Board of Governors of the Federal Reserve System

A. Indicative U.S. Treasury Bid-Ask Spreads

Figure A: This is a line chart titled “Indicative U.S. Treasury Bid-Ask Spreads”. The x-axis measures time and ranges from March 02, 2020 to May 1, 2020. The data is daily. There are 3 variables charted on the plot. The left y-axis measures basis points and ranges from 0 to 50 with 2 variables associated with it. The data is daily. The first line is labeled ‘On-the-run bid-ask spread’; is designated by a red line; and ranges from 0 to 5 basis points. The variable rises gradually from March 2 to a peak of about 6 on March 10 before declining gradually to end at about 2 on April 7. The second variable is labeled 'First off-the-run bid-ask spread' and is designated by a blue line. It ranges from 0 to 35 basis points. . The variable rises steadily from March 2 to a peak of about 30 on March 16 before declining gradually to end at about 10 on April 7. The third line is labeled ‘Second off-the-run bid-ask spread’ and is designated by a green line. It ranges from 0 to 50 basis points. The variable rises steadily from March 2 to a peak of about 50 on March 10 before declining steadily to end at about 12 on April 7. The right y-axis measures Billions of Dollars and ranges from 0 to 2000 with 1 variable associated with it. The third line is labeled “Cumulative FED UST purchases since March 1” and is designated by a black line. It ranges from 0 to 2,000 billions of dollars. The variable rises steadily from March 1 at 0 to a peak of about 1,500 to end on May 1.

Note: Indicative bid-ask spreads for 10-year Treasury note. On March 15, the FOMC announced an increase of its holdings of Treasury securities by at least $500 billion and its holdings of agency mortgage-backed securities by at least $200 billion. On March 23, the Federal Reserve announced it would continue to purchase Treasury securities and agency mortgage-backed securities in the amounts needed to support smooth market functioning and effective transmission of monetary policy to broader financial conditions.

Source: Federal Reserve Bank of New York.

B. Prime Money Market Mutual Fund Net Flows

Figure B: This is a bar chart titled “Prime Money Market Mutual Fund Net Flows”. The x-axis measures time and ranges from February 14, 2020 to May 1, 2020. The y-axis measures Billions of dollars and ranges from -30 to 20. The data is daily. There is a single series on this chart that is designated by a black bar when it is greater than zero and a maroon bar when it is less than zero. The series begins at 4 and decreases steadily to around -10 on February 28. It then rises quickly to around 10 by March 4 before falling steadily down to around -25 on March 16. There is a vertical event line designated the announcement of the Money Market Mutual Fund Liquidity Facility (MMLF) on March 17. The series then rises steadily back to around zero by March 28. There is a vertical line designating the beginning of MMLF operations on March 23. The series remains around zero until April 10 at which point the series increases to about 5 where it remains until the end of the figure.

Note: The Money Market Mutual Fund Liquidity Facility (MMLF) was announced on March 18 and operations began on March 23. On the same day, the Federal Reserve announced that the MMLF would be expanded to include negotiable certificates of deposit and variable-rate demand notes.

Source: iMoneyNet, Money Fund Analyzer-Gold.

C. Total Commercial Paper Issuance, by Maturity

Figure C: This is a line chart titled “Total Commercial Paper Issuance, by Maturity”. The x-axis measures time and ranges from January 2020 to May 2020. The y-axis measures Billions of dollars and ranges from 0 to 150. The data is daily. There are three vertical event lines on this chart. The first denotes the announcement of the Commercial Paper Funding Facility (CPFF) on March 17. The second denotes the adjustment to the terms of the CPFF and MMLF on March 23. The third denotes the beginning of CPFF operations on April 14. There are two series plotted on this chart. The first series is “1- to 4-day-maturity CP” and is designated by a maroon line. The series is flat at 60 from January to until the beginning of March at which point it begins to rise steadily to peak at 90 on March 23. It then decreases back to 60 by April 7 and remains flat there until the end of the chart. The second series is “5- day or longer CP” and is designated by a black line. The series is steady around 30 until the beginning of March when it begins to decline steadily to about 15 on March 23. The series then jumps back up to 30 and remains there through the end of the figure.

Note: CP is Commercial Paper and CPFF is the Commercial Paper Funding Facility. Neither DTCC Solutions LLC nor any of its affiliates shall be responsible for any errors or omissions in any DTCC data included in this publication, regardless of the cause and, in no event, shall DTCC or any of its affiliates be liable for any direct, indirect, special or consequential damages, costs, expenses, legal fees, or losses (including lost income or lost profit, trading loses and opportunity costs) in connection with this publication.

Source: DTCC Solutions LLC, an affiliate of the Depository Trust & Clearing Corporation.

D. 1-Month Funding Market Spreads for Investment-Grade Nonfinancial Firms

Figure D: This is a line chart titled ‘1-Month Funding Market Spreads for Investment Grade Nonfinancial Firms’. The x-axis measure time and ranges from February 14 to April 29. The y-axis is measured in basis points and ranges from 0 to 600. There are 2 lines plotted on this chart. The first line is labeled “AA nonfinancial CP” and is designated by an orange line. It begins at 0 in February and rises gradually up to a peak of about 150 on March 29. It then drops to near zero by April 7 and remains there until April 29. The second line is labeled “A2/P2 nonfinancial CP” and is designated by a blue line. It starts at zero and rises gradually to about 100 by March 10. It then rises steeply to around 350 by March 12 and stays flat until March 30. It then declines steadily to about 150 on April 12 and remains at that level until the end of the series.

Note: All spreads are to OIS of the same tenor. CP is Commercial Paper and CPFF is the Commercial Paper Funding Facility. MMLF is the Money Market Mutual Fund Liquidity Facility. MMLF operations began on March 23. On the same day, the Federal Reserve announced that the MMLF would be expanded to include negotiable certificates of deposit and variable-rate demand notes. CPFF operations began on April 14. Neither DTCC Solutions LLC nor any of its affiliates shall be responsible for any errors or omissions in any DTCC data included in this publication, regardless of the cause and, in no event, shall DTCC or any of its affiliates be liable for any direct, indirect, special or consequential damages, costs, expenses, legal fees, or losses (including lost income or lost profit, trading loses and opportunity costs) in connection with this publication.

Source: Bloomberg Finance L.P.; DTCC Solutions LLC, an affiliate of the Depository Trust & Clearing Corporation.

Figure E: Emergency Lending Facilities

F. Corporate Bond Spreads to 10-Year Treasury

Figure F: The chart is titled “Corporate Bond Spreads to 10-Year Treasury.” It measures high-yield spreads by a solid red line. It is measured on the right side y-axis that ranges from 200 to 2200 basis points. It measures triple-b by a solid black line on the left side y-axis that ranges from 50 to 750 basis points. The x-axis ranges from 2007 to 2020. The data are daily. There is a black vertical line on March 23, 2020 labeled PMCCF/SMCCF. There is a second vertical black line at April 9, 2020 labeled PMCCF/SMCC expanded. The High-yield line begins around 400 basis points in 2007. It then jumps to its peak of almost 1700 in 2008. It then drops quickly to 600 in 2010. It then ranges from roughly 400 to 800 from 2010 to 2020 with small spikes in 2012 and 2016. In 2020, the figure zooms in on the data to show the red line going from 400 to roughly 800 in March and leveling off around 600 on April 23, 2020. The Triple-B line begins around 150 basis points in 2007. It then jumps to its peak of almost 650 in 2008. It then drops quickly to 200 in 2010. It then ranges from roughly 200 to 300 from 2010 to 2020 with small spikes in 2012 and 2016. In 2020, the figure zooms in on the data to show the red line going from 150 to roughly 400 in March and leveling off around 250 on April 23, 2020.

Note: The shaded area with top cap represents an expanded window focusing on the period from February 17 onward. The triple-B reflects the effective yield of the ICE Bank of America Merrill Lynch triple-B U.S. Corporate Index (C0A4), and the high-yield reflects the effective yield of the ICE BofAML U.S. High Yield Index (H0A0). Treasury yields from smoothed yield curve estimated from off-the-run securities. Spreads over 10-year Treasury yield. PMCCF is the Primary Market Corporate Credit Facility and SMCCF is the Secondary Market Corporate Credit Facility.

Source: ICE Data Indices, LLC, used with permission.

G. Spreads to Treasuries

Figure G: The chart is titled “Spreads to Treasuries.” The chart has a left and right panel. Both panels plot 1 year GO spreads. On the left panel, the data are monthly. The x-axis ranges from 2004 to 2020 and the y-axis ranges from -3 to 3 percent. The spread is represented by a solid blue line. It begins at 0 percent in 2004. It gradually decreases to -1 in by 2007. In 2008, it increases to 1 percent with a drop to almost zero and back up to 1 percent in the same year. It remains fairly steady from 2009 to 2017 at around 0 percent. From 2017 to 2019 it gradually declines to around -1. In 2020, it jumps back up to above 1 percent in March. The right side panel zooms in on 2020 and shows weekly data. There is a black vertical line in March labeled MMLF Expanded and a black vertical line in April labeled MLF. The data begin at around -0.5 percent in January and remain around that level until March. In March, there is an increase to 2 percent at the same time as the MMLF expanded. There is then a decrease to roughly 1 percent to finish off in April.

Note: MLF is the Municipal Liquidity Facility and MMLF is the Money Market Mutual Fund Liquidity Facility.

Source: Bond Buyer via Bloomberg L.P.; Municipal Market Advisors, Inc.

A. Three-Month FX Swap Basis Spreads

Figure A: This chart is titled “Three-month FX Swap Basis Spreads.” The top panel measures JPY, shown by a solid blue line and EUR by a solid black line. The x-axis ranges from 2007 to 2020. The y-axis represent the data measured in basis points. The data are daily. The data for the red line range from 0 to 100 from 2007 to 2019 except for a spike at the end of 2008 to 450 basis points. The data then spikes from around 50 to 250 in early 2020. The EUR line follows a fairly similar pattern to the blue line staying between 0 to 100. The bottom panel shows daily data from March 2020 to April 2020. The panel is a zoomed in version of the top measuring the same data. It is marked by black vertical lines showing the Swap Line rate cut on March 15, 2020, the Swap Line expansion on March 19, 2020, daily Swap auction announcement on March 20, 2020, and the FIMA repo on March 31, 2020.

Note: The basis spreads were calculated using the respective overnight index swap rates. JPY is Japanese Yen and EUR is euro

Source: Federal Reserve Bank of New York calculations based on data from Bloomberg Finance LP.

Figure B. Central Bank Dollar Liquidity Swaps outstanding