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Exhibit 1: Bid-Ask Spreads in the Inter-Dealer Treasury Market
32nds

1.00

10-Year
5-Year

0.75
2-Year

0.50

0.25

0.00
2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

Source: FRBNY staff calculations, based on data from BrokerTec.
Notes: The exhibit plots 21-day moving averages of average daily bid-ask spreads for on-the-run notes. Spreads are measured in 32nds of a point where a point
equals one percent of par.

Exhibit 2: Treasury Price Impact

32nds per $1 billion

30
10-Year

25

5-Year
2-Year

20

15

10

5

0
2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

Source: Source: FRBNY staff calculations, based on BrokerTec data.
Notes: The chart plots 21-week moving averages of price impact, estimated from weekly regressions over 5-minute intervals for on-the-run, interdealer transactions.

Exhibit 3: Treasury Yield Curve Fitting Errors
Basis points

25

20

15

10

5

0
2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

Source: FRBNY staff calculations, based on data from the Federal Reserve Board and BrokerTec.
Notes: The exhibit plots the 21-day moving average of absolute yield curve fitting errors for two- to ten-year coupon securities from the Nelson-SiegelSvensson
model of Gurkaynak, Sack, and Wright (described in "The U.S. Treasury Yield Curve: 1961 to Present," Journal of Monetary Economics 54, [2007])

Exhibit 4: Agency MBS Effective Bid-Ask Spread
Basis points
3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0
2011

2012

2013

2014

2015

Source: FINRA, TRACE
Notes: This exhibit plots 20-day moving average of dealer-to-customer purchases and sales across 30- and 15-year TBA securities 2.0-7.0 percent coupons. The
effective bid-ask spread is the daily average sell price minus buy price, divided by mid-price.

Exhibit 5: Agency MBS Average Daily Trade Size
$ millions

$50

Dealer-to-Customer
$40

All
Dealer-to-Dealer

$30

$20

$10

$0
2011

2012

2013

Source: FINRA, TRACE
Notes: This exhibit plots the 20-day moving average of sale and purchase sizes by market segment.

2014

2015

Exhibit 6: Agency MBS Price Impact (Amihud Measure)
Basis points per $100 million
8

7

6

5

4

3

2

1

0
2011

2012

2013

2014

2015

Source: FRBNY Staff Calculations using FINRA and TRACE data
Notes: This exhibit plots the Amihud Measure of price impact, measured as the absolute value of daily returns divided by daily volume. Returns are computed
from daily volume weighted average price across securities.

Exhibit 7: Bid-Ask Spreads in 10-Year Treasury by Type of Market Participant, October 15th, 2014
256ths

$ per 100 par
Retail Sales

Event Window

105

100
80

PTF

60

Bank/Dealer

40

Price (RHS)

104

20
103

0
-20
-40

102
-60
-80
-100
8:00

101
10:00

12:00

14:00

Source: BrokerTec
Notes: This exhibit plots bid-ask spreads offered by principal trading firms (PTFs) as a positive distance from zero and banks/dealers bid-ask spreads as a
negative distance from zero. Underlying security is the on-the-run 10-yr Treasury note, and time increments are in seconds.

Exhibit 8: Market Depth in 10-Year Note, October 15th, 2014

$ millions

$ per 100 par
Retail Sales

Event Window

Depth (LHS)

105

1,400
Price (RHS)

104

1,200

1,000
103
800

102

600

400
101
200

0
8:00

10:00

12:00

14:00

100
16:00

Source: BrokerTec
Notes: This exhibit plots the sum of order amounts in the top 10 layers of both the bid and ask sides of the BrokerTec limited order book for the on-the-run 10yr note in 1 second increments.

Exhibit 9: Dealer Responsiveness to Requests for Quotes, October 15, 2014

# of RFQs
Event window

1200

45%
40%

Number of Requests (LHS)
1000

35%

Percent of requests without responses (RHS)
800

30%
25%

600
20%
400

15%
10%

200
5%
0%

0
8:00

9:00

10:00

11:00

12:00

13:00

14:00

15:00

Source: Bloomberg
Note: This exhibit plots the frequency of requests for quotes (RFQs) on the Bloomberg trading platform for the on-the-run 10-Yr Treasury against the proportion
that did not receive a response in 15 minute increments

Exhibit 10: Spread between Dealer-to-Client and Interdealer Market for 10-Year Treasury, October 15th,
2014
ticks (64ths)

$ per 100 par

20

105

RFQ-IDB Spread

15

10-Year Price (RHS)

104
10
103

5

0

102

-5
101
-10

-15
8:00

100
9:00

9:40

10:10

11:20

13:05

14:45

Source: TradeWeb, Bloomberg
Notes: The exhibit plots the maximum and minimum difference in transactions prices between dealer-to-client request for quote (RFQ) trading platforms and
time-matched (at the second-level) transactions prices in the interdealer brokered (IDB) market for the on-the-run 10-yr over rolling 5 minute intervals. The line
plot is the price of the 10-yr note in the IDB market.

Exhibit 11: Dealer Repo Financing
$ trillions

6

5

4

3

2

1

0
1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Source: FRBNY staff calculations, based on FR2004 data.
Note: The exhibit plots aggregate primary dealer repo financing (defined as securities out) for Treasuries, agencies, and agency MBS.

Exhibit 12: Dealer Assets
$ trillions

5

4

3

2

1

0
1990

1992

1994

1996

1998

2000

2002

2004

2006

2008

2010

2012

2014

Source: FRBNY staff calculations, based on data from the Financial Accounts of the United States (Flow of Funds), obtained through Haver Analytics.
Note: This exhibit plots total end-of-period financial assets for securities brokers and dealers.

2016

Exhibit 13: 10-Year Treasury Swap Spreads
Percent (Annualized)

1.40
Swap - Yield

1.20
1.00
0.80
0.60
0.40
0.20
0.00
-0.20
-0.40
2000

2002

2004

2006

2008

2010

2012

Source: FRBNY staff calculations, based on FRBH.15 data from the Federal Reserve Board.
Notes: The exhibit plots the spread between the 10-year mid-market par swap rate and the10-year treasury note constant maturity yield.

2014

2016