What Happened in Money Markets after the Fed’s December Rate Increase?, Accessible Data

Accessible version of figures

Figure 1: Overnight Money Market Rates

Note: GCF is General Collateral Finance.

Source: For Treasury GCF Repo, Depository Trust & Clearing Corporation (DTCC); for Federal Funds, Federal Reserve Bank of New York; for Eurodollar, Bloomberg.

Basis points

Date Target Range Low Target Range High Federal Funds Treasury GCF Repo Eurodollar
12/1/2015 0 25 13 18.3 12
12/2/2015 0 25 13 20.1 11.5
12/3/2015 0 25 13 23.4 12
12/4/2015 0 25 13 24.4 12
12/7/2015 0 25 13 27.5 13
12/8/2015 0 25 13 30.3 12.5
12/9/2015 0 25 14 31 14
12/10/2015 0 25 14 26.2 13.5
12/11/2015 0 25 14 22.6 13.5
12/14/2015 0 25 15 23.5 15
12/15/2015 0 25 15 32.9 15
12/16/2015 0 25 15 40 15
12/17/2015 25 50 37 45 36
12/18/2015 25 50 37 43.6 36
12/21/2015 25 50 36 39.5 36
12/22/2015 25 50 36 35.2 36
12/23/2015 25 50 36 40.1 36
12/24/2015 25 50 36 53.9 36
12/28/2015 25 50 36 54.9 36
12/29/2015 25 50 36 50.1 36
12/30/2015 25 50 35 47.5 36
12/31/2015 25 50 20 63.9 18.5
1/4/2016 25 50 36 47.4 36
1/5/2016 25 50 36 48 36
1/6/2016 25 50 36 49.4 36
1/7/2016 25 50 36 46.6 36
1/8/2016 25 50 36 45.7 36
1/11/2016 25 50 36 44.9 36
1/12/2016 25 50 36 44 36
1/13/2016 25 50 36 43.4 36
1/14/2016 25 50 36 43.3 36.5
1/15/2016 25 50 36 44.4 36.5
1/19/2016 25 50 36 44.5 36.5
1/20/2016 25 50 37 46.9 36.5
1/21/2016 25 50 37 50.8 36.5
1/22/2016 25 50 38 56.8 36.5
1/25/2016 25 50 38 48.7 36.5
1/26/2016 25 50 38 46.5 39
1/27/2016 25 50 38 46.3 39
1/28/2016 25 50 38 51.6 39
1/29/2016 25 50 29 53.3 28.5
2/1/2016 25 50 38 48.5 38.5
2/2/2016 25 50 38 50.1 38.5
2/3/2016 25 50 38 49 38.5
2/4/2016 25 50 38 51.7 38
2/5/2016 25 50 38 50.3 38
2/8/2016 25 50 38 48.1 37.2
2/9/2016 25 50 38 49.1 37.1
2/10/2016 25 50 38 49.5 39
2/11/2016 25 50 38 51.7 39
2/12/2016 25 50 38 48.3 38
2/16/2016 25 50 38 50.6 38

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Figure 2: Overnight Money Market Volumes

Note: GCF is General Collateral Finance.

Source: For Treasury GCF Repo, Depository Trust & Clearing Corporation (DTCC); for Federal Funds and Eurodollar, Federal Reserve (FR 2420).

Figure 2 was revised on March 1 to reflect updated Eurodollar data.

Billions of dollars

Date Federal Funds Treasury GCF Repo Eurodollar
12/1/2015 60.019 59 221.658
12/2/2015 69.586 49.8 243.172
12/3/2015 72.304 51.868 226.388
12/4/2015 75.139 48.7 224.428
12/7/2015 70.987 41.68 213.209
12/8/2015 69.34 43.5 226.531
12/9/2015 68.932 54.475 233.704
12/10/2015 71.168 64.5 232.094
12/11/2015 69.687 62.65 234.636
12/14/2015 68.661 52.7 231.695
12/15/2015 71.44 57 229.357
12/16/2015 69.738 72.75 234.525
12/17/2015 73.919 51.95 263.905
12/18/2015 70.731 64.15 252.989
12/21/2015 72.676 62.375 259.286
12/22/2015 71.096 62.925 258.02
12/23/2015 72.488 68.925 256.399
12/24/2015 72.623 52.7 243.412
12/28/2015 72.822 58.525 261.258
12/29/2015 68.406 54.486 263.515
12/30/2015 63.391 49.75 248.469
12/31/2015 44.4 45.334 111.935
1/4/2016 61.501 57.425 239.597
1/5/2016 67.516 47.378 232.336
1/6/2016 69.437 60.685 240.714
1/7/2016 66.974 56.125 242.687
1/8/2016 69.877 37.975 235.313
1/11/2016 68.025 54.77 235.612
1/12/2016 68.491 57.675 231.156
1/13/2016 72.778 59.377 233.088
1/14/2016 71.837 56.386 242.279
1/15/2016 73.092 65.704 245.14
1/19/2016 69.266 60.65 245.595
1/20/2016 66.87 47.116 247.072
1/21/2016 61.586 42.734 227.518
1/22/2016 64.061 43.669 231.915
1/25/2016 62.588 49.968 236.33
1/26/2016 60.503 48.857 247.513
1/27/2016 60.628 37.842 242.323
1/28/2016 56.2 37.8 228.786
1/29/2016 63.365 45.55 199.722
2/1/2016 66.09 50.792 238.215
2/2/2016 68.257 41.621 242.425
2/3/2016 73.807 44.15 252.941
2/4/2016 72.262 48.4 240.725
2/5/2016 73.403 57.094 229.722
2/8/2016 73.308 64.175 244.165
2/9/2016 68.87 46.875 233.489
2/10/2016 74.774 43.65 244.863
2/11/2016 73.243 47.035 231.992
2/12/2016 72.574 47.075 221.841
2/16/2016 67.018 49.94 245.504

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Figure 3: Distribution of Federal Funds Trades

Note: Includes 1st, 10th, 20th, 25th, 30th, 40th, 50th, 60th, 70th, 75th, 80th, 90th, and 99th percentiles. Pre-rate hike is from 2015-12-03 to 2015-12-16. Post-rate hike is from 2015-12-17 to 2016-01-04 excluding year-end.

Source: Federal Reserve (FR 2420).

Percent

Quant Pre--rate Hike Post-rate hike
1 10 28
10 11 32
20 11 34
25 12 34
30 12 35
40 13 35
50 13 35
60 13 35
70 13 35
75 14 36
80 14 36
90 15 37
99 31.25 56.25

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Figure 4: Term Money Market Rates

Source: For U.S. Treasury Bill, Treasury; For AA Financial Commercial Paper, Federal Reserve Board.

Basis Points

Date Target Range Low Target Range High 3-month Treasury Bill 3-month AA Financial Commercial Paper
1/2/2015 0 25 2 16
1/5/2015 0 25 3 16
1/6/2015 0 25 3 17
1/7/2015 0 25 3 17
1/8/2015 0 25 3 16
1/9/2015 0 25 2 17
1/12/2015 0 25 3 17
1/13/2015 0 25 3 17
1/14/2015 0 25 4 17
1/15/2015 0 25 3 15
1/16/2015 0 25 3 14
1/20/2015 0 25 3 17
1/21/2015 0 25 3 17
1/22/2015 0 25 3 15
1/23/2015 0 25 2 14
1/26/2015 0 25 3 16
1/27/2015 0 25 2 16
1/28/2015 0 25 2 15
1/29/2015 0 25 3 16
1/30/2015 0 25 2 15
2/2/2015 0 25 2 16
2/3/2015 0 25 2 16
2/4/2015 0 25 1 15
2/5/2015 0 25 2 15
2/6/2015 0 25 2 17
2/9/2015 0 25 1 14
2/10/2015 0 25 1 17
2/11/2015 0 25 1 16
2/12/2015 0 25 2 16
2/13/2015 0 25 1 13
2/17/2015 0 25 2 19
2/18/2015 0 25 2 14
2/19/2015 0 25 2 15
2/20/2015 0 25 2 14
2/23/2015 0 25 2 14
2/24/2015 0 25 2 14
2/25/2015 0 25 2 15
2/26/2015 0 25 3 14
2/27/2015 0 25 2 15
3/2/2015 0 25 2 14
3/3/2015 0 25 2 14
3/4/2015 0 25 1 14
3/5/2015 0 25 2 13
3/6/2015 0 25 1 14
3/9/2015 0 25 2 13
3/10/2015 0 25 2 18
3/11/2015 0 25 3 14
3/12/2015 0 25 3 14
3/13/2015 0 25 3 12
3/16/2015 0 25 5 15
3/17/2015 0 25 5 14
3/18/2015 0 25 3 14
3/19/2015 0 25 3 14
3/20/2015 0 25 1 13
3/23/2015 0 25 3 15
3/24/2015 0 25 2 14
3/25/2015 0 25 4 14
3/26/2015 0 25 3 20
3/27/2015 0 25 4 15
3/30/2015 0 25 4 NA
3/31/2015 0 25 3 16
4/1/2015 0 25 3 15
4/2/2015 0 25 2 13
4/6/2015 0 25 3 13
4/7/2015 0 25 2 14
4/8/2015 0 25 3 13
4/9/2015 0 25 3 13
4/10/2015 0 25 2 15
4/13/2015 0 25 3 13
4/14/2015 0 25 2 11
4/15/2015 0 25 2 12
4/16/2015 0 25 2 12
4/17/2015 0 25 1 12
4/20/2015 0 25 3 15
4/21/2015 0 25 3 13
4/22/2015 0 25 3 12
4/23/2015 0 25 3 13
4/24/2015 0 25 3 12
4/27/2015 0 25 2 13
4/28/2015 0 25 2 12
4/29/2015 0 25 1 11
4/30/2015 0 25 1 12
5/1/2015 0 25 1 6
5/4/2015 0 25 2 14
5/5/2015 0 25 1 12
5/6/2015 0 25 2 13
5/7/2015 0 25 1 14
5/8/2015 0 25 1 19
5/11/2015 0 25 2 17
5/12/2015 0 25 3 14
5/13/2015 0 25 2 15
5/14/2015 0 25 1 15
5/15/2015 0 25 2 14
5/18/2015 0 25 2 19
5/19/2015 0 25 2 17
5/20/2015 0 25 2 17
5/21/2015 0 25 2 14
5/22/2015 0 25 2 16
5/26/2015 0 25 2 15
5/27/2015 0 25 1 17
5/28/2015 0 25 1 16
5/29/2015 0 25 1 17
6/1/2015 0 25 2 16
6/2/2015 0 25 1 18
6/3/2015 0 25 2 17
6/4/2015 0 25 2 17
6/5/2015 0 25 3 17
6/8/2015 0 25 2 16
6/9/2015 0 25 2 19
6/10/2015 0 25 2 19
6/11/2015 0 25 1 20
6/12/2015 0 25 2 18
6/15/2015 0 25 2 17
6/16/2015 0 25 1 20
6/17/2015 0 25 1 21
6/18/2015 0 25 1 19
6/19/2015 0 25 1 20
6/22/2015 0 25 1 20
6/23/2015 0 25 1 17
6/24/2015 0 25 1 19
6/25/2015 0 25 1 17
6/26/2015 0 25 1 19
6/29/2015 0 25 2 18
6/30/2015 0 25 1 18
7/1/2015 0 25 1 17
7/2/2015 0 25 1 18
7/6/2015 0 25 2 12
7/7/2015 0 25 2 18
7/8/2015 0 25 2 18
7/9/2015 0 25 3 18
7/10/2015 0 25 1 14
7/13/2015 0 25 2 19
7/14/2015 0 25 1 20
7/15/2015 0 25 2 20
7/16/2015 0 25 2 18
7/17/2015 0 25 3 19
7/20/2015 0 25 4 20
7/21/2015 0 25 3 20
7/22/2015 0 25 4 28
7/23/2015 0 25 3 21
7/24/2015 0 25 4 21
7/27/2015 0 25 5 23
7/28/2015 0 25 5 20
7/29/2015 0 25 6 22
7/30/2015 0 25 7 21
7/31/2015 0 25 8 21
8/3/2015 0 25 8 22
8/4/2015 0 25 8 21
8/5/2015 0 25 8 29
8/6/2015 0 25 4 23
8/7/2015 0 25 6 25
8/10/2015 0 25 12 24
8/11/2015 0 25 10 23
8/12/2015 0 25 10 27
8/13/2015 0 25 10 24
8/14/2015 0 25 9 24
8/17/2015 0 25 10 29
8/18/2015 0 25 7 30
8/19/2015 0 25 5 30
8/20/2015 0 25 2 26
8/21/2015 0 25 3 26
8/24/2015 0 25 6 28
8/25/2015 0 25 7 28
8/26/2015 0 25 6 30
8/27/2015 0 25 6 28
8/28/2015 0 25 6 24
8/31/2015 0 25 8 29
9/1/2015 0 25 3 30
9/2/2015 0 25 3 28
9/3/2015 0 25 2 28
9/4/2015 0 25 2 27
9/8/2015 0 25 6 24
9/9/2015 0 25 3 29
9/10/2015 0 25 2 29
9/11/2015 0 25 4 28
9/14/2015 0 25 7 27
9/15/2015 0 25 7 29
9/16/2015 0 25 6 30
9/17/2015 0 25 1 29
9/18/2015 0 25 -1 30
9/21/2015 0 25 1 28
9/22/2015 0 25 -1 26
9/23/2015 0 25 1 28
9/24/2015 0 25 1 26
9/25/2015 0 25 -1 27
9/28/2015 0 25 1 25
9/29/2015 0 25 1 22
9/30/2015 0 25 -1 27
10/1/2015 0 25 -2 26
10/2/2015 0 25 0 27
10/5/2015 0 25 1 27
10/6/2015 0 25 0 27
10/7/2015 0 25 0 28
10/8/2015 0 25 -1 26
10/9/2015 0 25 1 26
10/13/2015 0 25 1 27
10/14/2015 0 25 0 26
10/15/2015 0 25 1 23
10/16/2015 0 25 1 25
10/19/2015 0 25 2 24
10/20/2015 0 25 2 25
10/21/2015 0 25 1 24
10/22/2015 0 25 0 24
10/23/2015 0 25 1 24
10/26/2015 0 25 2 25
10/27/2015 0 25 3 23
10/28/2015 0 25 4 24
10/29/2015 0 25 7 25
10/30/2015 0 25 8 26
11/2/2015 0 25 8 28
11/3/2015 0 25 6 24
11/4/2015 0 25 5 25
11/5/2015 0 25 5 25
11/6/2015 0 25 8 26
11/9/2015 0 25 14 28
11/10/2015 0 25 13 30
11/12/2015 0 25 14 27
11/13/2015 0 25 13 28
11/16/2015 0 25 15 30
11/17/2015 0 25 14 31
11/18/2015 0 25 12 31
11/19/2015 0 25 11 31
11/20/2015 0 25 11 30
11/23/2015 0 25 14 34
11/24/2015 0 25 16 33
11/25/2015 0 25 19 35
11/27/2015 0 25 17 NA
11/30/2015 0 25 22 38
12/1/2015 0 25 21 43
12/2/2015 0 25 21 40
12/3/2015 0 25 21 41
12/4/2015 0 25 22 46
12/7/2015 0 25 29 48
12/8/2015 0 25 27 51
12/9/2015 0 25 26 52
12/10/2015 0 25 24 48
12/11/2015 0 25 22 63
12/14/2015 0 25 26 64
12/15/2015 0 25 25 56
12/16/2015 0 25 27 58
12/17/2015 25 50 23 55
12/18/2015 25 50 19 56
12/21/2015 25 50 24 58
12/22/2015 25 50 21 59
12/23/2015 25 50 20 58
12/24/2015 25 50 20 58
12/28/2015 25 50 23 57
12/29/2015 25 50 23 57
12/30/2015 25 50 21 57
12/31/2015 25 50 16 54
1/4/2016 25 50 22 57
1/5/2016 25 50 20 60
1/6/2016 25 50 21 62
1/7/2016 25 50 20 57
1/8/2016 25 50 20 58
1/11/2016 25 50 21 62
1/12/2016 25 50 21 56
1/13/2016 25 50 22 58
1/14/2016 25 50 25 57
1/15/2016 25 50 23 56
1/19/2016 25 50 26 55
1/20/2016 25 50 26 55
1/21/2016 25 50 28 57
1/22/2016 25 50 30 56
1/25/2016 25 50 31 55
1/26/2016 25 50 31 54
1/27/2016 25 50 32 54
1/28/2016 25 50 34 53
1/29/2016 25 50 32 59
2/1/2016 25 50 35 53
2/2/2016 25 50 34 53
2/3/2016 25 50 33 51
2/4/2016 25 50 29 52
2/5/2016 25 50 29 55
2/8/2016 25 50 32 56
2/9/2016 25 50 30 54
2/10/2016 25 50 31 60
2/11/2016 25 50 28 52
2/12/2016 25 50 29 53
2/16/2016 25 50 30 55

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Figure 5: ON RRP Take-up

Source: Federal Reserve Bank of New York.

Basis Points

Date RRP
12/1/2015 88.983
12/2/2015 84.184
12/3/2015 74.766
12/4/2015 69.292
12/7/2015 77.805
12/8/2015 75.817
12/9/2015 87.963
12/10/2015 86.714
12/11/2015 89.317
12/14/2015 86.38
12/15/2015 95.404
12/16/2015 102.004
12/17/2015 105.185
12/18/2015 143.223
12/21/2015 160.606
12/22/2015 185.35
12/23/2015 178.331
12/24/2015 161.879
12/28/2015 177.196
12/29/2015 222.513
12/30/2015 277.446
12/31/2015 474.591
1/4/2016 199.67
1/5/2016 169.615
1/6/2016 126.584
1/7/2016 116.843
1/8/2016 99.971
1/11/2016 97.39
1/12/2016 86.191
1/13/2016 84.416
1/14/2016 78.422
1/15/2016 90.534
1/19/2016 90.221
1/20/2016 106.627
1/21/2016 90.44
1/22/2016 60.316
1/25/2016 80.17
1/26/2016 83.819
1/27/2016 89.304
1/28/2016 63.251
1/29/2016 114.573
2/1/2016 76.79
2/2/2016 80.127
2/3/2016 62.461
2/4/2016 55.893
2/5/2016 50.888
2/8/2016 39.132
2/9/2016 44.123
2/10/2016 47.974
2/11/2016 44.482
2/12/2016 35.233
2/16/2016 34.728

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