The Cleared Bilateral Repo Market and Proposed Repo Benchmark Rates, Accessible Data
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Figure 1: Overnight Treasury Repo Volumes
Figure one shows the volume of overnight Treasury repo transactions from September 2014 through October 2015. There are four series: DVP, Fed OMOs, Triparty, and GCF. GCF repo trends down from about $100 billion to about $50 billion. Triparty trends up from about $200 billion to about $300 billion. DVP trends up slightly, on net, from about $400 billion to about $450 billion. Fed OMOs decline from about $150 billion to less than $50 billion in the middle of 2016, before increasing to about $200 billion at the end of the chart. Fed OMOs are considerably more volatile than other series in the chart.
Figure 2: Overnight Treasury Repo Rates
Figure two shows median overnight Treasury repo rates from September 2014 through October 2015. There are four series: DVP, Fed OMOs, Triparty, and GCF. The Fed OMO rate is generally constant at 5 basis points through the middle of December, 2015, when it increases to 25 basis points. The Triparty rate is generally several basis points higher and is more volatile than the Fed OMO rate. The DVP rate is generally several basis points higher and is more volatile than the Triparty rate. The GCF rate is generally a couple basis points higher and is more volatile than the DVP rate.
Figure 3: Overnight Treasury Repo Rate Distributions
Figure three shows the rate distribution of overnight Treasury repo across several segments, calculated on average between December 17, 2015 and October 31, 2016. The segments shown include Fed ONRRP, Triparty, DVP seasoned collateral, DVP recently issued collateral and GCF. The substantial majority of the overall distribution falls between 25 basis points and 60 basis points, although there are thin tails of the distribution both below and above this range. Of note, there is a small spike in the left tail of the distribution at 3 basis points, which shows about $25 billion of activity in the DVP seasoned collateral segment. The substantial majority of the distribution exhibits three modes: at 25 basis points the distribution peaks at about $100 billion, at 30 basis points the distribution peaks at about $60 billion, and at 40 basis points the distribution peaks at about $30 billion. Fed ONRRP trades are concentrated at 25 basis points. Triparty trades have a wider distribution which is centered at 30 basis points. Seasoned DVP trades have a significantly wider distribution with a mode at about 40 basis points, but generally range from 20 basis points to 60 basis points. Recently issued DVP has an almost flat distribution that generally extends from 0 basis points to about 50 basis points. GCF trades generally fall between 40 and 55 basis points.
Figure 4: DVP Seasoned Collateral Rate Distribution
Figure 4 shows a time series of the rate distribution of seasoned DVP repo, along with the medians for seasoned DVP repo, Triparty, GCF, and ONRRP. The chart covers the period from September 2014 through October 2016. The Triparty, GCF, and ONRRP median rates shown are the same as those in figure 2. The seasoned DVP repo median rate shown is only minimally different from the overall DVP repo median rate shown in figure 2. The seasoned DVP distribution shown includes the seasoned DVP interquartile range, and the range of trades between the 10th and 90th percentiles of the distribution. The chart shows that seasoned DVP repo generally has a long left tail and a shorter right tail. The 90th percentile closely tracks the GCF median rate, and the top of the interquartile range is only slightly below the 90th percentile. The bottom of the interquartile range generally tracks the Triparty median rate prior to 2016, and then is generally above the Triparty median rate in 2016. The 10th percentile is generally below the ONRRP median rate and above 0 basis points.
Figure 5: Rate 1 with and without DVP, Rate 2 with and without DVP, and Rate 3 with and without DVP
Figure 5 shows the proposed Rate 1, Rate 2, and Rate 3 – as referenced in the text – over the period from September 2014 through October 2016. For each rate two versions are shown: the first version is the rate as originally proposed by the Federal Reserve Bank of New York, and the second version is the originally proposed rate, but where the underlying data also include DVP repo transactions against seasoned collateral. For all three rates, the originally proposed rates fluctuate within a tight range near 5 basis points through the middle of December, 2015, and then generally fluctuate within a tight range around 30 basis points, except for two periods in the second half of 2016 when the rights briefly increase to above 40 basis points. For all three rates the version where the underlying data incorporates DVP repo transactions closely tracks the originally proposed rates, but is generally very slightly above the originally proposed rates.
Figure 6: Effect on Proposed Rates of Including Seasoned DVP
Figure 6 shows the effect on the proposed rates of including Seasoned DVP repo transactions, from September 2014 through October 20916. For each of the rates depicted in figure 5, the difference between the originally proposed rate and the rate where the underlying data incorporates DVP repo transactions is shown. For all of the rates the difference generally fluctuates between 0 and 1 basis point through mid-December 2015, and thereafter generally fluctuates between 0 and 3 basis points. There are several instances where the difference between the original and proposed rates exceed these ranges for brief periods, and two instances in the second half of 2016 where the rate 3 difference increases to above 14 basis points. Over the entire period displayed, the newly proposed rates are above the original rates, except for a brief period beginning in September 2014 when the newly proposed rates are below the original rates.
Figure 7: Distributions of Rate 3 with and without Seasoned DVP
Figure 7 shows a time series of percentiles from the distributions of rate 3 with and without the inclusion of seasoned FICC DVP repo. The chart covers the period from September 2014 through October 2016. The 5th percentile of rate 3 without seasoned DVP closely follows the ONRRP rate, as shown in figure 2. The 25th percentile of rate 3 without seasoned DVP also closely follows the ONRRP rate, but is somewhat higher for two brief intervals in 2015, and for most of 2016. The 75th percentile of rate 3 without seasoned DVP is only several basis points higher than the 25th percentile for rate 3 without seasoned DVP. The 95th percentile for rate 3 without seasoned DVP is about 10 basis points higher than the 75th percentile for rate 3 without seasoned DVP through 2015, and about 15 basis points higher than the 75th percentile for rate 3 without seasoned DVP thereafter. The 5th percentile for rate 3 with seasoned DVP repo is consistently below the ONRRP rate, but is almost always higher than 0. The 25th percentile for rate 3 with seasoned DVP repo closely tracks the 25th and 75th percentiles of rate 3 without seasoned DVP repo. The 75th percentile for rate 3 with seasoned DVP repo is a generally a few basis points below the 95th percentile of rate 3 without seasoned DVP. The 95th percentile for rate 3 with seasoned DVP generally closely tracks or is a few basis points higher than the 95th percentile for rate 3 without seasoned DVP.