The Federal Reserve Bank of New York (FRBNY) released the monthly statistics of the U.S. tri-party repo market for September 2017.
Tri-party repo statistics are 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 September 12, 2017, total collateral in the U.S. tri-party repo market increased by $56 billion to a new multi-year high of $1.88 trillion. As of September 12, 2017, total collateral has remained above the $1.70 trillion level for the last 12 months, since rising to that level in October 2016 for the first time since 2013, and has remained above the $1.80 trillion level for the last five months. As of September 2017, U.S. Treasuries excluding Strips collateral was $928.86 billion, making it the 12th straight month above the $800 billion level.
Other than International Securities (which decreased from 3% to 2%), median margin levels remained stable.
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