The Federal Reserve Bank of NY released their monthly statistics of the U.S. tri-party repo market for February and March.
For the month ending February 11, 2013, the total collateral in the U.S. tri-party repo market decreased by $21 billion, a decrease of 1.1%. The total collateral in the U.S. tri-party repo market decreased by another $19 billion, or 1%, for the month ending March 11, 2013 resulting in $1.83 trillion in collateral overall. While the amount of collateral decreased for most asset classes, agency debentures and Strips increased in both February and March by 13.6% and 6.4% respectively. In February, the amount of US Treasuries, excluding Strips, held as collateral fell by $32 billion, a decrease of 5%.
Haircuts remained relatively stable with the median haircut remaining constant during February and March.