The Federal Reserve Bank of New York released their monthly statistics of the U.S. tri-party repo market for September 2015.
As of September 10, 2015, the total collateral in the U.S. tri-party repo market moved slightly higher by approximately $2.5 billion to $1.607 trillion. U.S. Treasuries excluding strips collateral increased by $45 billion to $659 billion, comprising 41% of total tri-party repo collateral. On the other hand, Equities collateral experienced a decrease of $25 billion to $140 billion, although Equities still remained the largest proportion of the non-Fedwire-eligible securities. U.S. Agency mortgage-backed securities collateral also decreased by approximately $10.39 billion to $448.26 billion.
Median margin levels largely remained stable, with the exception of Collateralized Debt Obligations (CDOs) and Money Market collateral. CDOs had a second straight month of decreased median margin levels from 8% to 7% (down from 14.8% in July 2015). Money Market collateral median margin levels moved from 5% to 3%.
The September statistics can be found here.
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