Presentation for the February 22, 2017 Meeting of
the Alternative Reference Rates Committee
Fixed Income Clearing Corporation (FICC) Data on Cleared Bilateral (DVP)
Overnight Treasury Repo
1
The charts and tables in this presentation are intended to shed some light on the segment of the overnight
bilateral repo market collateralized with U.S. Treasury securities and cleared by FICC through its
Delivery-versus-Payment (DVP) repo service. FICC has provided an anonymized sample of data on all
these trades from August 2014 through October 2016 to the Board of Governors. Board staff have
conducted preliminary analysis of this data, including example calculations as to how inclusion of this
data could affect the rates proposed for publication by the Federal Reserve Bank of New York and Office
of Financial Research, and intend to publish a short FEDS Notes based on the material shown here.
Table 1
FICC DVP Repo and GC Repo Statistics
(Average daily values Dec 17, 2015 to Oct 31, 2016)
All
volume
($ billions)
standard deviation
($ billions)
median rate
(basis points)
standard deviation
(basis points)
FICC DVP
Recently
Issued*
Seasoned*
Tri-party
ex. GCF
GCF
Federal
Reserve
Trades
$424
$103
$320
$278
$46
$92
$22
$10
$19
$30
$13
$71
42
27
44
31
48
25
8
12
8
3
11
share above Federal
79%
60%
85%
99.7%
99.7%
Reserve ONRRP rate
* Recently issued includes DVP transactions using on-the-run and first-off-the-run collateral, while
seasoned includes all other transactions.
2
Table 2
Difference between FRBNY and OFR Proposed GC Repo Rates with and without FICC DVP Repo
(Dec 17, 2015 to Oct 31, 2016)
Rate 1
(Tri-party ex. GCF)
average volume
($ billions)
standard deviation
of volume
($ billions)
volume-weighted
median rate
(basis points)
standard deviation
of the median rate
(basis points)
Rate 2
(Tri-party including GCF)
Rate 3
(Tri-party including GCF
and Fed trades)
With
Base rate
seasoned
DVP
Base rate
With
seasoned
DVP
Base rate
With
seasoned
DVP
$278
$598
$324
$644
$416
$736
$30
$40
$25
$33
$59
$72
31
32
31
33
30
31
3
4
3
4
3
3
3
Billions
Figure 1
Overnight Treasury Repo Volumes
500
500
450
450
400
400
350
350
300
300
250
250
200
200
150
150
100
100
50
50
0
Sep-14
Dec-14
Mar-15
Jun-15
DVP
1.00
Fed OMOs
Dec-15
Mar-16
Triparty
Jun-16
Sep-16
0
GCF
Figure 2
Overnight Treasury Repo Rates
(percent)
1.40
1.20
Sep-15
1.40
GCF
1.20
DVP
Triparty
1.00
Fed OMOs
0.80
0.80
0.60
0.60
0.40
0.40
0.20
0.20
0.00
0.00
-0.20
Sep-14
Dec-14
Mar-15
Jun-15
Sep-15
Dec-15
Mar-16
Jun-16
Sep-16
-0.20
4
Figure 3
Overnight Treasury Repo Rate Distributions
Billions
(average daily volume 12/17/2015 to 10/31/2016)
100
90
80
70
60
100
Fed ONRRP
90
Triparty
DVP seasoned collateral
80
DVP recently issued collateral
70
GCF
60
50
50
40
40
30
30
20
20
10
10
0
0
-0.10 -0.05 0.00 0.05 0.10 0.15 0.20 0.25 0.30 0.35 0.40 0.45 0.50 0.55 0.60 0.65 0.70
Figure 4
DVP Seasoned Collateral Rate Distribution
(percent)
1.30
1.10
0.90
0.70
1.30
DVP 10th to 90th percentiles
1.10
DVP Interquartile Range
DVP median
0.90
Triparty median
GCF median
0.70
ONRRP median
0.50
0.50
0.30
0.30
0.10
0.10
-0.10
Sep-14
Dec-14
Mar-15
Jun-15
Sep-15
Dec-15
Mar-16
Jun-16
Sep-16
-0.10
5
Figure 5
Rate 1 with and without DVP
(percent)
0.50
0.50
0.40
Rate 1 with DVP (seasoned collateral)
0.40
0.30
Rate 1 base
0.30
0.20
0.20
0.10
0.10
0.00
Sep‐14
0.00
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐15
Mar‐16
Jun‐16
Sep‐16
Rate 2 with and without DVP (percent)
0.50
0.40
0.50
Rate 2 with DVP (seasoned collateral)
Rate 2 base
0.40
0.30
0.30
0.20
0.20
0.10
0.10
0.00
Sep‐14
0.00
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐15
Mar‐16
Jun‐16
Sep‐16
Rate 3 with and without DVP (percent)
0.50
0.40
0.50
Rate 3 with DVP (seasoned collateral)
Rate 3 base
0.40
0.30
0.30
0.20
0.20
0.10
0.10
0.00
Sep‐14
0.00
Dec‐14
Mar‐15
Jun‐15
Sep‐15
Dec‐15
Mar‐16
Jun‐16
Sep‐16
6 0.18
Figure 6
Effect on Proposed Rates of Including Seasoned DVP
(percentage points)
0.18
Rate 3 difference
0.16
Rate 2 difference
0.16
0.14
Rate 1 difference
0.14
0.12
0.12
0.10
0.10
0.08
0.08
0.06
0.06
0.04
0.04
0.02
0.02
0.00
0.00
-0.02
Sep-14
1.35
1.15
0.95
Dec-14
Mar-15
Jun-15
Sep-15
Dec-15
Mar-16
Jun-16
Sep-16
Figure 7
Distributions of Rate 3 with and without Seasoned DVP
(percent)
-0.02
1.35
with DVP - 5th and 95th percentiles
1.15
with DVP - 25th and 75th percentiles
without DVP - 5th and 95th percentiles
0.95
without DVP - 25th and 75th percentiles
0.75
0.75
0.55
0.55
0.35
0.35
0.15
0.15
-0.05
Sep-14
Dec-14
Mar-15
Jun-15
Sep-15
Dec-15
Mar-16
Jun-16
Sep-16
-0.05
7