0.00

0.25

0.50

0.75

1.00

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

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

10-Year

5-Year

2-Year

32nds

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.

0

5

10

15

20

25

30

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

32nds per $1 billion

Exhibit 2: Treasury Price Impact

10-Year

5-Year

2-Year

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.

0

5

10

15

20

25

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

Exhibit 3: Treasury Yield Curve Fitting Errors

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])

Basis points

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

2011 2012 2013 2014 2015

Basis pointsExhibit 4: Agency MBS Effective Bid-Ask Spread

Source: FINRA, TRACENotes: 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.

$0

$10

$20

$30

$40

$50

2011 2012 2013 2014 2015

$ millions

Exhibit 5: Agency MBS Average Daily Trade Size

Dealer-to-Customer

All

Dealer-to-Dealer

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

0

1

2

3

4

5

6

7

8

2011 2012 2013 2014 2015

Basis points per $100 million

Exhibit 6: Agency MBS Price Impact (Amihud Measure)

Source: FRBNY Staff Calculations using FINRA and TRACE dataNotes: 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.

101

102

103

104

105

-100

-80

-60

-40

-20

0

20

40

60

80

100

8:00 10:00 12:00 14:00

$ per 100 par256ths

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

PTF

Bank/Dealer

Price (RHS)

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.

Retail Sales Event Window

100

101

102

103

104

105

0

200

400

600

800

1,000

1,200

1,400

8:00 10:00 12:00 14:00 16:00

$ per 100 par$ millions

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

Depth (LHS)

Price (RHS)

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 10-yr note in 1 second increments.

Retail Sales Event Window

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

0

200

400

600

800

1000

1200

8:00 9:00 10:00 11:00 12:00 13:00 14:00 15:00

# of RFQs

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

Number of Requests (LHS)

Percent of requests without responses (RHS)

Source: BloombergNote: 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

Event window

100

101

102

103

104

105

-15

-10

-5

0

5

10

15

20

8:00 9:00 9:40 10:10 11:20 13:05 14:45

$ per 100 particks (64ths)

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

RFQ-IDB Spread

10-Year Price (RHS)

Source: TradeWeb, BloombergNotes: 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.

0

1

2

3

4

5

6

1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

Exhibit 11: Dealer Repo Financing

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.

$ trillions

0

1

2

3

4

5

1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016

Exhibit 12: Dealer Assets

$ trillions

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.

-0.40

-0.20

0.00

0.20

0.40

0.60

0.80

1.00

1.20

1.40

2000 2002 2004 2006 2008 2010 2012 2014 2016

Exhibit 13: 10-Year Treasury Swap Spreads

Swap - Yield

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.

Percent (Annualized)