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Treasury Market Liquidity Metrics and Fails
Treasury Market Practices Group Chart Pack
Tuesday, September 24, 2019
0
5
10
15
20
25
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
2010 2012 2014 2016 2018
$ Mlns$ Mlns 30-Year 10-Year5-Year 2-Year (RHS)
Source: BrokerTec, Federal Reserve Bank of New York
Figure 1: Average Trade Size of Benchmark Treasuries (30 Day Moving Average)
0
10
20
30
40
50
60
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
$ Blns30-Year 10-Year5-Year 2-Year
Source: BrokerTec, Federal Reserve Bank of New York
Figure 2: Daily Trade Volume of Benchmark Treasuries (30-Day Moving Average)
-200
-150
-100
-50
0
50
100
150
200
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
$ Mlns
30-Year 10-Year 5-Year
Source: BrokerTec, Federal Reserve Bank of New York
Figure 3: Average Size at Top of Book of Benchmark Treasuries
(30 Day Moving Average)
050100150200250300350400450500
0102030405060708090
100
2013 2014 2015 2016 2017 2018 2019
# of CUSIPS$ Blns FICC Treasury Fails (LHS)
Number of Securities Failing (RHS)
Calculated from data provided to the Federal Reserve Bank of New York by Fixed Income Clearing Corporation, a subsidiary of The Depository Trust & Clearing Corporation.
Figure 4: FICC Treasury Fails
AssetLevel
Yesterday1-Week Change
1-Month Change
Since June TMPG Year-to-Date
Treasuries2-Year Treasury 1.68% -8 +15 -5 -8110-Year Treasury 1.73% -12 +19 -26 -9630-Year Treasury 2.17% -15 +15 -35 -842-Year 10-Year Spread 4 bps -4 +4 -21 -15
MortgagesPrimary Mortgage Rate 3.74% -5 -1 -23 -77FNCL Current Coupon Yield 2.64% -16 +17 -5 -86
Short Term Interest RatesEffective Fed Funds 1.90% -0.35 -0.22 -0.48 -0.50SOFR Rate 1.85% -0.58 -0.25 -0.56 -1.153-Month LIBOR-OIS 32 bps +2 +4 +17 -8
Policy ExpectationsNovember 2019 Fed Funds 1.74% -0.05 +0.08 +0.00 -0.67January 2020 Fed Funds 1.60% -0.03 +0.11 -0.00 -0.78January 2021 Fed Funds 1.22% -0.05 +0.22 -0.02 -0.95
EquitiesS&P 500 Futures 2997 -0.1% +4.9% +2.5% +19.2%KBW Bank Index 100.56 -1.2% +12.3% +5.7% +17.2%Brent Crude $64.77 -6.2% +9.2% -0.4% +20.4%
Credit Spread to Treasury5-Year Investment Grade 113 bps -3 -6 -4 -405-Year High Yield 360 bps +4 -47 -18 -166
Volatility MeasuresCurrency Vol.- CVIX Index 7 pps +0 -1 +1 -2Rate Vol.- MOVE Index 81 bps -5 -11 +7 +14
Source: Bloomberg
Price Table - Tuesday, September 24, 2019
ii. After Haver refresh, drag down formulas in Columns A-I; Haver has a 1 week lag on the agency fails
c. Barc Data
d. Yield
i. Refresh Bloomberg data (Bloomberg add-in > Refresh workbook)
ii. Drag down the formulas in Columns O-R
e. Figure 25_29
i. Drag down the formulas in Columns AE-AI
4. Make sure all charts include most up to date data
5. Confirm trip wires are showing proper dates
8. Once charts are good, print to PDF and email
a. Save the pdf in the TMPG Chart Pack folder.
9/23/2019
Tuesday, September 24, 2019
MBS and Agency Debt Market Liquidity Metrics
0
15
30
45
60
75
90
105
120
0
100
200
300
400
500
600
700
800
900
2011 2012 2013 2014 2015 2016 2017 2018 2019
$ Blns$ Blns
Fails To Deliver (LHS)
Net Fails (RHS)
Source: FR2004
Fails Charge Implemented
Fails Charge Announced
Figure 1: Weekly Agency MBS Fails 4 Week Moving Average
-4
-2
0
2
4
6
8
10
12
0
5
10
15
20
25
30
35
40
45
2011 2012 2013 2014 2015 2016 2017 2018 2019
$ Blns$ Blns
Fails to Receive (LHS)
Net Fails (RHS)
Source: FR2004
Fails Charge Implemented
Fails Charge Announced
Figure 2: Weekly Agency Debt Fails 4 Week Moving Average
0
20
40
60
80
100
120
140
2008 2010 2012 2014 2016 2018
$ Blns
Source: FR2004
Figure 4: Monthly Average of Primary Dealer Agency Debt Trading Volumes
80
90
100
110
120
130
2.0
2.5
3.0
3.5
4.0
4.5
5.0
06/16 12/16 06/17 12/17 06/18 12/18 06/19
bpsbpsP/S Spread (RHS)FN Current Coupon (LHS)FGLMC Primary Rate (LHS)
Source: Bloomberg Finance L.P.
Figure 5: Primary/Secondary Spread
-2
0
2
4
6
8
10
2013 2014 2015 2016 2017 2018 2019
32ndsFNCL G2SF
Source: J.P. Morgan DataQuery
Mo
re S
pe
cia
lL
ess S
pe
cia
l
Figure 6: 30 Year Current CouponRoll Specialness
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
2012 2013 2014 2015 2016 2017 2018 2019
$ Trlns
Trillions
<=2.5 3.0 3.5 4.0 4.5 >=5.0
Figure 3: Monthly MBS Trading Volume by Coupon
Note: Includes dealer-to-dealer outright sales and dealer-to-customer outright purchases and sales through 09/19/2019.Source: TRACE