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Accessible Version
Figure 1: Distribution of Daily Unsecured Funding Volumes of the G-SIB Firms Post Money-Market Reform
One-Month Funding Volumes
| Volume | Percent of Days with Observed Volume |
|---|---|
| $100 million | 0.00 |
| $200 million | 1.12 |
| $300 million | 1.69 |
| $400 million | 2.25 |
| $500 million | 1.69 |
| $600 million | 6.74 |
| $700 million | 9.55 |
| $800 million | 9.55 |
| $900 million | 7.87 |
| $1.0 billion | 6.18 |
| $1.1 billion | 5.06 |
| $1.2 billion | 7.30 |
| $1.3 billion | 7.30 |
| $1.4 billion | 3.37 |
| $1.5 billion | 5.62 |
| $1.6 billion | 1.69 |
| $1.7 billion | 3.37 |
| $1.8 billion | 3.93 |
| $1.9 billion | 2.25 |
| $2.0 billion | 0.56 |
| $2.1 billion | 1.12 |
| $2.2 billion | 1.69 |
| $2.3 billion | 1.12 |
| $2.4 billion | 1.69 |
| $2.5 billion | 1.12 |
| $2.6 billion | 1.69 |
| $2.7 billion | 0.56 |
| $2.8 billion | 0.56 |
| $2.9 billion | 0.00 |
| $3.0 billion | 0.00 |
| $3.1 billion | 1.12 |
| $3.2 billion | 1.12 |
| $3.3 billion | 0.56 |
| $3.4 billion | 0.00 |
| $3.5 billion | 0.00 |
| $3.6 billion | 0.00 |
| $3.7 billion | 0.00 |
| $3.8 billion | 0.00 |
| $3.9 billion | 0.00 |
| $4.0 billion | 0.00 |
| $4.1 billion | 0.00 |
| $4.2 billion | 0.00 |
| $4.3 billion | 0.00 |
| $4.3 billion | 0.00 |
| $4.5 billion | 0.00 |
| $4.6 billion | 0.00 |
Note: Median volume is $1.085 billion.
Three-Month Funding Volumes
| Volume | Percent of Days with Observed Volume |
|---|---|
| $100 million | 1.69 |
| $200 million | 1.69 |
| $300 million | 3.93 |
| $400 million | 5.06 |
| $500 million | 2.25 |
| $600 million | 8.43 |
| $700 million | 11.80 |
| $800 million | 5.62 |
| $900 million | 8.43 |
| $1.0 billion | 7.87 |
| $1.1 billion | 3.93 |
| $1.2 billion | 7.30 |
| $1.3 billion | 3.93 |
| $1.4 billion | 1.69 |
| $1.5 billion | 2.25 |
| $1.6 billion | 2.25 |
| $1.7 billion | 1.69 |
| $1.8 billion | 2.81 |
| $1.9 billion | 2.25 |
| $2.0 billion | 3.37 |
| $2.1 billion | 1.69 |
| $2.2 billion | 0.56 |
| $2.3 billion | 1.69 |
| $2.4 billion | 1.69 |
| $2.5 billion | 1.12 |
| $2.6 billion | 1.12 |
| $2.7 billion | 0.00 |
| $2.8 billion | 0.00 |
| $2.9 billion | 1.12 |
| $3.0 billion | 0.56 |
| $3.1 billion | 0.56 |
| $3.2 billion | 0.00 |
| $3.3 billion | 0.00 |
| $3.4 billion | 0.00 |
| $3.5 billion | 0.00 |
| $3.6 billion | 0.00 |
| $3.7 billion | 0.00 |
| $3.8 billion | 0.56 |
| $3.9 billion | 0.00 |
| $4.0 billion | 0.00 |
| $4.1 billion | 0.00 |
| $4.2 billion | 0.00 |
| $4.3 billion | 0.56 |
| $4.3 billion | 0.00 |
| $4.5 billion | 0.00 |
| $4.6 billion | 0.56 |
Note: Median volume is $917 million.
Six-Month Funding Volumes
| Volume | Percent of Days with Observed Volume |
|---|---|
| $100 million | 10.11 |
| $200 million | 18.54 |
| $300 million | 15.17 |
| $400 million | 12.36 |
| $500 million | 10.11 |
| $600 million | 5.62 |
| $700 million | 8.99 |
| $800 million | 4.49 |
| $900 million | 2.81 |
| $1.0 billion | 1.69 |
| $1.1 billion | 2.25 |
| $1.2 billion | 3.93 |
| $1.3 billion | 1.12 |
| $1.4 billion | 1.12 |
| $1.5 billion | 0.00 |
| $1.6 billion | 0.00 |
| $1.7 billion | 0.00 |
| $1.8 billion | 0.00 |
| $1.9 billion | 0.56 |
| $2.0 billion | 0.00 |
| $2.1 billion | 0.00 |
| $2.2 billion | 0.00 |
| $2.3 billion | 0.00 |
| $2.4 billion | 0.00 |
| $2.5 billion | 0.00 |
| $2.6 billion | 0.56 |
| $2.7 billion | 0.00 |
| $2.8 billion | 0.56 |
| $2.9 billion | 0.00 |
| $3.0 billion | 0.00 |
| $3.1 billion | 0.00 |
| $3.2 billion | 0.00 |
| $3.3 billion | 0.00 |
| $3.4 billion | 0.00 |
| $3.5 billion | 0.00 |
| $3.6 billion | 0.00 |
| $3.7 billion | 0.00 |
| $3.8 billion | 0.00 |
| $3.9 billion | 0.00 |
| $4.0 billion | 0.00 |
| $4.1 billion | 0.00 |
| $4.2 billion | 0.00 |
| $4.3 billion | 0.00 |
| $4.3 billion | 0.00 |
| $4.5 billion | 0.00 |
| $4.6 billion | 0.00 |
Note: Median volume is $361 million.
Source: FR2420 and DTCC. Daily volumes aggregated across all available fed funds, Eurodollar, certificates of deposit, and unsecured commercial paper transactions of the 30 global systemically important banks with tenors between 25 and 35 calendar days (for one month), 80 and 100 calendar days (three month), or 150 and 210 calendar days (six month) over the period October 15, 2016 to June 30, 2017.
Figure 2: Daily Volumes in Selected U.S. Money Markets
Daily Volumes in U.S. Money Markets
| Volume | |
|---|---|
| Secured Overnight Financing Rate (SOFR) | $754 billion |
| Overnight Bank Funding Rate | $197 billion |
| Effective Federal Funds Rate | $79 billion |
| 3-month T-bills | Est. $13 billion |
| 3-month GSIB wholesale funding | $1.1 billion |
| 3-month AA nonfinancial CP | $343 million |
| 3-month A2/P2 nonfinancial CP | $132 million |
Average volumes over 2017H1, with the exception of 3-month T-bills, which are preliminary estimates from available FINRA Trade Reporting and Compliance Engine (TRACE) data over August and September 2017. 3-month volumes are based on all transactions with remaining maturities between 80 and 100 calendar days or 41-80 business days. Source: Federal Reserve Bank of New York; Finance Industry Regulatory Authority; DTCC Solutions LLC, an affiliate of the Depository Trust & Clearing Corporation; and the Board of Governors of the Federal Reserve.