The Federal Reserve Bank of New York (FRBNY) released their monthly statistics of the U.S. tri-party repo market for March 2017. Beginning with the March 2017 data, the FRBNY will no longer publish the PDF and excel files containing single month statistics to which we ordinarily provide a hyperlink. Instead, tri-party repo statistics will only be available on a consolidated basis through the FRBNY’s tri-party repo interactive tool (available here) and master excel data file (current version here).
As of March 9, 2017, total collateral in the U.S. tri-party repo market rose over $102 billion to a new multi-year high of $1.804 trillion, which was the sixth straight month above the $1.70 trillion level. The increase is largely attributable to the increase of U.S. Treasuries excluding strips collateral by $126.26 billion to $945.44 billion – the highest collateral level since the FRBNY began publishing tri-party repo statistics. This was countered by a $32 billion (nearly 8%) month-over-month decrease for U.S. Agency Mortgage-Backed Securities.
Median margin levels largely remained stable. The median margin level for Investment Grade Asset-Backed Securities increased from 5% to 6%, while Private Label, Non-Investment Grade Collateralized Mortgage Obligations collateral decreased from 10% to 8%.
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