The Federal Reserve Bank of New York released their monthly statistics of the U.S. tri-party repo market for November 2015.

As of November 10, 2015, the total collateral in the U.S. tri-party repo market decreased by approximately $19 billion to $1.616 trillion.  After increasing by nearly $100 billion during the last two months, U.S. Treasuries excluding strips collateral decreased by $27 billion to $684.7 billion, though remaining the largest percentage of total tri-party repo collateral.  U.S. Agency mortgage-backed securities collateral slightly increased by $11 billion to $435.6 billion.  U.S. Agency Collateralized Mortgage Obligations (CMOs) decreased approximately 10% to $73.15 billion, while Private Label Investment Grade CMOs fell by approximately 16% to $8.59 billion.  Equities collateral reversed a two-month decline, moving up by $7.5 billion to $145.60 billion.

The median margin level for Collateralized Debt Obligations nearly doubled for the November statistics to 15% from 8% in October.  Median Margin levels for Money Market and Private Label Investment Grade CMOs fell 2% to 3% and 5%, respectively.  The median margin level for International Securities was 2%, down slightly from 3% for October.  Median margin levels otherwise remained stable.

The November statistics can be found here.

Good Day. DR2.