The Federal Reserve Bank of New York released their monthly statistics of the U.S. tri-party repo market for July 2015.
As of July 9, 2015, the total collateral in the U.S. tri-party repo market increased by approximately $16 billion to $1.6 trillion. Most of the increase was due to U.S. Treasuries excluding strips collateral which increased approximately $40.4 billion to $643.95 billion. U.S. Agency mortgage-backed securities decreased by approximately $6.89 billion, while U.S. Agency collateralized mortgage obligations (CMOs) moved higher by approximately $5.36 billion. Median margin levels largely remained stable, with slight decreases for collateralized debt obligations, CMO private label investment grade and whole loans collateral.
Effective August 3, 2015, the FRBNY added two new reverse repo counterparties: Federal Home Loan Bank Pittsburgh and The Money Market Portfolio managed by Franklin Advisors, Inc.
The July statistics can be found here.
Good Day. DR2.