The Federal Reserve Bank of New York (FRBNY) released their monthly statistics of the U.S. tri-party repo market for April 2016.
As of April 11, 2016, the total collateral in the U.S. tri-party repo market decreased by $81.97 billion to approximately $1.517 trillion. The majority of the decrease was in U.S. Treasuries excluding Strips collateral value, which decreased by $66 billion to $656.32 billion. U.S. Agency Mortgage-Backed Securities decreased by nearly $82 million to $419.54 billion. Equities collateral reversed the previous-month’s increase, dropping $5 billion to a 12-month low of $113.5 billion.
Median margin levels largely remained stable. Collateralized Debt Obligations collateral spiked 9% to a 15% median margin level. The median margin level for Whole Loan collateral decreased to 6%, which is the lowest median margin level on record for Whole Loans since the FRBNY started collecting tri-party repo market data. The median margin level for Agency CMOs decreased from 3.9% to 3%. The median margin level for ABS Investment Grade collateral decreased from 5.2% to 5%.
The April statistics can be found here.
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