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Simon Potter Money Marketeers, April 15, 2015 Figure 1 Projected Path of Reserve Balances USD, trillions 3.5 3.0 2.5 2.0 1.5 1.0 0.5 Historical values 0.0 2012 2013 2014 Projections (rounded) 2015 2016 2017 2018 2019 2020 2021 Historical values include reserves, RRP open market operations, and term deposits. Source: FRBNY staff projections (December 2014). Figure 2 Overnight Interest Rates Percent 0.3 Treasuries - DTCC GCF Repo Index® Fed funds effective rate Rate of interest on excess reserves ON RRP offering rate 0.25 0.2 0.15 0.1 0.05 0 2013 2014 2015 Five-day moving averages except for ON RRP offering rate. Sources: Federal Reserve, The Depository Trust & Clearing Corporation. 1 Simon Potter Money Marketeers, April 15, 2015 Figure 3 Cumulative Distribution of Overnight Fed Funds Volumes during Rate Test, by Rate ON RRP offering rate = 5 bps (pre-test) ON RRP offering rate = 7 bps (test period) ON RRP offering rate = 10 bps (test period) Percent of Volumes 100 80 60 40 20 0 0.00 0.02 0.04 0.06 0.08 Rate (%) 0.10 0.12 0.14 Pre-test period captures rate distributions in October 2014. Test period for an ON RRP offering rate of 7 basis points was November 17 to November 28, 2014, and for a rate of 10 basis points was December 1 to December 12, 2014. Source: Federal Reserve (FR 2420). Figure 4 Cumulative Distribution of Overnight Fed Funds Volumes before and after Rate Test, by Rate ON RRP offering rate = 5 bps (pre-test) ON RRP offering rate = 5 bps (post-test) Percent of Volumes 100 80 60 40 20 0 0.00 0.02 0.04 0.06 0.08 Rate (%) 0.10 0.12 0.14 Pre-test period captures rate distributions in October 2014. Post-test period captures rate distributions from December 15, 2014, through March 2015. 2 Simon Potter Money Marketeers, April 15, 2015 Figure 5 Distribution of Rates on Overnight Fed Funds Transactions 90th percentile Median 10th percentile Percent 0.14 0.12 0.10 0.08 0.06 0.04 0.02 0.00 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Volume weighted. Five-day moving averages. Source: Federal Reserve (FR 2420). Figure 6 Reverse Repos Outstanding USD, billions ON RRPs Term RRPs 400 350 300 250 200 150 100 50 0 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Temporary open market operations only. Source: FRBNY. 3 Simon Potter Money Marketeers, April 15, 2015 Figure 7 Overnight Fed Funds Volumes Reported through FR 2420 USD, billions 70 60 50 40 30 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Five-day moving average. Source: Federal Reserve (FR 2420). 4