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Figure 1 Effective Federal Funds Rate bps 100 90 Federal Funds Target Range Effective Federal Funds Rate 80 70 60 50 40 30 20 10 0 Jan-15 Jul-15 Source: Federal Reserve Bank of New York. Jan-16 Jul-16 Jan-17 Figure 2 Average Distribution of Overnight Federal Funds Activity Percent of Volume 12/1/2016-12/14/2016 12/15/2016-12/29/2016 3/16/2017-3/30/2017 100 80 60 40 20 0 0 20 40 60 Rate (bps) 80 100 120 Distributions include 1st, 10th, 20th, 25th, 30th, 40th, 50th, 60th, 70th, 75th, 80th, 90th, 99th percentiles. Dashed lines represent the ON RRP rate for each period. Solid line represents IOER as of 3/15/17. Source: Board of Governors, Staff Calculations. Figure 3 Average Distribution of Overnight Tri-Party Repo Activity Percent of Volume 12/1/2016-12/14/2016 100 12/15/2016-12/29/2016 3/16/2017-3/24/2017 80 60 40 20 0 0 20 40 60 80 100 Rate (bps) Distributions include 1st, 10th, 20th, 25th, 30th, 40th, 50th, 60th, 70th, 75th, 80th, 90th, 99th percentiles. Dashed lines represent the ON RRP rate for each period. Solid line represents IOER as of 3/15/17. Source: Bank of New York Mellon, J.P. Morgan Chase, Staff Calculations. Figure 4 Taxable Money Market Funds’ Assets Under Management $bln 3000 Prime Government 2500 2000 1500 1000 500 0 Sep-15 Dec-15 Mar-16 Jun-16 Note: Dashed line represents money market reform implementation date. Source: iMoneyNet. Sep-16 Dec-16 Figure 5 Composition of Assets Held by Taxable Money Market Funds $bln 3000 Bank Liabilities* Repo with Private Counterparties Agencies Floating Rate Notes Repo with the Fed Treasury Securities 2500 2000 1500 1000 500 0 Jan-15 May-15 Sep-15 Jan-16 May-16 Sep-16 *Bank liabilities consist of time deposits, commercial paper, and domestic and foreign bank obligations as defined by iMoneyNet. Source: iMoneyNet, Federal Reserve Bank of New York. Figure 6 Federal Reserve RRP Outstanding by Counterparty Type $bln 500 450 Banks Government-Sponsored Enterprises Government Money Market Funds Primary Dealers Prime and Tax-Exempt Money Market Funds 400 350 300 250 200 150 100 50 0 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Note: Figures are daily and include overnight and term transactions. Money market fund categorizations are staff estimates until October 14, 2016. Source: Federal Reserve Bank of New York. Figure 7 Treasury General Account Balance $bln 450 400 350 300 250 200 150 100 50 0 Jan-09 Jan-11 Source: Board of Governors. Jan-13 Jan-15 Jan-17 Figure 8 Foreign Repo Pool Balance $bln 300 250 200 150 100 50 0 Jan-09 Jan-11 Source: Board of Governors. Jan-13 Jan-15 Jan-17 Figure 9 Selected Overnight Money Market Rates % 1.4 Overnight Bank Funding Rate 1.2 Interdealer (GCF) Repo Rate Tri-Party Customer-to-Dealer Rate 1 0.8 0.6 0.4 0.2 0 Oct-15 Dec-15 Feb-16 Apr-16 Jun-16 Aug-16 Oct-16 Dec-16 Feb-17 Note: OBFR prior to publication in March 2016 reflects staff estimates. Source: Federal Reserve Bank of New York, DTCC Solutions, LLC, Bank of New York Mellon, J.P. Morgan Chase. Figure 10 Dispersion Index from Duffie and Krishnamurthy (2016) bps 120 100 80 60 40 20 0 Jan-02 Jan-04 Jan-06 Jan-08 Source: Staff Calculations, Duffie/Krishnamurthy. Jan-10 Jan-12 Jan-14 Jan-16 Figure 11 Dispersion of Overnight Unsecured Transactions bps Liftoff Q4 2015 Q1 2016 Q2 2016 Q3 2016 10 12/14/16 Rate HikeQ4 2016 March FOMC 9 8 7 6 5 4 3 2 1 0 Oct-15 Dec-15 Feb-16 Apr-16 Source: Board of Governors, Staff Calculations. Jun-16 Aug-16 Oct-16 Dec-16 Feb-17 Figure 12 Dispersion of Overnight Secured Transactions bps 7 Liftoff Q4 2015 Q1 2016 Q2 2016 Q3 2016 12/14/16 Rate Hike Q4 2016 March FOMC 6 5 4 3 2 1 0 Oct-15 Dec-15 Feb-16 Apr-16 Jun-16 Aug-16 Source: Bank of New York Mellon, J.P. Morgan Chase, Staff Calculations. Oct-16 Dec-16 Feb-17 Figure 13 Dispersion of Overnight Secured and Unsecured Transactions bps 10 Liftoff Q4 2015 Q1 2016 Q2 2016 12/14/16 Q3 2016 Rate Hike Q4 2016 March FOMC 9 8 7 6 5 4 3 2 1 0 Oct-15 Dec-15 Feb-16 Apr-16 Jun-16 Aug-16 Oct-16 Dec-16 Source: Bank of New York Mellon, J.P. Morgan Chase, Board of Governors, Staff Calculations. Feb-17 Figure 14 Spread of 3-Month ICE LIBOR to Overnight Index Swaps bps 120 OIS LIBOR 100 80 60 40 20 0 Jan-15 Jul-15 Jan-16 Note: LIBOR is fixing, OIS is end-of-day Source: ICE Benchmark Administration, Bloomberg. Jul-16 Jan-17 Figure 15 Interdealer and Customer-to-Dealer Repo Rates* % 1.40 Interdealer (GCF) Repo Rate 1.20 Tri-Party Customer-to-Dealer Rate 1.00 0.80 0.60 0.40 0.20 0.00 Oct-15 Dec-15 Feb-16 Apr-16 Jun-16 Aug-16 Oct-16 Dec-16 Feb-17 *The GCF rate is calculated as a volume-weighted mean while the tri-party rate is calculated as a volume-weighted median. Source: Federal Reserve Bank of New York, DTCC Solutions, LLC. Figure 16 3-Month Foreign Exchange Swap Basis Spreads bps 120 EUR-USD Swap Basis USD-JPY Swap Basis 100 USD-CHF Swap Basis More expensive to fund USD in FX swaps 80 60 40 20 0 Jun-15 Source: Bloomberg. Dec-15 Jun-16 Dec-16