The Federal Reserve Bank of New York released their monthly statistics of the U.S. tri-party repo market for June 2015.
As of June 9, 2015, the total collateral in the U.S. tri-party repo market decreased by approximately $32.32 billion to $1.584 trillion. Most of the decrease was in U.S. Agency mortgage-backed securities collateral which decreased approximately $21.17 billion to $444.59 billion. U.S. Treasury strips also decreased by approximately $7.5 billion, while Non-Investment grade corporates edged higher by approximately $1.08 billion. Median margin levels remained stable.
Of note, the FRBNY reformatted the data, grouping collateral as Fedwire-eligible and Non-Fedwire-eligible securities. The FRBNY also provided a detailed breakdown of CDO, International Securities, Money Market, Municipality Debt, and Whole Loans collateral, which were previously included as part of the “Other” collateral category.
The June statistics can be found here.
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