral increased from 6% to 7%. The median margin levels for International Securities and Money Market increased by 3% and 0.5%, respectively.
The March statistics can be found here.
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