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4 posts on "Bond market"
November 29, 2023

Treasury Bill Supply and ON RRP Investment

Gara Afonso, Marco Cipriani, Catherine Huang, Gabriele La Spada, and Sergio Olivas

Decorative photo: close up of the words "The Treasury" on the treasury building showing the top of the columns outside the structure.

Take-up at the Federal Reserve’s Overnight Reverse Repo Facility (ON RRP) increased from a few billion dollars in January 2021 to around $2.6 trillion at the end of December 2022.  In this post, based on a recent Staff Report, we explain how the supply of U.S. Treasury bills (T-bills) affects the decision of money market mutual funds (MMFs) to invest at the facility. We show that MMFs responded to a reduction in T-bill supply by increasing their take-up at the ON RRP, helping to explain the increased overall take-up.

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Posted at 7:00 am in Financial Markets | Permalink
November 28, 2023

Bond Funds in the Aftermath of SVB’s Collapse

Nicola Cetorelli and Sarah Zebar

Decorative image: Bond market screen with rising yields and interest rates

March 2023 will rightfully be remembered as a period of major turmoil for the U.S. banking industry. In this post, we go beyond banks to analyze how fixed-income, open-end funds (bond funds) fared in the days after the start of the banking crisis. We find that bond funds experienced net outflows each day for almost three weeks after the run on Silicon Valley Bank (SVB), and that these outflows were experienced diffusely across the entire segment. Our preliminary evidence suggests that the outflows from bond funds may have been an unintended consequence of the exceptional measures taken to strengthen the balance sheet of banks during this time.

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Posted at 7:00 am in Banks, Financial Markets | Permalink
July 14, 2022

The Bond Market Selloff in Historical Perspective

Tobias Adrian and Michael Fleming

photo: The US Treasury building in Washington DC

Treasury yields have risen sharply in recent months. The yield on the most recently issued ten-year note, for example, rose from 1.73 percent on March 4 to 3.48 percent on June 14, reaching its highest level since April 2011. Increasing yields result in realized or mark-to-market losses for fixed-income investors. In this post, we put these losses in historical perspective and investigate whether longer-term yield changes are better explained by expectations of higher short-term rates or by investors demanding greater compensation for holding Treasury securities.

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Posted at 7:00 am in Financial Institutions, Financial Markets, Inflation | Permalink | Comments (1)
August 5, 2013

The Recent Bond Market Selloff in Historical Perspective

Long-term Treasury yields have risen sharply in recent months.

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Posted at 7:00 am in Financial Markets | Permalink | Comments (5)

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