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