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2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

2-year 5-year 10-year 256ths

Exhibit 1: Treasury Bid-Ask Spreads

Source: FRBNY staff calculations, based on data from BrokerTec.Notes: The exhibit plots 21-day moving averages of average daily bid-ask spreads for on-the-run notes. Spreads are measured in 256ths of a point, where apoint equals one percent of par.

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2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

2-year 5-year 10-year Millions USD

Exhibit 2: Treasury Depth

Source: FRBNY staff calculations, based on data from BrokerTec.Notes: The exhibit plots 21-day moving averages of average daily depth for on-the-run notes. Depth is defined as the sum of all bid and ask orders at thefirst level (lowest ask, highest bid) of the order book.

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2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

2-year 5-year 10-year 256ths per 100 Million USD

Exhibit 3: Treasury Price Impact

Source: FRBNY staff calculations, based on data from BrokerTec.Notes: The exhibit plots four-week moving averages of price impact coefficients for on-the-run notes. The coefficients are estimated from weekly regressionsof five-minute price changes on five-minute signed trading volume.

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2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

2-year 5-year 10-year Millions USD

Exhibit 4: Treasury Trade Size

Source: FRBNY staff calculations, based on data from BrokerTec.Note: The exhibit plots 21-day moving averages of average daily trade size for on-the-run notes.

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2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Basis Points

Exhibit 5: Treasury Yield Curve Fitting Errors

Source: FRBNY staff calculations, based on data from the Federal Reserve Board.Notes: The exhibit plots the 21-day moving average of absolute yield curve fitting errors for two- to ten-year coupon securities from the Nelson-Siegel-Svensson model of Gurkaynak, Sack, and Wright (described in "The U.S. Treasury Yield Curve: 1961 to Present," Journal of Monetary Economics 54, [2007]).

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2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Average Trade Size Number of TradesSize (Thousands of USD) Number (Thousands)

Exhibit 6: Corporate Trade Size

Source: FRBNY staff caclulations, based on data from FINRA.Notes: Trade size is calculated at a daily frequency, averaged over bonds underlying the investment grade 5-year CDX index, and averaged over the month.Number of trades is the daily sum of all trades for bonds underlying the investment grade 5-year CDX index, averaged over the month.

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Exhibit 7: Corporate Effective Bid-Ask Spreads

Source: FRBNY staff calculations, based on data from FINRA.Notes: Effective bid-ask spreads are calculated at the daily frequency and averaged over bonds underlying the investment grade 5-year CDX index. Spreads areexpressed as a percent of par. Five-day moving averages are plotted.

Percent

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2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Exhibit 8: Corporate Price Impact

Source: FRBNY staff calculations, based on data from FINRA.Notes: Price impact is calculated at the daily frequency and averaged over bonds underlying the investment grade 5-year CDX index. Price impact is definedas the absolute percent return divided by dollar volume. Five-day moving averages are plotted.

Percent per 100 Million USD

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2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Corporate bonds

Treasuries

Jump Count

Exhibit 9: Corporate and Treasury Liquidity Risk

Source: FRBNY staff calculations, based on data from BrokerTec and FINRA.Notes: Liquidity risk is defined as the number of jumps in a liquidity index in a trailing 18-month window. The liquidity index is the first principal component ofseveral liquidity metrics. Jumps are calculated relative to a local estimate of continuous variation.