The Federal Reserve Bank of New York (FRBNY) released their monthly statistics of the U.S. tri-party repo market for October and November 2016.
October
As of October 12, 2016, the total collateral in the U.S. tri-party repo market increased by over $116 billion to approximately $1.765 trillion. U.S. Treasuries excluding Strips collateral jumped $108.56 billion to $893.06 billion, setting a new all-time high for the sixth straight month. The percentage share of U.S. Treasuries excluding Strips of the total tri-party repo collateral was also an all-time high at 50.6%. U.S. Agency Mortgage-Backed Securities collateral increased $7.76 billion to $446.21 billion. Money Market collateral decreased 13% over the previous month to $11.34 billion.
Median margin levels largely remained stable. There were no changes in the Fedwire-eligible collateral. The median margin level for CDOs rose by 2.6% to 9.0%. The median margin levels for CMO Private Label Non Investment Grade and CMO Private Label Investment Grade decreased by 2 percentage points to 8% each. International Securities moved higher from 2.0% to 3.0%.
The October statistics can be found here.
November
As of November 9, 2106, the total collateral in the U.S. tri-party repo market decreased by $36.07 billion to approximately $1.729 trillion. U.S. Treasuries excluding Strips collateral halted its six month climb, decreasing $41.69 billion to $851.37 billion. There were minor movements in the rest of the tri-party market collateral.
Median margin levels largely remained stable. There were no changes in the Fedwire-eligible collateral. The median margin level for Investment Grade Asset Backed Securities edged higher by 0.2%. The median margin levels for CDOs reversed course, decreasing by 3.0% to 6.0%. The median margin levels for CMO Private Label Non Investment Grade and International Securities increased by 2 percentage points to 10% and 5%, respectively.
The November statistics can be found here.
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