The Federal Reserve Bank of New York (FRBNY) released their monthly statistics of the U.S. tri-party repo market for June 2016.
As of June 9, 2016, the total collateral in the U.S. tri-party repo market increased by $9.04 billion to approximately $1.591 trillion. U.S. Agency Mortgage-Backed Securities decreased $13.5 billion. U.S. Treasuries excluding Strips collateral increased $21.8 billion to $738.52 billion, continuing the trend we noted last month and hitting a new all-time high. Equities collateral decreased approximately $5.50 billion to $112.66 billion, which is a new rolling 12-month low (previously $113.50 billion in the April 11, 2016 data).
Median margin levels largely remained stable. Investment Grade and Non-Investment Grade Asset-Backed Securities increased by 10 basis points and 3 percentage points to 5.1% and 15%, respectively. Collateralized Debt Obligations collateral rose over 3 percentage points to a 10.3% median margin level. The median margin level for International Securities decreased from 5% to 3%, while the median margin level for Money Market collateral edged up 10 basis points to 4.4%.
The June statistics can be found here.
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