The Federal Reserve Bank of New York (FRBNY) released their monthly statistics of the U.S. tri-party repo market for July 2016.
As of July 12, 2016, the total collateral in the U.S. tri-party repo market decreased by $3.95 billion to approximately $1.588 trillion. Money Market collateral decreased the largest amount by $5.16 billion. U.S. Agency Mortgage-Backed Securities collateral decreased $4.23 billion, while U.S. Agency Debentures & Strips moved in the opposite direction, increasing by $4.18 billion. This was a nearly 10% month-over-month increase for Agency Debentures & Strips. U.S. Treasuries excluding Strips collateral continued to move higher, edging up $2.64 billion to $741.16 billion and setting a new all-time high for the second straight month.
Median margin levels largely remained stable. Agency Debentures & Strips increased 1% and was the only Fedwire-eligible collateral to change. The median margin levels for Non-Investment Grade Asset-Backed Securities (ABS), Collateralized Debt Obligations and Money Market collateral all decreased by more than 30% of their previous median margin levels to 10%, 7% and 3%, respectively. The median margin levels for Investment Grade ABS and International Securities collateral increased by 0.9% and 2% to 6% and 5%, respectively.
The July statistics can be found here.
Good Day. DR2.