The New Overnight Bank Funding Rate
The Federal Reserve Bank of New York will begin publishing the overnight bank funding rate (OBFR) sometime in the first few months of 2016.
The Tri‑Party Repo Market Like You Have Never Seen It Before
The tri-party repo market is a large and important market where securities dealers find a substantial amount of short-term funding. Despite its importance, this market was very opaque before the crisis. Since March 2010, in accordance with recommendation 13 of the Task Force on Tri-Party Repo Infrastructure Reform report, the Federal Reserve Bank of New York has made monthly data on the tri-party repo market available to the public. Today, with our new interactive tool, there is a whole new way to view the market and its evolution. You can make your own charts, looking at volumes for specific asset classes, at haircuts, or at concentration, over your preferred time horizon.
Dealers’ Positions and the Auction Cycle
Michael J. Fleming and Collin Jones The aftermath of the financial crisis and changes in technology and regulation have spurred a spirited discussion of dealers’ evolving role in financial markets. One such role is to buy securities at auction and sell them off to investors over time. We assess this function using data on primary […]
The Liquidity Mirage
Market efficiency is often pointed to as a main benefit of automated and high-frequency trading (HFT) in U.S. Treasury markets.
Redemption Risk of Bond Mutual Funds and Dealer Positioning
Market participants have recently voiced concerns that bond markets seem to become illiquid precisely when they want to sell bonds.
Changes in the Returns to Market Making
Since the financial crisis, major U.S. banking institutions have increased their capital ratios in response to tighter capital requirements.
Has Liquidity Risk in the Treasury and Equity Markets Increased?
Market participants have argued that market liquidity has deteriorated since the financial crisis.
Has Liquidity Risk in the Corporate Bond Market Increased?
Tobias Adrian, Michael J. Fleming, Or Shachar, Daniel Stackman, and Erik Vogt Second in a six-part series Recent commentary suggests concern among market participants about corporate bond market liquidity. However, we showed in our previous post that liquidity in the corporate bond market remains ample. One interpretation is that liquidity risk might have increased, even as the […]
Has U.S. Corporate Bond Market Liquidity Deteriorated?
Commentators have argued that market liquidity has deteriorated in recent years as regulatory changes have reduced banks’ ability and willingness to make markets.
Introduction to a Series on Market Liquidity: Part 2
Market participants and policymakers have raised concerns about the potential adverse effects of financial regulation on market liquidity—the ability to buy and sell securities quickly, at any time, at minimal cost.