Accessible Version
Insights from MMF Portfolio Allocations amid Balance Sheet Normalization, Accessible Data
Figure 1. ON RRP Take-up & TGCR- ON RRP Rate Spread
This figure displays daily data between June 2022 and November 2024. On the primary axis, the solid blue line shows ON RRP take-up levels, which are over $2 trillion roughly through May 2023, and then decline notably to a level of roughly $200 billion by November 2024. On the secondary axis, the red dashed line shows the spread between the Tri-Party General Collateral Rate (TGCR) and the ON RRP offering rate in basis points. The red dashed line is negative at the start and turns positive at the end. There is a dotted black line in the center of the chart to show when this spread is zero basis points. The key point of this chart is to show that as the TGCR-ON RRP spread increased, ON RRP take-up declined.
Note: The dashed horizontal line indicates where the TGCR−ON RRP rate spread equals zero.
Source: FRBNY, author's calculations.
Figure 2a. Monthly Holdings for RRP-Eligible MMFs
This chart shows the month-end holdings, measured in $ billions, between January 2020 and November 2024 for MMFs that are eligible to use the RRP facility. There are three lines: the dotted blue line indicates take-up at the ON RRP facility, the solid red line indicates holdings of Treasury bills, and the dashed green line shows investments in private, Treasury repo. The main takeaway is that in 2022 most MMFs here held balances primarily in the ON RRP facility, but since then ON RRP take-up has fallen while Treasury bills and private, Treasury Repo has increased.
Source: SEC N-MFP filings, author's calculations.
Figure 2b. Monthly Treasury Bills Outstanding and Bill Holdings for RRP-Eligible MMFs
This chart shows between January 2020 and November 2024 month-end Treasury bill holdings for RRP-eligible MMFs (solid red line) and the month-end Treasury bills outstanding to the public (dashed black line). Both are measured in $ trillions. The main takeaways are that these MMFs hold a sizable portion of Treasury bills outstanding and that MMFs' holdings of bills increases (decreases) as the total amount of Treasury bills outstanding increases (decreases).
Source: SEC N-MFP filings, FRBNY, Treasury Department, author's calculations.
Figure 3. Cumulative Change in Private Repo for RRP-Eligible MMFs
Text Description: The chart plots cumulative changes for RRP-eligible MMFs from June 2022 through November 2024. The solid black line uses the methodology in the note to show, daily, the cumulative reallocation between private repo (positive) and ON RRP (negative) using the confidential repo data. The solid black triangles uses the methodology in the note to show, at month-ends, the cumulative reallocation between private repo (positive) and ON RRP (negative) using the public month-end N-MFP data. The red circles show the cumulative change in private repo holdings, on a monthly basis, using the public month-end N-MFP data. There are two key points in this chart. The first is the black line shows the amount of net reallocation using the methodology outlined in the paper. The second is that the N-MFP data shows similar results using the same methodology as well as changes overall.
Notes: Reallocation between private repo and ON RRP applies the reallocation methodology described in Step 1 of this note. We apply this method daily to the confidential repo data (black line) and monthly to the public month−end N−MFP data (black triangles). The change in private repo holdings from the monthly N−MFP data (red dots) shows overall changes in private repo holdings, regardless if from the ON RRP, other assets, or changes in assets under management.
Source: FRBNY, OFR, Bank of New York Mellon, SEC N-MFP filings, author's calculations.
Figure 4. Net Reallocations into Private Repo from ON RRP by Rate Spread
Text Description: The chart plots net reallocation from ON RRP to private repo for RRP-eligible MMFs using data from June 2022 through November 2024. Black bars indicate positive reallocations (flows from ON RRP into private repo), while red bars indicate negative reallocations (flows from private repo into ON RRP). The chart breaks down the net flow at each rate spread, in basis points, relative to the ON RRP offering rate. The main takeaway from this chart is that most flows into private repo occurred when the private repo rate received was equal to the ON RRP offering rate, while there is also sizable flows into private repo from ON RRP at rates up to 3 basis points above the ON RRP offering rate. A secondary point is that at very negative private repo rate spreads, flows went into the ON RRP facility but there is still some flows into private repo at slightly negative rate spreads.
Note: Net reallocations start in June 2022 and end in November 2024.
Source: FRBNY, OFR, Bank of New York Mellon, author's calculations.
Figure 5a. Positive Reallocations into Private Repo by Rate Spread to ON RRP
This is a stacked bar chart showing positive reallocation into private repo from the ON RRP using the methodology described in the note. The data is presented as monthly sums, where each color on the stacked bar chart indicates the amount of reallocation at a given rate spread relative to the ON RRP offering rate. The x-axis is monthly between June 2022 and November 2024. The chart does not factor in negative reallocation amounts (i.e. reallocation from private repo into ON RRP). The main takeaway from the chart is that there were large volumes of reallocation starting in 2023 and that over time, there was an increasing share of reallocation at higher rate spreads relative to the ON RRP rate. However, it also shows that there was not significant reallocation amounts above 3 basis points.
Note: Reallocation amounts displayed are the monthly totals into private repo and do not reflect flows out of private repo. For data confidentiality purposes, month−rate spread pairings were removed if the calculated data pairing did not contain 5 distinct, parent−levels borrowers and 5 distinct, parent−level lenders. The removed amount accounted for less than 1 percent of the positive reallocation amount into private repo. Key identifies in order from bottom to top.
Source: FRBNY, OFR, Bank of New York Mellon, author's calculations.
Figure 5b. Positive Reallocations into Private Repo Relative to TGCR
This is a stacked bar chart showing positive reallocation into private repo from the ON RRP using the methodology described in the note. The data is presented as monthly sums, where each color on the stacked bar chart indicates the amount of reallocation at a given rate spread relative to the TGCR rate. The x-axis is monthly between June 2022 and November 2024. The chart does not factor in negative reallocation amounts (i.e. reallocation from private repo into ON RRP). The main takeaway from the chart is that there were large volumes of reallocation starting in 2023 and that starting in the second half of 2023, almost all reallocation occurred at rate spreads within 1 basis point of TGCR.
Note: Reallocation amounts displayed are the monthly totals into private repo and do not reflect flows out of private repo. Key identifies in order from bottom to top.
Source: FRBNY, OFR, Bank of New York Mellon, author's calculations.