The Federal Reserve Bank of NY released their monthly statistics of the U.S. tri-party repo market for September.
For the month ending September 11, 2013, the total collateral in the U.S. tri-party repo market decreased by $68 billion, a decrease of 0.4%. The amount of collateral decreased for almost every asset class, with Corporates Non Investment Grade leading the decrease by $1.5 billion, or 8.6%.
Haircuts remained relatively stable with the median haircut remaining constant for all collateral types in September.
The statistics are available here.
