The Federal Reserve Bank of New York released their monthly statistics of the U.S. tri-party repo market for August 2015.
As of August 11, 2015, the total collateral in the U.S. tri-party repo market edged higher by approximately $5 billion to $1.604 trillion. U.S. Treasuries excluding strips collateral remained the largest percentage of total tri-party repo collateral, despite a decrease of approximately $30 billion to $614 billion. U.S. Agency mortgage-backed securities collateral increased approximately $22.55 billion to $458.65 billion. Median margin levels remained stable for most asset groups with the exception of Collateralized Debt Obligations, which saw median margin levels move from 14.8% in July to 8% in August, and Private Label Collateralized Mortgage Obligations (Investment Grade), which moved from 6% to 5%.
Of note, Equities collateral remained the largest proportion of the non-Fedwire-eligible asset groups at approximately $165 billion.
The August statistics can be found here.
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