The Federal Reserve Bank of New York (FRBNY) released their monthly statistics of the U.S. tri-party repo market for May 2016.

As of May 10, 2016, the total collateral in the U.S. tri-party repo market increased by $65.85 billion to approximately $1.582 trillion. The majority of the increase was in U.S. Treasuries excluding Strips (UST) collateral, which increased by $60.4 billion to $716.72 billion.  That is the second-highest collateral value for UST since the FRBNY began collecting the tri-party repo data.  The highest value was in the March 9, 2016 data at $722.92 billion.  We have seen a recent trend upward in both UST’s collateral value and share of the total market, as illustrated by the chart below.  While difficult to say for certain, the uptick may be in part due to money market mutual funds’ conversion from prime funds to government funds and other efforts to comply with the money market fund reforms adopted by the U.S. Securities Exchange Commission in 2014 (see Steve Keen’s most recent article on the topic here). We’ll be monitoring this trend to see if it continues.

Tri-party Repo Data

Median margin levels largely remained stable. Collateralized Debt Obligations collateral dropped 8 percentage points to a 7% median margin level.  The median margin level for ABS Non Investment Grade collateral increased from 10% to 12%.  The median margin level for Money Market collateral decreased from 5.0% to 4.3%.

The May statistics can be found here.

Good Day. DR2.