Transcript 0000-00-00 FCIC Market Risk Survey Chartbook

Selected Charts from FCIC
Market Risk Survey
February 2011
FCIC
Note. Net repo borrowing is total repo positions less reverse repo positions.
Source: FCIC Market Risk Survey
2/28/2010
1/31/2010
12/31/2009
11/30/2009
10/31/2009
9/30/2009
8/31/2009
7/31/2009
6/30/2009
5/31/2009
4/30/2009
3/31/2009
2/28/2009
1/31/2009
12/31/2008
11/30/2008
10/31/2008
9/30/2008
8/31/2008
7/31/2008
6/30/2008
5/31/2008
4/30/2008
3/31/2008
2/29/2008
1/31/2008
12/31/2007
11/30/2007
10/31/2007
9/30/2007
8/31/2007
7/31/2007
6/30/2007
5/31/2007
4/30/2007
3/31/2007
2/28/2007
1/31/2007
$ Billions
Primary Dealer Repo Borrowing
Average Net Repo Borrowing by Primary Dealers
80
70
60
50
40
30
20
10
0
1/1/2007
2/1/2007
3/1/2007
4/1/2007
5/1/2007
6/1/2007
7/1/2007
8/1/2007
9/1/2007
10/1/2007
11/1/2007
12/1/2007
1/1/2008
2/1/2008
3/1/2008
4/1/2008
5/1/2008
6/1/2008
7/1/2008
8/1/2008
9/1/2008
10/1/2008
11/1/2008
12/1/2008
1/1/2009
2/1/2009
3/1/2009
4/1/2009
5/1/2009
6/1/2009
7/1/2009
8/1/2009
9/1/2009
10/1/2009
11/1/2009
12/1/2009
1/1/2010
2/1/2010
$ Billions
Types of Repo
Primary Dealer Repo Market Borrowing by Type
Bilateral
Tri-party
120
100
80
60
40
20
0
Note. Chart does not include reverse repo positions (borrowing securities and lending cash)
Source: FCIC Market Risk Survey
‘Cliff Effect’ in the Repo Market
$ Billions
Average Money Fund Repo Lending to Selected Institutions
1.2
Lehman Brothers
1
Merrill Lynch
Bear Stearns
0.8
0.6
0.4
0.2
0
3/7/2008
3/14/2008
Source: FCIC Market Risk Survey
9/5/2008
9/12/2008
9/12/2008
9/19/2008
Repo Lending at Fidelity
$ Billions
Repo Market Lending to Selected Institutions
by Fidelity Money Market Funds
14
Lehman Brothers
Merrill Lynch
12
Bear Stearns
10
8
6
4
2
3/07/08
3/14/08
Source: Firm-level responses to FCIC Market Risk Survey.
9/05/08
9/12/08
9/12/08
9/19/08
Money Funds Withdrew from Financial
Institutions after Lehman Bankruptcy
$ Billions
Average Money Market Fund Holdings
of Financial Commercial Paper
8
7
6
5
4
3
2
1
0
8/31/2008
Source: FCIC Market Risk Survey
9/5/2008
9/12/2008
9/19/2008
9/26/2008
Money Funds Cut Asset-backed Commercial
Paper (ABCP) Holdings After Lehman Bankruptcy
$ Billions
Average Money Market Fund Holdings of ABCP
10
9
8
7
6
5
4
3
2
1
0
8/31/2008
Source: FCIC Market Risk Survey
9/5/2008
9/12/2008
9/19/2008
9/26/2008
Primary Dealers Commercial Paper Holdings
Average Primary Dealer Holdings of Commercial Paper
$ Billions
Financial CP
ABCP
3
2.5
2
1.5
1
0.5
0
8/31/2008
Source: FCIC Market Risk Survey
9/5/2008
9/12/2008
9/19/2008
9/26/2008