Treasury Market Liquidity Metrics and Fails

Treasury Market Practices Group Chart Pack

Tuesday, March 31, 2020

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2010 2012 2014 2016 2018 2020

$ 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)

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2010 2012 2014 2016 2018 2020

$ 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

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-50

0

50

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2010 2012 2014 2016 2018 2020

$ 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 2020

# 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

February TMPG Year-to-Date

Treasuries2-Year Treasury 0.23% -8 -68 -100 -13410-Year Treasury 0.73% -6 -42 -63 -11930-Year Treasury 1.34% -1 -34 -49 -1052-Year 10-Year Spread 49 bps +3 +26 +36 +15

MortgagesPrimary Mortgage Rate 3.80% -8 +18 +14 -6FNCL Current Coupon Yield 1.56% -43 -62 -74 -115

Short Term Interest RatesEffective Fed Funds 0.09% -0.06 -1.49 -1.49 -1.46SOFR Rate 0.01% -0.01 -1.59 -1.58 -1.543-Month LIBOR-OIS 136 bps +25 +113 +124 +102

Policy ExpectationsMay 2020 Fed Funds 0.08% -0.03 -0.95 -1.33 -1.46January 2021 Fed Funds 0.08% -0.00 -0.55 -0.88 -1.30January 2022 Fed Funds 0.13% -0.03 -0.44 -0.73 -1.26

EquitiesS&P 500 Futures 2611 +17.6% -11.4% -16.6% -19.2%KBW Bank Index 67.88 +20.8% -25.9% -31.8% -40.1%Brent Crude $22.76 -15.8% -54.9% -58.6% -65.5%

Credit Spread to Treasury5-Year Investment Grade 284 bps -89 +162 +177 +1915-Year High Yield 902 bps -198 +402 +485 +566

Volatility MeasuresCurrency Vol.- CVIX Index 11 pps -4 +4 +5 +5Rate Vol.- MOVE Index 91 bps -44 -19 +4 +33

Source: Bloomberg

Price Table - Tuesday, March 31, 2020

Tuesday, March 31, 2020

MBS and Agency Debt Market Liquidity Metrics

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2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$ Blns$ Blns

Fails To Deliver Agency MBS (LHS)Fails to Deliver Agency Debt (LHS)Net Fails Agency MBS (RHS)Net Fails Agency Debt (RHS)

Source: FR2004

Fails Charge Implemented

Fails Charge Announced

Figure 1: Weekly Agency MBS and Agency Debt Fails 4-Week Moving Average

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140

2008 2010 2012 2014 2016 2018 2020

$ Blns

Source: FR2004

Figure 2: Monthly Average of Primary Dealer Agency Debt Trading Volumes

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09/16 03/17 09/17 03/18 09/18 03/19 09/19 03/20

bpsPercent

P/S Spread (RHS)FN Current Coupon (LHS)FGLMC Primary Rate (LHS)

Source: Bloomberg Finance L.P.

Figure 5: Primary/Secondary Spread

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2013 2014 2015 2016 2017 2018 2019 2020

32nds

FNCL 2.5 FNCL 3.0 FNCL 3.5

Source: J.P. Morgan DataQuery

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Figure 6: 30-Year Production CouponRoll Specialness

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2012 2013 2014 2015 2016 2017 2018 2019 2020

$ Trlns

<=2.5 3.0 3.5 4.0 4.5 >=5.0

Figure 3: Monthly MBS 30-Year Outright TBA Trading Volume by Coupon

Note: Includes dealer-to-dealer outright sales and dealer-to-customer outright purchases and sales through 03/27/2020.Source: TRACE

0.0

0.1

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2012 2013 2014 2015 2016 2017 2018 2019 2020

$ Trlns

<=2.0 2.5 3.0 3.5 4.0 >=4.5

Figure 4: Monthly MBS 15-Year Outright TBA Trading Volume by Coupon

Note: Includes dealer-to-dealer outright sales and dealer-to-customer outright purchases and sales through 03/27/2020.Source: TRACE