The Federal Reserve recently released its monthly statistics of the U.S. Tri-Party Repo Market for April 2016. Between March 9, 2016 and April 11, 2016, total collateral decreased by approximately $82 billion to $1.517 trillion, with the majority of the decrease attributed to the collateral value for U.S. Treasuries excluding Strips. The collateral value for US Treasuries Strips increased slightly from approximately $32 billion to $35 billion. Equities collateral suffered a decrease of $5 billion resulting in total collateral of $113.5 billion. There was little change in the collateral value for Agency MBS which saw a slight decrease of $820 million to a total value of $419.54 billion.
In regards to median margin levels, CDO collateral increased from 9% to 15%, Whole Loans collateral decreased from 10% to 6%, Agency CMOs had a slight decrease of 0.9% to 3% and ABS Investment Grade collateral decreased 0.2% to 5%.