HOW IS MARKET
VOLATILITYIMPACTING MONEY
MARKET
SECURITIES?
April 6, 2020
DTCC is publishing weekly
reports to provide insights intothe volatility of the moneymarkets. The data comes from
our DTCC Money Market Kinetics
service.
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In times of unprecedented market volatility, providing market transparency is critical.
Our new DTCC Money Market Kinetics Weekly Snapshot, derived from the DTCC
Money Market Kinetics product, offers insights into the 3.1 trillion dollar moneymarkets.

MARKET HIGHLIGHTS

Current market volatility is impacting the short-term lending market•

Liquidity in Corporate Commercial Paper (CP) and Institutional Certificates of Deposit (CD) has
decreased precipitously in recent weeks.

•Last month, the Federal Reserve responded by creating a new funding facility to ensure liquidityand free up short-term lending.

DATA INSIGHTS
Click here to see this week’scharts

Variable-rate securities and fixed-rate CDs experienced another week of below average
settlement activity. Fixed-rate CP settlements declined.

Learn more about DTCC Money
Market Kinetics•For the week of March 30-April 3:o Fixed-rate CD settlements increased from $18 billion the prior week to $36 billion,
but remain lower than the prior 52-week average which was $44 billion prior toMarch 16, 2020.
o Variable-rate CD settlements increased to $2.641 billion from $748 million theprior week. The rate remains significantly lower than the prior 52 weeks, which
averaged $12 billion per week.
o Fixed-rate CP settlements declined from over $600 billion to $530 billion, andremain above the prior year weekly average.
o Variable-rate CP settlements declined to $1.6 billion, compared to a weekly
average of $7 billion.

•For the month of March 2020:o Below are the total settlement amounts and the percentage change as compared tothe prior 12-month averages.
▪ Fixed-rate CD: $133B, down 32% from $195B▪ Variable-rate CD: $14B, down 76% from $58B
▪ Fixed-rate CP: $2.1T, up 19% from $1.8T▪ Variable-rate CP: $13B, down 60% from $32B

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WEEKLY CHARTS

week ofweek ofof

week ofweek ofNote: Dates displayed in weekly charts represent the first day of the week summarized; the valuesdisplayed are for the entire week of activity.

MONTHLY CHARTS

Legend:Monthly Settlement Amounts
12-Month AverageCopyright 2020 DTCC. All rights reserved. DTCC, DTCC (Stylized), ADVANCING FINANCIALM ARKETS. TOGETHER, and the Interlocker Graphic are registered and unregistered trademarks of
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