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.
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