Figure 1 Average Distribution of Overnight Federal Funds Rates - - PowerPoint PPT Presentation

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Feb 04, 2023 464 likes •635 views

Figure 1 Average Distribution of Overnight Federal Funds Rates Pre-Liftoff Percent of Volumes Post-Liftoff 100 0.36% 0.11% 80 60 40 20 0 0.00 0.10 0.20 0.30 0.40 0.50 0.60 Rate (%) Distributions include 1st, 10th, 20th, 25th,

SLIDE 1

20 40 60 80 100 0.00 0.10 0.20 0.30 0.40 0.50 0.60 Rate (%)

Figure 1 Average Distribution of Overnight Federal Funds Rates

Pre-Liftoff Post-Liftoff

Distributions include 1st, 10th, 20th, 25th, 30th, 40th, 50th, 60th, 70th, 75th, 80th, 90th, and 99th percentiles. Dashed lines represent volume-weighted median rates. Pre-Liftoff includes data from November 2 through December 16, 2015. Post-Liftoff includes data from December 17 through February 17, excluding December 31. Source: Federal Reserve (FR 2420) Note: Chart revised on 2/26/2016

Percent of Volumes

0.11% 0.36%

SLIDE 2

0.1 0.2 0.3 0.4 0.5 0.6 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Percent

Figure 2 Effective Federal Funds Rate

Federal Funds Target Range Effective Federal Funds Rate

The effective federal funds rate is a volume-weighted average of rates on trades arranged by major brokers. Source: Federal Reserve Bank of New York, FOMC

Year- End

SLIDE 3

0.0 0.1 0.2 0.3 0.4 0.5 0.6 Nov-15 Dec-15 Jan-16 Feb-16 Percent

Figure 3 Volume-Weighted Mean and Median Overnight Federal Funds Rates

Volume-Weighted Median Volume-Weighted Mean

Source: Federal Reserve (FR 2420)

Dec. FOMC

SLIDE 4

20 40 60 80 100 0.00 0.10 0.20 0.30 0.40 0.50 0.60 Rate (%)

Figure 4 Average Distribution of Overnight Eurodollar Rates

Pre-Liftoff Post-Liftoff

Distributions include 1st, 10th, 20th, 25th, 30th, 40th, 50th, 60th, 70th, 75th, 80th, 90th, and 99th percentiles. Dashed lines represent volume-weighted median rates. Pre-Liftoff includes data from November 2 through December 16, 2015. Post-Liftoff includes data from December 17 through February 17, excluding December 31. Source: Federal Reserve (FR 2420) Note: Chart revised on 2/26/2016

Percent of Volumes

0.12% 0.36%

SLIDE 5

0.0 0.1 0.2 0.3 0.4 0.5 0.6 Nov-15 Dec-15 Jan-16 Feb-16 Percent

Figure 5 Volume-Weighted Mean and Median Overnight Eurodollar Rates

Volume-Weighted Median Volume-Weighted Mean

Source: Federal Reserve (FR 2420)

Dec. FOMC

SLIDE 6

20 40 60 80 100 0.00 0.10 0.20 0.30 0.40 0.50 Rate (%)

Figure 6 Average Distribution of Overnight Treasury Tri-party Repo Rates

Pre-Liftoff Post-Liftoff

Distributions include 1st, 10th, 20th, 25th, 30th, 40th, 50th, 60th, 70th, 75th, 80th, 90th, and 99th percentiles. Dashed lines represent volume-weighted median rates. Treasury GCF repo transactions are not included in these data. Pre-Liftoff includes data from November 2 through December 16, 2015. Post-Liftoff includes data from December 17 through February 17, excluding December 31. Source: BNYM, JPMC Note: Chart revised on 2/26/2016

Percent of Volumes

0.08% 0.30%

SLIDE 7

0.1 0.2 0.3 0.4 0.5 0.6 0.7 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Percent

Figure 7 3-Month Term Money Market Rates

U.S. T-Bill AA Financial Commercial Paper Overnight Indexed Swap (EFFR)

Source: Federal Reserve Board of Governors, Bloomberg

Dec. FOMC

SLIDE 8

Percentile 12/30/2015 12/31/2015 1st 0.25 0.08 25th 0.34 0.15 50th 0.35 0.15 75th 0.35 0.25 99th 0.56 0.57

Source: Federal Reserve (FR 2420)

Figure 8 Volume-Weighted Percentiles of Overnight Federal Funds Rates Around Year- End (in Percent)

SLIDE 9

Percentile 12/30/2015 12/31/2015 1st 0.25 0.04 25th 0.34 0.15 50th 0.35 0.25 75th 0.36 0.29 99th 0.40 0.52

Source: Federal Reserve (FR 2420)

Figure 9 Volume-Weighted Percentiles of Overnight Eurodollar Rates Around Year-End (in Percent)

SLIDE 10

50 100 150 200 250 USD, billions Federal Funds Eurodollars ON RRPs

Source: Federal Reserve (FR 2420), Federal Reserve Bank of New York

Figure 10 Daily Volume Change in Overnight Money Market Investments on Year-End

SLIDE 11

50 100 150 200 250 300 350 400 450 500 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 USD, billions

Figure 11 ON RRPs and Term RRPs Outstanding

Money Funds Government-Sponsored Enterprises Primary Dealers Banks

Source: Federal Reserve Bank of New York Note: Chart revised on 2/26/2016

Dec. FOMC

SLIDE 12

50 100 150 200 250 300 350 400 Nov-15 Dec-15 Jan-16 Feb-16 USD, billions

Figure 12 Overnight Secured and Unsecured Volumes

Federal Funds Eurodollars Treasury Repo

Treasury Repo includes tri-party Treasury GC and GCF volumes. Source: Federal Reserve (FR 2420), Federal Reserve Bank of New York, BNYM, JPMC, DTCC

Year- End Dec. FOMC

SLIDE 13

50 100 150 200 250 Nov-15 Dec-15 Jan-16 Feb-16 USD, billions Non-Bank Financial Institutions (Eurodollars) Government-Sponsored Enterprises (Fed Funds)

Source: Federal Reserve (FR 2420)

Year- End Dec. FOMC

Figure 13 Overnight Federal Funds and Eurodollar Volumes for Select Lender Types

SLIDE 14

Quarter >$10 Billion Overnight >$30 Billion Combined Term and Overnight Q1 2015 58 Q2 2015 49 Q3 2015 29 Q4 2015 73 Q1 2016 10

Q1 2016 includes data through February 17. Source: Federal Reserve Bank of New York Note: Chart revised on 2/26/2016

Figure 14 Number of Large RRP Bid Submissions

SLIDE 15

50 100 150 200 250 300 350 400 450 500 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 USD, billions

Figure 15 Aggregate RRPs Outstanding

Term Overnight

Source: Federal Reserve Bank of New York Note: Chart revised on 2/26/2016

SLIDE 16

Quarter Foreign Repo Pool Rate Standard Deviation Foreign Repo Pool Rate less Tri-party Rate Correlation Q1 2015 0.07 0.03

0.012

0.980 Q2 2015 0.09 0.03

0.009

0.982 Q3 2015 0.11 0.03

0.011

0.990 Q4 2015 0.12 0.09

0.014

0.998 Q1 2016 0.33 0.02

0.003

0.885

Average rates are calculated over business days. Tri-party Rate includes tri-party Treasury GC and GCF. Q1 2016 includes data through February 17. Note: Chart revised on 2/26/2016

20 40 60 80 100 0.00 0.10 0.20 0.30 0.40 0.50 0.60 Rate (%)

Figure 1 Average Distribution of Overnight Federal Funds Rates

Pre-Liftoff Post-Liftoff

Percent of Volumes

0.11% 0.36%

0.1 0.2 0.3 0.4 0.5 0.6 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Percent

Figure 2 Effective Federal Funds Rate

Federal Funds Target Range Effective Federal Funds Rate

The effective federal funds rate is a volume-weighted average of rates on trades arranged by major brokers. Source: Federal Reserve Bank of New York, FOMC

Year- End

0.0 0.1 0.2 0.3 0.4 0.5 0.6 Nov-15 Dec-15 Jan-16 Feb-16 Percent

Figure 3 Volume-Weighted Mean and Median Overnight Federal Funds Rates

Volume-Weighted Median Volume-Weighted Mean

Source: Federal Reserve (FR 2420)

Dec. FOMC

20 40 60 80 100 0.00 0.10 0.20 0.30 0.40 0.50 0.60 Rate (%)

Figure 4 Average Distribution of Overnight Eurodollar Rates

Pre-Liftoff Post-Liftoff

Percent of Volumes

0.12% 0.36%

0.0 0.1 0.2 0.3 0.4 0.5 0.6 Nov-15 Dec-15 Jan-16 Feb-16 Percent

Figure 5 Volume-Weighted Mean and Median Overnight Eurodollar Rates

Volume-Weighted Median Volume-Weighted Mean

Source: Federal Reserve (FR 2420)

Dec. FOMC

20 40 60 80 100 0.00 0.10 0.20 0.30 0.40 0.50 Rate (%)

Figure 6 Average Distribution of Overnight Treasury Tri-party Repo Rates

Pre-Liftoff Post-Liftoff

Percent of Volumes

0.08% 0.30%

0.1 0.2 0.3 0.4 0.5 0.6 0.7 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Percent

Figure 7 3-Month Term Money Market Rates

U.S. T-Bill AA Financial Commercial Paper Overnight Indexed Swap (EFFR)

Source: Federal Reserve Board of Governors, Bloomberg

Dec. FOMC

Percentile 12/30/2015 12/31/2015 1st 0.25 0.08 25th 0.34 0.15 50th 0.35 0.15 75th 0.35 0.25 99th 0.56 0.57

Source: Federal Reserve (FR 2420)

Figure 8 Volume-Weighted Percentiles of Overnight Federal Funds Rates Around Year- End (in Percent)

Percentile 12/30/2015 12/31/2015 1st 0.25 0.04 25th 0.34 0.15 50th 0.35 0.25 75th 0.36 0.29 99th 0.40 0.52

Source: Federal Reserve (FR 2420)

Figure 9 Volume-Weighted Percentiles of Overnight Eurodollar Rates Around Year-End (in Percent)

50 100 150 200 250 USD, billions Federal Funds Eurodollars ON RRPs

Source: Federal Reserve (FR 2420), Federal Reserve Bank of New York

Figure 10 Daily Volume Change in Overnight Money Market Investments on Year-End

50 100 150 200 250 300 350 400 450 500 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 USD, billions

Figure 11 ON RRPs and Term RRPs Outstanding

Money Funds Government-Sponsored Enterprises Primary Dealers Banks

Source: Federal Reserve Bank of New York Note: Chart revised on 2/26/2016

Dec. FOMC

50 100 150 200 250 300 350 400 Nov-15 Dec-15 Jan-16 Feb-16 USD, billions

Figure 12 Overnight Secured and Unsecured Volumes

Federal Funds Eurodollars Treasury Repo

Treasury Repo includes tri-party Treasury GC and GCF volumes. Source: Federal Reserve (FR 2420), Federal Reserve Bank of New York, BNYM, JPMC, DTCC

Year- End Dec. FOMC

50 100 150 200 250 Nov-15 Dec-15 Jan-16 Feb-16 USD, billions Non-Bank Financial Institutions (Eurodollars) Government-Sponsored Enterprises (Fed Funds)

Source: Federal Reserve (FR 2420)

Year- End Dec. FOMC

Figure 13 Overnight Federal Funds and Eurodollar Volumes for Select Lender Types

Quarter >$10 Billion Overnight >$30 Billion Combined Term and Overnight Q1 2015 58 Q2 2015 49 Q3 2015 29 Q4 2015 73 Q1 2016 10

Q1 2016 includes data through February 17. Source: Federal Reserve Bank of New York Note: Chart revised on 2/26/2016

Figure 14 Number of Large RRP Bid Submissions

50 100 150 200 250 300 350 400 450 500 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 USD, billions

Figure 15 Aggregate RRPs Outstanding

Term Overnight

Source: Federal Reserve Bank of New York Note: Chart revised on 2/26/2016

Quarter Foreign Repo Pool Rate Standard Deviation Foreign Repo Pool Rate less Tri-party Rate Correlation Q1 2015 0.07 0.03

0.980 Q2 2015 0.09 0.03

0.982 Q3 2015 0.11 0.03

0.990 Q4 2015 0.12 0.09

0.998 Q1 2016 0.33 0.02

0.885

Average rates are calculated over business days. Tri-party Rate includes tri-party Treasury GC and GCF. Q1 2016 includes data through February 17. Note: Chart revised on 2/26/2016

Figure 16 Average Daily Foreign Repo Pool and Tri-party Repo Rates

Source: Federal Reserve Bank of New York, BNYM, JPMC, DTCC