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.

The statistics for February are available here and for March are available here.

Good day. Good reading. TSR