May 25, 2017

Critical updates from the Federal Reserve, Treasury and more

In the Spotlight

Dealer Balance Sheets and Corporate Bond Liquidity Provision
Regulatory reforms since the financial crisis have sought to make the financial system safer and severe financial crises less likely. But by limiting the ability of regulated institutions to increase their balance sheet size, reforms—such as the Dodd-Frank Act in the United States and the Basel Committee's Basel III bank regulations internationally—might reduce the total intermediation capacity of the financial system during normal times. Decreases in intermediation capacity may then lead to decreased liquidity in markets in which the regulated institutions intermediate significant trading activity. While recent commentary by market participants claims that this is indeed the case—Wall Street Journal article [subscription required] notes that “[t]hree-quarters of institutional bond investors say that liquidity provided by bond dealers has declined in the past year...”—empirical studies have struggled to find evidence supporting this narrative. In this post, we summarize the findings of our recent article in the Journal of Monetary Economics that addresses the apparent disconnect between the market-participant commentary and the empirical evidence by focusing on the relationship between bond-level liquidity and financial institutions’ balance sheet constraints. 
Blog Post

The Federal Reserve Bank of New York Publishes Statement Regarding the Publication of Overnight Treasury Repo Rates
The Federal Reserve Bank of New York, in cooperation with the Treasury Department’s Office of Financial Research (OFR), announced on November 4, 2016, that it was considering publishing three benchmark rates based on overnight repurchase agreement (repo) transactions collateralized by Treasury securities. The three proposed rates would be based upon transaction-level data from various segments of the Treasury repo market. The November 4 statement noted that the composition of the rates could be modified to incorporate additional data sources, such as information on bilateral repo transactions.

Since that time, the Federal Reserve has analyzed data obtained from Depository Trust and Clearing Corporation’s (DTCC) Fixed Income Clearing Corporation (FICC) to examine the possibility of including cleared bilateral repo transactions into the proposed Treasury repo rates.
Operating Policy Statement

SIFMA Market Close Recommendations for the U.S. Memorial Day and U.K. Spring Bank Holidays
SIFMA confirmed its previous recommendations for the U.S., the U.K., and Japan in observance of the U.S. Memorial Day and the U.K. Spring Bank Holidays.

These recommendations apply to trading of U.S. dollar-denominated government securities, mortgage- and asset-backed securities, over-the-counter investment-grade and high-yield corporate bonds, municipal bonds and secondary money market trading in bankers’ acceptances, commercial paper and Yankee and Euro certificates of deposit. 

SIFMA’s recommended early and full market closes are recommendations only; each member firm should decide for itself whether its fixed-income departments remain open for trading.  All SIFMA recommendations are subject to change due to market conditions.
Press Release

FICC Announces GSD Memorial Day Important Notice 2017
Fixed Income Clearing Corp. (“FICC”) will be closed Monday, May 29, 2017, in observance of Memorial Day. The following changes in FICC's operations and schedules will be in effect:

Government Division RTTM Comparison and Netting:

Comparison System
All Regular Way, When-Issued, and Forward Settlement Trades executed on Friday, May 26, 2017, should be submitted on Friday, May 26, 2017, by the normal cut-off time of 8:00 p.m.

Netting System
All netted obligations resulting from compared Regular Way Trades among Netting Members submitted on Friday, May 26, 2017, will settle on Tuesday, May 30, 2017.

All output will be available by 3:00 a.m., Saturday, May 27, 2017.

No trade input will be accepted on Monday, May 29, 2017. Trades executed on Monday, May 29, 2017 should be submitted on Tuesday, May 30, 2017, along with trades of that day.

GCF Service
No trade input will be accepted on Monday May 29, 2017 as GCF trade input will not be available.
Press Release



FICC Announces Approval of Rule Filing (SR-FICC-2017-006) and Advance Notice Filing (SR-FICC-2017-804) – Enhancements to the Credit Risk Rating Matric (CRRM)
On May 19, 2017, the Securities and Exchange Commission (“SEC”) approved rule filing SR-FICC- 2017-006 (“Rule Filing”), which was filed pursuant to Section 19(b)(2) of the Securities Exchange Act of 1934, as amended, and issued no objection to advance notice SR-FICC-2017-804 (“Advance Notice”, together with the Rule Filing, the “Filings”), which was filed with the SEC and the Board of Governors of the Federal Reserve pursuant to Section 806(e)(1) of Title VIII of the Dodd-Frank Wall Street Reform and Consumer Protection Act entitled the Payment, Clearing, and Settlement Supervision Act of 2010.

The Filings consist of modifications to the Government Securities Division Rulebook that would enhance the Credit Risk Rating Matrix (CRRM) as well as other amendments and clarifications. These changes will be implemented on June 5, 2017.

The Filings were described in Important Notice GOV233-17, dated March 22, 2017. The full text of the Filings may be obtained by visiting the DTCC website at
Press Release

FINRA Announces Final Phone-In Workshop in TRACE Reporting of Transactions in U.S. Treasury Securities Series on June 8th
On Thursday, June 8, FINRA's Transparency Services Department is hosting the third and final installment in its TRACE Reporting of Transactions in U.S. Treasury Securities phone-in workshop series from 1:30 – 2:30 PM EST. During this one, FINRA staff review relevant rules and regulations, and discuss testing and other relevant technical information. Questions from participants will be accepted in advance or during the presentation via email only. Please email all questions to

FINRA is hosting this series of free phone-in workshops to assist firms with planning for the requirement of reporting transactions in U.S. Treasury Securities to FINRA via the Trade Reporting and Compliance Engine (TRACE)—a requirement that goes into effect July 10, 2017.
Register for the Phone-In Workshop

FINRA Holiday Reminder Regarding TRACE Market Data
In observance of Memorial Day, the TRACE system will be closed on Monday, May 29, 2017.
TRACE Announcements

SIFMA US Research Quarterly, First Quarter 2017
Issuance of mortgage-related securities, including agency and non-agency passthroughs and collateralized mortgage obligations, totaled $406.5 billion in the first quarter, a 27.3 percent decline from 4Q'16 ($558.9 billion) but a 12.3 percent increase y-o-y ($361.9 billion).
Press Release



SIFMA Comments on Cybersecurity Executive Order
On May 12, SIFMA released the following statement from Kenneth E. Bentsen, Jr., SIFMA president and CEO, regarding President Trump’s executive order on cybersecurity: “We commend the Administration for its focus on the critically important issue of cybersecurity. Improving both the government’s and the private sector’s ability to defend against cyber-attacks is a top priority for the financial services industry. SIFMA member firms dedicate tremendous resources to protect the integrity of the capital markets and the millions of Americans who use financial services every day.” 

CEO Bentsen further commented that the Administration’s Executive Order is a positive step forward for enhancing the cyber defense capability of the government, but he urges those agencies and departments not directly covered by this action to adopt these policies to better protect Americans. “We are [also] encouraged by the focus on international collaboration and the intent to align cybersecurity policy with the NIST cybersecurity framework. It is imperative that cybersecurity guidance and regulation be appropriately coordinated to avoid duplications and conflict that can detract from the overall mission.”
SIFMA Press Release

Congratulations to the 2017 Invest It Forward All-Star Volunteers
In recognition of Financial Literacy Month, in April Invest It Forward volunteers went above and beyond to spread awareness and increase financial literacy education across the country. SIFMA and the SIFMA Foundation are seeking additional volunteers to continue the good work. Sign-up today using the IIF Match Portal to see all the upcoming opportunities. 



CFTC's FinTech Advisor Joins SIFMA’s FinTech Conference Program
Jeffrey Bandman, FinTech Advisor at the U.S. Commodity Futures Trading Commission, joins the FinTech Conference program as the Day 1 keynote speaker. New developments in robo advising, robotics, artificial intelligence, machine learning and blockchain experiments have the potential to reshape securities markets and processes. SIFMA’s FinTech Conference, to be held on two half days June 5–6 in NYC, will bring together innovators, industry leaders and regulators to discuss these developments and the impact on firms, their operations, and regulation. Register today!

SIFMA-TCH Prudential Regulation Conference, June 13
In early February 2017, President Trump issued several executive orders that will cause a review of the financial regulatory framework in the United States and globally. With 2017 set to be a year of change in the U.S. and one of transition in Europe due to regulatory reform and the uncertainty of Brexit, the Prudential Regulation Conference will gather financial researchers, policymakers, practitioners and subject matter experts in Washington D.C. to provide insight into the possible changes that may reshape the direction of regulation in the year ahead.


Economic Calendar

Week of5/29


  • U.S. Holiday: Memorial Day
  • Markets Closed


  • Personal Income and Outlays 8:30 AM ET
  • S&P Corelogic Case-Shiller HPI 9:00 AM ET
  • Consumer Confidence 10:00 AM ET
  • State Street Investor Confidence Index 10:00 AM ET
  • Dallas Fed Mfg Survey 10:30 AM ET
  • 4-Week Bill Auction 11:30 AM ET
  • 3-Month Bill Auction 11:30 AM ET
  • 6-Month Bill Auction 11:30 AM ET


  • MBA Mortgage Applications 7:00 AM ET
  • Redbook 8:55 AM ET
  • Chicago PMI 9:45 AM ET
  • Pending Home Sales Index 10:00 AM ET
  • Beige Book 2:00 PM ET
  • Farm Prices 3:00 PM ET
  • John Williams Speaks 7:30 PM ET


  • Motor Vehicle Sales
  • Weekly Bill Settlement
  • Chain Store Sales
  • Challenger Job-Cut Report 7:30 AM ET
  • ADP Employment Report 8:15 AM ET
  • Jobless Claims 8:30 AM ET
  • Productivity and Costs 8:30 AM ET
  • Gallup Good Jobs Rate 8:30 AM ET
  • PMI Manufacturing Index 9:45 AM ET
  • Bloomberg Consumer Comfort Index 9:45 AM ET
  • ISM Mfg Index 10:00 AM ET
  • Construction Spending 10:00 AM ET
  • EIA Natural Gas Report 10:30 AM ET
  • EIA Petroleum Status Report 11:00 AM ET
  • 3-Month Bill Announcement 11:00 AM ET
  • 6-Month Bill Announcement 11:00 AM ET
  • Fed Balance Sheet 4:30 PM ET
  • Money Supply 4:30 PM ET


  • Employment Situation 8:30 AM ET
  • International Trade 8:30 AM ET
  • Baker-Hughes Rig Count 1:00 PM ET


Featured Data and Resources

View all Rates Reference Data Aggregated by SIFMA Rates Group

SIFMA’s 2017-2018 Market Close Recommendations
CME’s Full 2017 Holiday Calendar and Related Notices
FICC’s 2017 Holiday Schedule for GSD


120 Broadway, 35th Floor, New York, NY 10271 | 212.313.1000

1101 New York Avenue, NW, 8th Floor, Washington, DC 20005 | 202.962.7300

To unsubscribe from this mailing, please click here.