Presentation for the February 22, 201 7 Meeting of the Alternative Reference Rates Committee Fixed Income Clearing Corporation (FICC) Data on Cleared Bilateral (DVP) Overnight Treasury Repo 1
The charts and tables in this presentation are intended to shed some light on the segment of the overnight bilateral repo market collateralized with U.S. Treasury securities and cleared by FICC through its Delivery-versus-Payment (DVP) repo service. FICC has provided an anonymized sample of data on all these trades from August 2014 through October 2016 to the Board of Governors. Board staff have conducted preliminary analysis of this data, including example calculations as to how inclusion of this data could affect the rates proposed for publication by the Federal Reserve Bank of New York and Office of Financial Research, and intend to publish a short FEDS Notes based on the material shown here. Table 1 FICC DVP Repo and GC Repo Statistics (Average daily values Dec 17, 2015 to Oct 31, 2016) FICC DVP Federal Tri-party Recently GCF Reserve ex. GCF All Seasoned* Issued* Trades volume $424 $103 $320 $278 $46 $92 ($ billions) standard deviation $22 $10 $19 $30 $13 $71 ($ billions) median rate 42 27 44 31 48 25 (basis points) standard deviation 8 12 8 3 11 (basis points) share above Federal 79% 60% 85% 99.7% 99.7% Reserve ONRRP rate * Recently issued includes DVP transactions using on-the-run and first-off-the-run collateral, while seasoned includes all other transactions. 2
Table 2 Difference between FRBNY and OFR Proposed GC Repo Rates with and without FICC DVP Repo (Dec 17, 2015 to Oct 31, 2016) Rate 3 Rate 1 Rate 2 (Tri-party including GCF (Tri-party ex. GCF) (Tri-party including GCF) and Fed trades) With With With Base rate seasoned Base rate seasoned Base rate seasoned DVP DVP DVP average volume $278 $598 $324 $644 $416 $736 ($ billions) standard deviation of volume $30 $40 $25 $33 $59 $72 ($ billions) volume-weighted median rate 31 32 31 33 30 31 (basis points) standard deviation of the median rate 3 4 3 4 3 3 (basis points) 3
Figure 1 Overnight Treasury Repo Volumes 500 500 Billions 450 450 400 400 350 350 300 300 250 250 200 200 150 150 100 100 50 50 0 0 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 DVP Fed OMOs Triparty GCF Figure 2 Overnight Treasury Repo Rates 1.40 1.40 (percent) GCF 1.20 1.20 DVP Triparty 1.00 1.00 Fed OMOs 0.80 0.80 0.60 0.60 0.40 0.40 0.20 0.20 0.00 0.00 -0.20 -0.20 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 4
Figure 3 Overnight Treasury Repo Rate Distributions (average daily volume 12/17/2015 to 10/31/2016) 100 100 Billions Fed ONRRP 90 90 Triparty 80 DVP seasoned collateral 80 DVP recently issued collateral 70 70 GCF 60 60 50 50 40 40 30 30 20 20 10 10 0 0 -0.10 -0.05 0.00 0.05 0.10 0.15 0.20 0.25 0.30 0.35 0.40 0.45 0.50 0.55 0.60 0.65 0.70 Figure 4 DVP Seasoned Collateral Rate Distribution 1.30 1.30 (percent) DVP 10th to 90th percentiles 1.10 1.10 DVP Interquartile Range DVP median 0.90 0.90 Triparty median GCF median 0.70 0.70 ONRRP median 0.50 0.50 0.30 0.30 0.10 0.10 -0.10 -0.10 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 5
Figure 5 Rate 1 with and without DVP 0.50 0.50 (percent) Rate 1 with DVP (seasoned collateral) 0.40 0.40 Rate 1 base 0.30 0.30 0.20 0.20 0.10 0.10 0.00 0.00 Sep ‐ 14 Dec ‐ 14 Mar ‐ 15 Jun ‐ 15 Sep ‐ 15 Dec ‐ 15 Mar ‐ 16 Jun ‐ 16 Sep ‐ 16 Rate 2 with and without DVP (percent) 0.50 0.50 Rate 2 with DVP (seasoned collateral) 0.40 0.40 Rate 2 base 0.30 0.30 0.20 0.20 0.10 0.10 0.00 0.00 Sep ‐ 14 Dec ‐ 14 Mar ‐ 15 Jun ‐ 15 Sep ‐ 15 Dec ‐ 15 Mar ‐ 16 Jun ‐ 16 Sep ‐ 16 Rate 3 with and without DVP (percent) 0.50 0.50 Rate 3 with DVP (seasoned collateral) 0.40 0.40 Rate 3 base 0.30 0.30 0.20 0.20 0.10 0.10 0.00 0.00 Sep ‐ 14 Dec ‐ 14 Mar ‐ 15 Jun ‐ 15 Sep ‐ 15 Dec ‐ 15 Mar ‐ 16 Jun ‐ 16 Sep ‐ 16 6
Figure 6 Effect on Proposed Rates of Including Seasoned DVP (percentage points) 0.18 0.18 Rate 3 difference 0.16 0.16 Rate 2 difference Rate 1 difference 0.14 0.14 0.12 0.12 0.10 0.10 0.08 0.08 0.06 0.06 0.04 0.04 0.02 0.02 0.00 0.00 -0.02 -0.02 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Figure 7 Distributions of Rate 3 with and without Seasoned DVP (percent) 1.35 1.35 with DVP - 5th and 95th percentiles 1.15 1.15 with DVP - 25th and 75th percentiles without DVP - 5th and 95th percentiles 0.95 0.95 without DVP - 25th and 75th percentiles 0.75 0.75 0.55 0.55 0.35 0.35 0.15 0.15 -0.05 -0.05 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 7
Recommend
More recommend
