The Federal Reserve Bank of NY released their monthly statistics of the U.S. tri-party repo market for December.
For the month ending December 10, 2013, the total collateral in the U.S. tri-party repo market decreased by $21.6 billion, a decrease of less than 0.015%. Corporates Investment Grade and Money Market led the increases of $5.8 billion (an increase of 12.6%) and $1.18 billion (an increase of 6%) respectively, while US Treasury Strips lead the decrease by $3.15 billion, or 7.10%.
Haircuts remained relatively stable with the median haircut remaining constant for all collateral types except for ABS Investment Grade, which increased from 5% to 5.2%.
The statistics are available here.
Good day. Good statistics. TSR
This article is presented for informational purposes only and is not intended to constitute legal advice.
