Document 1080048311 PDF

Dollar Funding After the Storm
December 8th, 2017

Zoltan Pozsar
Global Strategy and Economics
+1 212 538 3779
zoltan.pozsar@credit-suisse.com
DISCLOSURE APPENDIX AT THE BACK OF THIS REPORT CONTAINS IMPORTANT DISCLOSURES, LEGAL ENTITY DISCLOSURE AND
ANALYST CERTIFICATIONS.
Table of Contents
1. New Pipes
2. Feast and Famine
3. Prime Funds
4. Government Funds
5. Les Arbitrageurs
5.1 Swedish Arbitrageurs
5.2 Eurozone Arbitrageurs
5.3 Canadian Arbitrageurs
5.4 Australian Arbitrageurs
5.5 Norwegian Arbitrageurs
5.6 Danish Arbitrageurs
6. Japanese Banks
7. Eurozone Banks
7.1 French Repo Branches
8. Canadian Banks
8.1 Canadian Repo Branches
9. Swiss Banks
10. U.K. Banks
11. What Drives LIBOR?
12. Appendix
1
1. New Pipes
THE OLD PIPES:
Foreign Banks Prime Funds
U.S. dollars to foreign real money accounts

FXS CD CD $
(speculative book earning the XCCY basis to OIS or Libor)

THE NEW PIPES:
Asset Managers Broker-Dealers Government Funds
U.S. dollars to foreign real money accounts

FXS FXS
Step 2 FXS RP RR RP RP $
↓ ↑
Step 1 T-Bills
→ →
(speculative book earning the XCCY basis to repo) (matched book earning the bid-ask on repo and FXS)
Step 1 = hedge fund repos bills for cash (cash comes from money funds via matched-book repos); Step 2 = hedge fund lends dollars via FX swaps…
Source: Credit Suisse
3
THE OLD PIPES:
Foreign Banks Prime Funds
U.S. dollars to Japanese real money accounts

FXS CD CD $
(speculative book earning the XCCY basis to OIS or Libor)

THE NEW PIPES:
Japanese Banks Broker-Dealers Government Funds
U.S. dollars to Japanese real money accounts

FXS FXS
Step 3 FXS RP RR RP RP $
↓ ↑
Step 2 T-Bills RP
Step 1 JGBs
→ →
(speculative book earning the XCCY basis to repo) (matched book earning the bid-ask on repo and FXS)
Step 1 = Japanese bank s swaps JGBs for U.S. Treasuries with the Ministry of Finance at a cost of next to nothig; Step 2 = bank repos U.S. Treasuries for cash…
…via their brok er-dealer subs' matched book s; Step 3 = Japanese bank s lend dollars to Japanese insurers via FX swaps. On net, Japan as a whole managed to
to "internalize" the provision of dollars via FX swaps and basically eliminated the need to rely on foreign bank s (mainly French and U.S. names) to swap $ for ¥.
Source: Credit Suisse
4
2. Feast and Famine
1,000 1,003 1,000
$ billion, base 1/1/16 = 0
800 800
600 600
400 400
200 200
0 0
(200) (200)
(400) (400)
(600) (600)
(800) (800)
(874)
(1,000) (1,000)
14 15 16 17
Outflows from prime money funds Inflows to government money funds
Source: ICI, Credit Suisse
6
1,400
Major asset classes held by prime and government money funds combined, $ billion
1,200
1,042
1,000
843
800
744 737
680
662
600
588
551
482
462
400
300
200 201
0
Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17
Foreign banks (unsecured via prime funds) U.S. banks (advances via the FHLB system)
Dealers (repos via government funds, 3-mo. MA) Sovereign (Treasury bills and o/n RRPs w/ FRBNY)
7
600 600
Major asset classes held by prime and government money funds combined, $ billion, base April 2016 = 0
453
400 400
200 199 200
89
0 0
(200) (200)
(400) (400)
(444)
(543)
(600) (600)
Foreign banks (unsecured via prime funds) U.S. banks (advances via the FHLB system)
Sovereign (Treasury bills and o/n RRPs w/ FRBNY) Dealers (repos via government funds, 3-mo. MA)
Sovereign (change since December peak) Dealers (change since December level)
8
3. Prime Funds
1,400
$ billion
1,200 1,200
1,000
800
744
600
440
400
375
285
200 201
0
Sovereign (incl. o/n RRP) Repo (private) Unsecured Unsecured (banks only, o/n TD, CD, and CP ex ABCP) Total
10
700 210%
$ billion
200%
190%
600 180%
170%
160%
500 150%
140%
130%
400 120%
110%
100%
300 90%
80%
70%
200 60%
50%
40%
100 30%
20%
10%
0 0%
Liqudity buffer (assets < 7 days plus all T-bills, $ bn, LHS) Duration (all other assets, $ bn, LHS)
% liquidity (minimum, RHS) % liquidity (actual, total, RHS)
11
700 210%
$ billion
200%
190%
600 180%
170%
160%
500 150%
140%
130%
400 120%
110%
100%
300 90%
80%
70%
200 60%
50%
40%
100 30%
20%
10%
0 0%
Liqudity buffer (assets < 7 days plus all T-bills, $ bn, LHS) Liqudity buffer, core (assets < 7 days, $ bn, LHS)
% liquidity (minimum, RHS) % liquidity (core, RHS)
12
700 700
$ billion 675
650
625
600 600
575
550
525
500 500
475
450
425
400 400
375
350
325
300 300
275
250
225
200 200
175
150
125
100 100
75
50
25
0 0
Core to mostly foreign banks, unsecured Core to dealers, secured (ex o/n RRPs w/ FRBNY)
Core to sovereign (including o/n RRPs w/ FRBNY) Liqudity buffer, core (assets < 7 days, $ bn, LHS)
13
700 700
$ billion 675
650
625
600 600
575
550
525
500 500
475
450
425
400 400
375
350
325
300 300
275
250
225
200 200
175
150
125
100 100
75
50
25
0 0
o/n TDs CDs (w/ maturities of less than 7 days)

CP, financial (w/ maturities of less than 7 days) o/n repos (including o/n RRPs w/ FRBNY)
U.S. Treasury bills (w/ maturities of less than 7 days) GSE debt (w/ maturities of less than 7 days)
Liqudity buffer (assets < 7 days plus all T-bills, $ bn, LHS) Liqudity buffer, core (assets < 7 days, $ bn, LHS)
14
700 700
$ billion 675
650
625
600 600
575
550
525
500 500
475
450
425
400 400
375
350
325
300 300
275
250
225
200 200
175
150
125
100 100
75
50
25
0 0
French banks (unsecured, < 7 days) Swedish banks (unsecured, < 7 days)
Canadian banks (unsecured, < 7 days) Japanese banks (unsecured, < 7 days)
Australian banks (unsecured, < 7 days) German banks (unsecured, < 7 days)
UK banks (unsecured, < 7 days) Dutch banks (unsecured, < 7 days)
Norwegian banks (unsecured, < 7 days) Liqudity buffer (assets < 7 days plus all T-bills, $ bn, LHS)
Unsecured claims on foreign banks, core liquidity Liqudity buffer, core (assets < 7 days, $ bn, LHS)
15
350
Prime money funds unsecured lending to foreign banks by term, $ billion
300 297
250
211
200
150 148
126
100 99
88
62
50 48
38
21
0
o/n (funding IOER arbitrage) o/n - 1M (funding term arbitrage) 1M - 3M (funding term arbitrage or HQLA) 3M+ (funding HQLA)
16
4. Government Funds
2,500
$ billion
2,250
2,000
1,750
1,500
1,293
1,250
1,000
964
903
750
500
328
250
0
Total Sovereign (including o/n RRPs w/ FRBNY) Sovereign (U.S. Treasury bills and FHLB debt) Secured (private)
18
1,800 270%
$ billion 260%
250%
1,600 240%
230%
220%
1,400 210%
200%
190%
1,200 180%
170%
160%
1,000 150%
140%
130%
800 120%
110%
100%
600 90%
80%
70%
400 60%
50%
40%
200 30%
20%
10%
0 0%
Liqudity buffer (assets < 7 days plus all T-bills, $ bn, LHS) Duration (all other assets, $ bn, LHS)
% liquidity (minimum, RHS) % liquidity (actual, total, RHS)
19
1,800 270%
$ billion 260%
250%
1,600 240%
230%
220%
1,400 210%
200%
190%
1,200 180%
170%
160%
1,000 150%
140%
130%
800 120%
110%
100%
600 90%
80%
70%
400 60%
50%
40%
200 30%
20%
10%
0 0%
Liqudity buffer (assets < 7 days plus all T-bills, $ bn, LHS) Liquidity buffer, core (assets < 7 days, $ bn, LHS)
% liquidity (minimum, RHS) % liquidity (core, RHS)
20
1,800 1,800
$ billion
1,700
1,600 1,600
1,500
1,400 1,400
1,300
1,200 1,200
1,100
1,000 1,000
900
800 800
700
600 600
500
400 400
300
200 200
100
0 0
Core to dealers (o/n repos) Core to the Fed (o/n RRPs)

Core to U.S. Treasury (T-bills) Core to FHLBs (discount notes and FRNs)
Liquidity buffer, core (assets < 7 days, $ bn, LHS) Liqudity buffer (assets < 7 days plus all T-bills, $ bn, LHS)
21
1,800 1,800
$ billion
1,700
1,600 1,600
1,500
1,400 1,400
1,300
1,200 1,200
1,100
1,000 1,000
900
800 800
700
600 600
500
400 400
300
200 200
100
0 0
French dealers (secured, < 7 days) U.S. dealers (secured, < 7 days)
Canadian dealers (secured, < 7 days) Japanese dealers (secured, < 7 days)
U.K. dealers (secured, < 7 days) German dealers (secured, < 7 days)
Dutch dealers (secured, < 7 days) Swiss dealers (secured, < 7 days)
Core to the Fed (o/n RRPs) Core to U.S. Treasury (T-bills)
Core to FHLBs (discount notes and FRNs) Liqudity buffer (assets < 7 days plus all T-bills, $ bn, LHS)
Liquidity buffer, core (assets < 7 days, $ bn, LHS) Repo (private)
22
2,500 2,500
$ billion
2,250 2,250
2,000 2,000
1,750 1,750
1,500 1,505 1,500
1,250 1,289 1,250
1,000 1,000
816
750 664 750
689
625
566
500 625 500
328
250 250
161
0 0
(250) (250)
(216)
(500) (500)
Total Sovereign (including o/n RRPs w/ FRBNY)

Sovereign (U.S. Treasury bills and FHLB debt) U.S. Treasury bills
FHLB discount notes and FRNs U.S. Treasury bills (change since post-reform peak)
Secured (private) Secured (private, base November 2016 = 0)
23
250
$ billion
236
225
203
200
175
150
144
133
125 127
108 109
100 98
91 90
81
75 75
54 56
50
25 24 26
9 11
0
o/n repos French dealers (3-mo. MA) o/n repos French dealers o/n repos U.S. dealers o/n repos Canadian dealers
o/n repos Japanese dealers o/n repos U.K. dealers o/n repos Swiss dealers (3-mo. MA) o/n repos Swiss dealers
24
5. Les Arbitrageurs
New York branches of foreign banks that function as arbitrageurs, $ billion
450
11
400 37
24
350
202
300
Interoffice funding (dollars from HQ)
Deposits (operating)
Money market funding (unsecured - fed funds purchased)
250 226
Money market funding (unsecured - o/n TDs and CDs)
Money market funding (unsecured - CP and term debt)
30
Money market funding (repos)
200 9
Other
Derivative payables
150 HQLA (reserves)

HQLA (reverses)
119
HQLA (bonds)
100 Money market lending (dollars to HQ)
95 6 95
107 12 Money market lending (fed funds sold)
13 Money market lending (interbank deposits)
100 29 Capital market lending (corporate bonds, ABS, etc.)
50
0 Loans (traditional lending)
44 26 29
20 Derivative receivables
0 0 3 8 Total change
-6 -1
-7
0
-1 -2
-22
0
-22
(50) -88
-64 -10 -64
(100)
Assets Liabilities Assets Liabilities Assets Liabilities
Balance sheet "Into the Storm" "Dollar Funding Conditions Ease"
snapshot as of 3/31/17 (change from 6/30/16 to 12/31/16) (change from 12/31/16 to 3/31/17)
Les Arbitrageurs
Source: FFIEC002, Credit Suisse
26
400 400
$ billion
300 300
235
200 200
151
100 103 100
0 0
(100) (107) (100)
(189)
(200) (200)
(237)
(300) (300)
11 12 13 14 15 16 17
Prime money funds' unsecurded exposure to "Les Arbitrageurs" (N-MFP)

Government funds' secured exposure to "Les Arbitrageurs" (N-MFP)
Net funding impact of money fund reform (base, February 2016 = 0)
Source: OFR, Credit Suisse
27
New York branches, $ billion
140
0
120
24
100
13
80 91
60
77 Money market funding (unsecured - CP and term debt)
43 0 43 Money market funding (repos)
40 8
0 Other
4
12 Derivative payables
53
20 HQLA (reserves)
25 0
21 HQLA (reverses)
19 HQLA (bonds)
11
0 3 0 0 0 3
0 -3
-9 Money market lending (fed funds sold)
-13 0
Money market lending (interbank deposits)
-2
(20) Capital market lending (corporate bonds, ABS, etc.)
-18 Loans (traditional lending)
Derivative receivables
-69
(40) Total change
-15
-50 -50
(60)
(80)
Swedish arbitrageurs
28
140 140
$ billion 135
130
125
120 120
115
110
105
100 100
95
92
90
85
80 80
75
70
65
60 60
55
49 50
45
40 40
35
30
25
23
20 20
16 15
10
8
5
0 0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Swedish banks (N-MFP) Prime funds' unsecured exposure to Swedish banks (ICI)
0-7 day funding (ICI) 8-30 day funding (ICI)
30-90 day funding (ICI) 90+ day funding (ICI)
Source: ICI, OFR, Credit Suisse
29
120
11
100
30
4
80 Interoffice funding (dollars from HQ)

16 Deposits (operating)
45
4
60
Other
HQLA (reserves)
40 HQLA (reverses)
HQLA (bonds)
Money market lending (dollars to HQ)
40
Money market lending (fed funds sold)
20 21 3 21
3 Capital market lending (corporate bonds, ABS, etc.)
31 16
Loans (traditional lending)
0
7 Total change
7
1 3 2
0 0 0 0
-1 -2
-4
0 -6
-12 -7
-14 -14
-4
(20)
Eurozone arbitrageurs
30
70
$ billion
60
50
40
33
30
23
20
16
10
0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Eurozone arbitrageurs (N-MFP)
31
90
0
1
0
80
70
30
60
0
1
50
40
Other
Derivative payables
40 HQLA (reserves)
30
HQLA (reverses)
HQLA (bonds)
0
11 0
10 10 0 11
13 5 Loans (traditional lending)
6
0 5 Derivative receivables
4 0
1
0 0 0 0 0
0 0 Total change
0 -2
0
-1
-2
(10)
-6
(20)
Canadian arbitrageurs
32
80 80
$ billion
60 60
43
40 40
33
26
20 20
0 0
(15)
(20) (20)
(26)
(32)
(40) (40)
(60) (60)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Canadian arbitrageurs NY branches (N-MFP)

Government funds' secured exposure to Canadian arbitrageurs' broker-dealers (N-MFP)
Net funding impact of money fund reform from a holdco perspective (base, February 2016 = 0)
33
80
0
70
22
25
60

50 9
1 Money market funding (unsecured - o/n TDs and CDs)
40 Money market funding (repos)
Other
HQLA (reserves)
30 28
HQLA (reverses)
HQLA (bonds)
20 Money market lending (fed funds sold)
Capital market lending (corporate bonds, ABS, etc.)
1
0
Total change
10 6 6
6 3 3 3
0 0
2
1 2
0 0 0 0
-1 0
-3 0 -2 -4
-1 -3
(10)
Australian arbitrageurs
34
140 140
$ billion 135
130
125
120 120
115
110
105
100 100
95
90
85
80 80
75
70
65
60 60 60
55
50
45
40 40
38
35
33
30
25
20 20
18
15
11 10
5
0 0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Australian banks (N-MFP) Prime funds' unsecured exposure to Australian banks (ICI)
35
25
20
4

12 12 Money market funding (unsecured - o/n TDs and CDs)
21
10 4
Other
Derivative payables
9 3 HQLA (reserves)
5 0 HQLA (reverses)
HQLA (bonds)
5
1 1
0 0 Money market lending (interbank deposits)
0 1 1
0 0 0 0

-3 -2
-6 Total change
-9
(5)
0
(10)
Norwegian arbitrageurs
36
60 60
$ billion 58
56
54
52
50 50
48
46
44
42
40 40
38
36
34
32
30 30
28
26
24
22
20 20
18
16
14
12
10 9 10
8
7 6 6
5 4
2
0 0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Norwegian banks (N-MFP) Prime funds' unsecured exposure to Norwegian banks (ICI)
37
5.1 Swedish Arbitrageurs
New York branch, $ billion
45
40
35
17
30
33 0 Money market funding (unsecured - fed funds purchased)
25
20
Other
Derivative payables
18
15 HQLA (reserves)
HQLA (reverses)
HQLA (bonds)
0
5 4 5 0
0
7 0 5 2 Loans (traditional lending)
3 0 Derivative receivables
2 3
1 0
0 0 0 0 0
0 0 Total change
-2
-8 -4
(5) -5 -5
(10)
NORDEA BK FINLAND PLC NY BR
39
35
$ billion
30
25
23
20
15
10
9
8
0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Nordea AB (N-MFP)
40
35
0
30 7
27 0 27
25
7 7
24
20

22
15
10 0 20 Money market funding (unsecured - o/n TDs and CDs)
13
5 9 0
Other
0 0 0 0 0 0 0 HQLA (reserves)
HQLA (reverses)
-8 HQLA (bonds)
(5)
-13 Money market lending (dollars to HQ)
(10) Money market lending (interbank deposits)
(15)
Total change
-21
(20)
-14
(25)
-29 -29
(30)
SWEDBANK AB NY BR
41
40
$ billion
35
30
26
25
20
15
14
10
5
4
0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Swedbank (N-MFP)
42
30 0
0
20 19 0
24
10 0 20
7 Money market funding (unsecured - fed funds purchased)
4 2 0
0 2
0 0 0 0 0
0 0 1
0
-2 Money market funding (repos)
0
Other
Derivative payables
-13 HQLA (reserves)
(10) -15 HQLA (reverses)
HQLA (bonds)
-17 -17 Money market lending (fed funds sold)
-37 Money market lending (interbank deposits)

(20)
Total change
(30)
(40)
SVENSKA HANDELS AB PUBL NY BR
43
40
$ billion
36
35
30
25
20
15
14
10
0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Svenska Handelsbanken (N-MFP)
44
25
0
20

15
16
Other
9 0 9
HQLA (reserves)
HQLA (reverses)
15 5 HQLA (bonds)
5 0 10 Money market lending (fed funds sold)
0
4
1 0 1
0 Total change
0 0 0 1 0
0 0 -1 0
-3
(5)
SKANDINAVISKA ENSKILDA NY BR
45
40
$ billion
35
30
25
20
15
12
10 10
5
4
0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Skandinaviska Enskilda Banken (N-MFP)
46
5.2 Eurozone Arbitrageurs
50
45
4
9
40
35
0
30 13
25 16 Money market funding (unsecured - CP and term debt)
Other
HQLA (reserves)
HQLA (reverses)
15
HQLA (bonds)
15
2
1 3 0
2 2 Total change
0 0 0
1 1 1 1
0 0
-1 -1
-3 -4
-6
(5)
-4 -5 -5
-1
(10)
RABOBANK NEDERLAND NY BR
48
60
$ billion
50
40
30
20
14
10
3 4
0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Rabobank (N-MFP)
49
25
0
2
0
20
8
11
15
3
0 Other
10 1
Derivative payables
6
HQLA (reserves)
8 8 HQLA (reverses)
7 4
5 HQLA (bonds)
0
0 4
4
1 1 2
1 Total change
0 0
0 0 0
-1 -1 -1
-3
-1
0
(5)
LANDESBK BADEN WUERTTEMB NY BR
50
12
$ billion
10
4
4 4
0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Landesbank Baden-Wuerttemberg (N-MFP)
51
25
0
20 2
15 8
0
10
12 Other
8 0 8
HQLA (reserves)
11
5 HQLA (reverses)
7
HQLA (bonds)
2 0
0 1
0 0 0 0
0

-4 Derivative receivables
0 Total change
(5) -4 -2
-7 -7
(10)
DZ BK AG DEUTSCHE ZentRA NY BR
52
18
$ billion
16
14
12
10
5
4
3
2
0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to DZ Bank (N-MFP)
53
15
0
13
2
10
3
Other
5 5
1 0 Derivative payables
4 1 4
HQLA (reserves)
1 HQLA (reverses)
4
HQLA (bonds)
2 3
0
0 1 1 Capital market lending (corporate bonds, ABS, etc.)
0 0
0 0 0 0
0 -1
-1 Total change
-2
-2 -2
0
(3) 0
(5)
BAYERISCHE LANDESBANK NY BR
54
6
$ billion
4
4
3
3
3
0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Bayerische Landesbank (N-MFP)
55
7
6
1 1
0
0 0
5

4 Other
5 HQLA (reserves)
0 HQLA (reverses)
HQLA (bonds)
0 2 2
0
1 0 1 Loans (traditional lending)
1
1
1
1 1 Total change
0
0 0
0 0 0
0
0
0
-1
(1)
KBC NV NY BR
56
14
$ billion
12
10
3
3
2
2
0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to KBC Groep (N-MFP)
57
5.3 Canadian Arbitrageurs
55
0
0
50
9
45
0
40

46
25
Other
20 0
Derivative payables
HQLA (reserves)
15 HQLA (reverses)
15 0 HQLA (bonds)
10 10 Money market lending (dollars to HQ)

10
5 0
2 5
0 1
0 1
0 0
-1 0
Total change
(5)
0
-3
(10)
(15)
Toronto Dominion Bank NY branch
59
50 50
$ billion
40 40
30 30
24
20 20
16
15
10 10
0 0
(7)
(10) (10)
(18)
(20) (19) (20)
(30) (30)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Toronto Dominion NY branch (N-MFP)

Government funds' secured exposure to TD Securities (USA) LLC (N-MFP)
60
35
0
1
0
30
25
21
20
15
Other
0
1
4 HQLA (reserves)
14
6 0 6 HQLA (reverses)
1
0
1
5 HQLA (bonds)
5 5
0 0 0
0 0 0 0 Money market lending (interbank deposits)
-1 0
(5)
-10 Total change
-2
0
-4
(10)
-11 0 -11
(15)
Canadian Imperian Bank of Commerce NY branch
61
40 40
$ billion
30 30
20 20
19
16
10 11 10
0 0
(7) (8)
(10) (10)
(13)
(20) (20)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Canadian Imperial Bancorp NY branch (N-MFP)

Government funds' secured exposure to CIBC World Markets (N-MFP)
62
5.4 Australian Arbitrageurs
30
0
2
25
13

18
15
Other
HQLA (reserves)
10 HQLA (reverses)
0 HQLA (bonds)
9 9
4
4
Total change
2 2
0 0
0 0 0
0 0
-1 -1
-4
-4
-4 0
0 -4
(5)
NATIONAL AUSTRALIA BK NY BR
64
50 50
$ billion
40 40
30 30
20 20
15
10 10
9
6
0 0
(1)
(5)
(7)
(10) (10)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to National Australia Bank NY branch (N-MFP)

Government funds' secured exposure to National Australia Bank NY branch (N-MFP)
Net funding impact of money fund reform from a NY branch perspective (base, February 2016 = 0)
65
25
20 6
7

15

Other
17 HQLA (reserves)
HQLA (reverses)
HQLA (bonds)
4 0
1 0
0 Total change
0 0 0 0 0
-1 -1 0 -1
-2 -2 0 -2
-2
(5)
AUSTRALIA & NEW ZEALAND NY BR
66
40
$ billion
35
30
25
21
20
15
11
10
10
0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Australia & New Zealand Banking Group (N-MFP)
67
18 0
15 0 5
0
13

Other
HQLA (reserves)
12 HQLA (reverses)
HQLA (bonds)
3
0
1 1 1 Total change
2 1
0 1 0
0 0 0 0
0
0
0
0
-1 0 -1
-2
(3)
COMMONWEALTH BK OF AUS NY BR
68
35
$ billion
30
25
20
15
12
10 10
9
0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Commonwealth Bank of Australia (N-MFP)
69
10
8
3
6 0
1

4
0
3
3 Other
Derivative payables
0 0 HQLA (reserves)
0 0 0 0
0 0 0 0
0 HQLA (reverses)
-2 HQLA (bonds)
-1 -1
-2 Money market lending (dollars to HQ)
(2) Money market lending (fed funds sold)
-4
-3 -3 Money market lending (interbank deposits)
-6 Capital market lending (corporate bonds, ABS, etc.)
(4) Derivative receivables
0
Total change
(6)
(8)
WETPAC BKG CORP NY BR
70
50
$ billion
45
40
35
30
25
20
15
11
10
9
7
5
0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Westpac (N-MFP)
71
5.5 Norwegian Arbitrageurs
25
20
4

21
10 4
Other
Derivative payables
9 3 HQLA (reserves)
5 0 HQLA (reverses)
HQLA (bonds)
5
1 1
0 1 1
0 0 0 0

-3 -2
-6 Total change
-9
(5)
0
(10)
DNB BK ASA NY BR
73
60
$ billion
50
40
30
20
10 9
6
5
0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to DNB Bank ASA (N-MFP)
74
5.6 Danish Arbitrageurs
18 18
$ billion
17
16 16
15
14 14
13
12 12
11
10 10
8 8
6 6
5
4
4 4
3 3
2 2
1
1
0 0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Danske Bank (N-MFP) Prime funds' unsecured exposure to Danske Bank (ICI)
76
6. Japanese Banks
Global dollar book of major Japanese banks, $ billion
1,600
67
1,400 308 156
1,200
289
1,000 FX swaps (short-term)

FX swaps (medium to long-term)
Client-related deposits
800 CD, CP
Corporate bonds, etc.
230 Repos
600 Interbank funding
Other liabilitiess
116 Securities
400 Interbank investments
189 Loans
Other assets
200
6
47
23
0
-75 -50
-30
(8)
(200)
Assets Liabilities Assets Liabilities
Snapshot as of end-February, 2017 Change from end-June, 2016
Source: Bank of Japan, Credit Suisse
78
79
U.S. branches of major Japanese banks, $ billion
600
66
111
30
500 5
3
23

138
300
Other
Derivative payables
53 HQLA (reserves)
200 HQLA (reverses)
HQLA (bonds)

100
9
3 4 19 Total change
2 13
18 30 2 2
16
0 2 -3 -3 -1 -1
-5 -8
-25 -28
-30 -6
-2 -2
-5
-3
(100)
U.S. branches of Japanese banks
80
200 200
$ billion 195
190
185
180 180
175
170
165
160 160
155
150
143 145
140 140
135
130
125
120 120
115
110
105
100 100
95
90
85
80 80
75
72 70
65
60 60
55
50
47 45
44
40 40
35
30
25
20 20 20
15
10
5
0 0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Japanese banks (N-MFP) Prime funds' unsecured exposure to Japanese banks (ICI)
81
200 200
$ billion
150 150
143
100 100
50 47 50
44
0 0
(16)
(50) (48) (50)
(67)
(90)
(100) (102) (100)
(150) (150)
11 12 13 14 15 16 17
Government funds' secured exposure ex Nomura Securities International, Inc. (N-MFP) Government funds' secured exposure to Japanese banks and broker-dealers (N-MFP)
Net funding impact, ex Nomura Securities International, Inc. (base, February 2016 = 0) Net funding impact of money fund reform from a holdco perspective (base, February 2016 = 0)
Prime funds' unsecured exposure to Japanese banks (N-MFP)
82
U.S. branches, $ billion
180
160 33 33
0
140 7 11
0
3

120
100
Other
HQLA (reserves)
HQLA (reverses)
60 HQLA (bonds)

35
20 2
0
6 2
0 Total change
3
4 1
2 4
1 4 2
0 0 1
1 2
0
0 -6 -3 -6 -4
-7
-7
(20)
Bank of Tokyo-Mitsubishi NY, LA and Chicago branches (including the NY branch of the Trust Bank)
83
80 80
$ billion
60 60
48
40 40
20 20
17
16
0 0
(3)
(20) (20)
(24)
(27)
(40) (40)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to MUFG's U.S. branches including the Trust Bank (N-MFP)
Government funds' secured exposure to MUFG Securities Americas Inc. (N-MFP)
84
160
140 4
6
2
35
120
3
100 10
80 25
Other
HQLA (reserves)
HQLA (reverses)
40 HQLA (bonds)
63

0
2 13
1
5 2 1
1 2
0 0
0 -4 -3 Total change
-7 -2
-2
-9 -4 -9 -2
0
-1
-1
-10
(20)
(40)
Mizuho Bank NY and LA branches
85
50 50
$ billion
40 40
30 30
25
20 20
10 10
9 9
0 0
(7)
(10) (10)
(20) (20)
(23)
(24)
(30) (30)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Mizuho Bank NY branch (N-MFP)

Government funds' secured exposure to Mizuho Securities USA LLC (N-MFP)
86
140
0
120 4
0
22
100 0

Other
112
HQLA (reserves)
100 HQLA (reverses)
HQLA (bonds)
20 0
0
21 9
16 9 Total change
0
6 5
0 0 0 2
0 0
-7
-12 0
-16 -19
-14 -14
(20) 0
Norinchukin Bank NY branch
87
20 20
$ billion
15 15
14
10 10
5 5
4
2
0 0
(1)
(5) (5)
(8)
(10) (10) (10)
(15) (15)
11 12 13 14 15 16 17
Prime money funds' unsecured exposure to Norinchukin NY branch (N-MFP)

Government funds' secured exposure to Norinchukin NY branch (N-MFP)
88
120
22
100 29
0
4
0
80 12 Interoffice funding (dollars from HQ)

0
60
Other
Derivative payables
56 HQLA (reserves)
83
40 HQLA (reverses)
HQLA (bonds)
6
20
3
7
14
15
3 5 5 0 0
0 4 5
0 1
-1 -1
-9
-18 -2
-2
(20)
Sumitomo Mitsui NY branch
89
80 80
$ billion
60 60
56
40 40
20 19 20
16
0 0
(5)
(20) (20)
(35)
(40) (41) (40)
(60) (60)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Sumitomo Mitsui NY branch (N-MFP)

Government funds' secured exposure to Sumitomo Mitsui NY branch (N-MFP)
90
40
0
0
0
35
17
30

25
31
1
20 2
Other
HQLA (reserves)
HQLA (reverses)
10 HQLA (bonds)
5 0
4 5 0
2 3 2
0
0 0 0 0
0
0 0
-1 Total change
0 -3
-2 -2 -3
0
-6
(5)
(10)
Sumitomo Mitsui Trust Bank NY branch
91
12
$ billion
10
0
0
0 0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Sumitomo Trust (N-MFP)
92
60
$ billion
50
40
30
20
10
0
11 12 13 14 15 16 17
Nomura Securities International, Inc. repos (total) Daiwa Capital Markets America Inc. repos (total)
93
7. Eurozone Banks
600
500
170 161

57
300
36 Other
41 HQLA (reserves)
200 HQLA (reverses)
HQLA (bonds)
151
10 46
39 46 6
26 Total change
9
3
12 2
4
0 1 -6 -10
-1 -6 -1
0 -18
-22 -34 -2 -34
-6
-3
(100)
U.S. branches of Eurozone banks (excluding Eurozone arbitrageurs and Nordea)
95
400 400
$ billion
300 300
200 200
100 104 100
42 47
0 0
(100) (100)
(142)
(161)
(200) (200)
(210)
(300) (300)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Eurozone banks (ex Eurozone arbitrageurs and Nordea; N-MFP)
Government money funds' secured exposure to Eurozone banks and broker-dealers (N-MFP)
96
180
160
140 53
120 97
5
100
80
Other
Derivative payables
16 HQLA (reserves)
60
0 HQLA (reverses)
4
1 HQLA (bonds)
54
22 0 3 2
0
1
4 9 0 9
8 8 0 Derivative receivables
10
0 0 Total change
-4 -3
-1
-1
-1 -6
(20) -6
(40)
Deutsche Bank NY branch
97
100
$ billion
90
80
70
60
50
40
30
20
10
0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Deutsche Bank (N-MFP)

Government funds' secured exposure to Deutsche Bank Securities, Inc. (N-MFP)
98
90
80
70
34

60
56
50 1
0
Other
HQLA (reserves)
HQLA (reverses)
30 HQLA (bonds)
0

13 13
10
9 Total change
6
0
0 0 3
0
0 2 0 1
0
0 0
-7 -5
-9 -1
0
-7 0 -7
(10)
U.S. branches of Eurozone banks that take U.S. dollars from HQ
99
50 50
$ billion
40 40
30 30
20 20
10 10
8
4
2
0 0
(10) (10)
(13)
(17)
(19)
(20) (20)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Eurozone banks that take U.S. dollars from HQ (N-MFP)
Government funds' secured exposure to Eurozone banks that take U.S. dollars from HQ (N-MFP)
Net funding impact of money fund reform from a holdco perspective (base February 2016 = 0)
100
70
60 0
50 20
27

40
0
0
30
21
Other
HQLA (reserves)
HQLA (reverses)
0
10 12 19 HQLA (bonds)
18
8 6 0
0
1 0 3 Money market lending (interbank deposits)
0 0 0 1 0
-1
-5
(10) -3 -4 Total change
-15 -4 -15
-18
(20)
(30)
BNP Paribas NY branch
101
120 120
$ billion
100 100
80 80
60 60
40 40
35
20 20
14
12
0 0
(12)
(16)
(20) (20)
(40) (38) (40)
(60) (60)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to BNP Paribas NY branch (N-MFP)

Government funds' secured exposure to BNP Paribas Securities Corp. (N-MFP)
102
250
19
57 1
200
47

150
Other
HQLA (reserves)
18 HQLA (reverses)
132
5 HQLA (bonds)
10

4 18 29 18
1 6
1 10 4 Total change
3 2
0 -3 1
-9 -14
-22 -2
0 -2
0
-20 -20 -8
-17
(50)
French bank branches functioning as repo dealers
103
150 150
$ billion
100 100
59
50 50
26 27
0 0
(50) (50)
(100) (100)
(116)
(136)
(150) (150)
11 12 13 14 15 16 17
Government funds' secured exposure to French repo branches (N-MFP)

Net funding impact of money fund reform from a branch perspective (base, February 2016 = 0)
Prime funds' unsecured exposure to French repo branches (N-MFP)
104
7.1 French Repo Branches
100
0
90
8
0
80
30
17
70
4
60
29
40
Other
56
Derivative payables
30 HQLA (reserves)
16 HQLA (reverses)
HQLA (bonds)
20
2 17 0
0
2
10
0 1 1 1
0
0
-10 -9 Total change
(10) -1
0
-12 -11
(20) -20 -20
(30)
Societe Generale NY branch
106
80 80
$ billion
60 60
40 40
20 20
16
6 5
0 0
(20) (20)
(35)
(40) (39) (40)
(46)
(60) (60)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Societe Generale NY branch (N-MFP)

Government funds' secured exposure to Societe Generale NY branch (N-MFP)
Net funding impact of money fund refrom from a NY branch perspective (base, February 2016 = 0)
107
80
5
8
70
10
60 0
36
50
40
2
18
Other
HQLA (reserves)
HQLA (reverses)
20 HQLA (bonds)

17 9
2 4 1
1 0 1
0 0
-1
-3 -1 Total change
-1 -5
-8
0
-9
(10) -7
-12 -12
0
(20)
Credit Agricole Corporate Bank NY branch
108
80 80
$ billion
60 60
40 40
27
20 20
11 12
0 0
(20) (20)
(40) (40)
(57)
(60) (60)
(73)
(77)
(80) (80)
11 12 13 14 15 16 17
Government funds' secured exposure to Credit Agricole NY branch (N-MFP)

Prime funds' unsecured exposure to Credit Agricole NY branch (N-MFP)
109
70
0
1
0
14
60
23
50

40
30
53
Other
0
0
3 HQLA (reserves)
0 HQLA (reverses)
12 1 12
10 4 18 HQLA (bonds)
13
11
2 0
1
0 0 -1
-3 -3 -3 -3 Capital market lending (corporate bonds, ABS, etc.)
(10)
Total change
-5
(20)
-1
0
(30)
Natixis NY branch
110
50 50
$ billion
40 40
30 30
20 20
16
10 10 10
9
0 0
(10) (10)
(20) (20)
(24) (25)
(30) (30) (30)
(40) (40)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Natixis NY branch (N-MFP)

Government funds' secured exposure to Natixis NY branch (N-MFP)
111
8. Canadian Banks
240
220
23
200 44 3
6
180

106
120
Other
HQLA (reserves)
80 7 HQLA (reverses)
HQLA (bonds)
60

40
63
1
0
1 Total change
7 9 2
3
0 1 2 1
-1
0
-2
-5 -8 0
-3 -8
-8 -6
-1 -8
(20) -20 -20
-11
-11
(40)
U.S. branches of Canadian banks (excluding TD and CIBC NY branches)
113
200 200
$ billion
150 150
100 100
89
50 50
43 46
0 0
(6)
(27)
(41)
(50) (50)
(100) (100)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to U.S. branches of Canadian banks (excluding TD and CIBC NY branches; N-MFP)
Government funds' secured exposure to U.S. branches of Canadian banks and broker-dealers (excluding TD and CIBC NY branches; N-MFP)
114
50
13
40 20
0
5
0
20
Other
29
Derivative payables
26
HQLA (reserves)
10 HQLA (reverses)
HQLA (bonds)
0
0 5
0 0 0
0 0 1 1
0 -1 0 Capital market lending (corporate bonds, ABS, etc.)
-2
-4
-1 -4 Loans (traditional lending)
-12 Total change
-8
(10)
-11 -11
(20)
Royal Bank of Canada NY branch
115
60 60
$ billion
50 50
40 40
30 31 30
20 20
18
16
10 10
5 5
0 0
(5)
(10) (10)
(20) (20)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to RBC NY branch (N-MFP)

Government funds' total exposure to RBC Capital Markets, LLC (N-MFP)
116
180
4
3
6
160
31
140
120 76
57
100
8 7 Money market funding (repos)

80
Other
60 HQLA (reserves)
HQLA (reverses)
HQLA (bonds)
66

2
0
1
7 9 3
-1 -1
0
-6 -9 -4
-6 -9 -9 0 -9
-2
-1 -4
-3 -10
(20)
(40)
Canadian bank branches functioning as repo dealers
117
120 120
$ billion
100 100
80 80
60 59 60
40 40
27 28
20 20
0 0
(11)
(20) (20)
(32)
(36)
(40) (40)
(60) (60)
(80) (80)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Canadian bank branches functioning as repo deales (N-MFP)
Government funds' secured exposure to Canadian bank branches functioning as repo deales (N-MFP)
118
8.1 Canadian Repo Branches
90
0
2
5
80
17
70
28
60
26
50
40 6 Money market funding (unsecured - CP and term debt)
Other
35
HQLA (reserves)
HQLA (reverses)
20
HQLA (bonds)
0
5 0
0 1
-1 -1
-1
-4 -6
-1 Total change
(10) -6 -4 -10 0 -10
0 -1
-8 -18
-10 -18
(20)
(30)
Bank of Nova Scotia U.S. activities (net of NY and Houston branches)
120
80 80
$ billion
60 60
40 40
30
20 20
12 12
0 0
(12)
(20) (20)
(30)
(40) (40)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Bank of Nova Scotia U.S. branches (N-MFP)
Government funds' secured exposure to Bank of Nova Scotia NY agency (N-MFP)
121
Chicago branch, $ billion
80
0
1
70 10
60

25
50
1
Other
Derivative payables
14 HQLA (reserves)
30
0 HQLA (reverses)
HQLA (bonds)

5
7 7 Total change
9
5 3 0
2
0 0 0 1 0
-2 0
-4 -1 -4 -4
-5 -4
-1
-1
(10)
Bank of Montreal Chicago branch
122
50 50
$ billion
40 40
30 30
26
20 20
14
12
10 10
0 0 0
(1)
(7)
(10) (10)
(20) (20)
(30) (30)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Bank of Montreal Chicago branch (N-MFP)

Government funds' secured exposure to BMO Capital Markets Corp. (N-MFP)
Net funding impact of money fund reform a holdco perspective (base, February 2016 = 0)
123
12
10
4
4

0
Other
Derivative payables
5 5
1 HQLA (reserves)
1
4 HQLA (reverses)
5 2 0
0 HQLA (bonds)
2 3 3
4 1
2
0
1
0
2
1 Total change
0 0
0 0 0 0
0
-1
(2)
National Bank of Canada NY branch
124
12
$ billion
National Bank of Canada did not tap government money funds for repo
to offset the funding lost from prime money funds (hence no offset chart).
10
3
2
2
2
0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to National Bank of Canada NY branch (N-MFP)
125
9. Swiss Banks
70
60
25
33
50
2
40 0
4
30
20
Other
26
Derivative payables
3
10 HQLA (reserves)
8 HQLA (reverses)
11 12
HQLA (bonds)
0 4 3 3
0 0 1 0 Money market lending (dollars to HQ)
-1
0 0
-1
-4 0 0 Money market lending (fed funds sold)
-2
(10) 0 Capital market lending (corporate bonds, ABS, etc.)

-18 -18
(20) Total change
(30)
(40)
U.S. branches of Swiss banks
127
120 120
$ billion 115
110
105
100 100
95
90
85
80 80
75
70
65
60 60
55
50
45
40 40
35
29 30
25
20 20
14 15
11 11 10
6 5
0 0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Swiss banks (N-MFP) Prime funds' unsecured exposure to Swiss banks (ICI)
128
100 100
$ billion
80 80
60 60
40 40
29
20 20
11 11
0 0
(20) (20)
(36)
(40) (40)
(53) (53)
(60) (60)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Swiss banks' New York branches (N-MFP)
Government funds' secured exposure to Swiss banks' broker-dealer subs (N-MFP)
129
40
0
1
0
11
30 16

20
0 Other
HQLA (reserves)
11 HQLA (reverses)
HQLA (bonds)
0 0 0 0
-1
0 -1
0 -2 Money market lending (interbank deposits)
-4
-4
-7 0 -7 Derivative receivables
-9 0 -9 Total change
(10) -19
(20)
Credit Suisse NY branches
130
80 80
$ billion
60 60
40 40
20 19 20
8
5
0 0
(20) (20)
(32)
(40) (40)
(43)
(45)
(60) (60)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Credit Suisse NY branch (N-MFP)

Government funds' unsecured exposure to Credit Suisse Securities (USA) LLC (N-MFP)
131
30
25
17
20

15
10 4 10 10 Money market funding (repos)
Other
0
Derivative payables
12
10 HQLA (reserves)
5 4
HQLA (reverses)
2
0 HQLA (bonds)
0
1
0 0 0 0 0
0
0
-1 Capital market lending (corporate bonds, ABS, etc.)
(5) -9 Derivative receivables
-13 Total change
(10) -10 -10
(15)
UBS NY branch
132
60 60
$ billion
50 50
40 40
30 30
20 20
10 10 10
6
4
0 0
(4)
(9)
(10) (11) (10)
(20) (20)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to UBS NY branch (N-MFP)

Government funds' secured exposure to UBS Securities LLC (N-MFP)
133
10. UK Banks
120
100
34
44
80
60 2
8
40 Other
HQLA (reserves)
HQLA (reverses)
HQLA (bonds)
39
20 5
1
0
8 8 4 1 4 Capital market lending (corporate bonds, ABS, etc.)
5
-1 0
-5 -4 -3
-1 -9 Derivative receivables
-10 Total change
-19
(20)
-25 -17 -25
(40)
U.S. branches of UK banks
135
200 200
$ billion
160 160
120 120
80 80
59
40 40
21
15
0 0
(18)
(40) (40)
(52)
(66)
(80) (80)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to U.K. banks' NY branches (N-MFP) + HSBC Bank PLC and RBS Securities Inc.
Government funds' secured exposure to U.K. broker-dealers (N-MFP) + HSBC Securities (USA) Inc. and RBS Securities Inc.
Net funding impact (base February 2016 = 0) [1] Net funding impact (base February 2016 = 0) [2]
136
50
0
3
0
40 14
22
2
5

20 5
Other
Derivative payables
HQLA (reserves)
10 HQLA (reverses)
16 0 0
0 0
13 3 7 HQLA (bonds)
7
8 8
5
0
-2 -3 0 -1
-1
-2 -6 -6
Total change
(10) -12
(20)
Standard Chartered Bank NY branch
137
25 25
$ billion
20 20
15 15
10 10
5 5
3
1
0 0
(5) (5)
(10) (10)
(15) (15)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Standard Chartered NY branch (N-MFP)

Government funds' secured exposure to Standard Chartered NY branch (N-MFP)
Net funding impact of money fund refrom from a NY branch perspective (base, February 2016 = 0)
138
45
40
35
21
30
25
Other
HQLA (reserves)
20 3
0 HQLA (reverses)
10
HQLA (bonds)
5
0
0 0 1
0 0 0
-3 -2
0 -5
-6
-5 Total change
(5) -5 -5
-7
(10) -10 -5 -10
(15)
Barclays Bank NY branch
139
100 100
$ billion
80 80
60 60
40 40
20 20
15
6 7
0 0
(6)
(20) (18) (20)

(21)
(40) (40)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Barclays Bank NY branch (N-MFP)

Government funds' secured exposure to Barclays Capital Inc. (N-MFP)
140
20
15

10 3
Other
9
HQLA (reserves)
6 2 HQLA (reverses)
0 HQLA (bonds)
2 2
0 0
0 0
0 0 0
-2 Money market lending (interbank deposits)
-4
Total change
(5) -9
-5
-1
-9 -9
(10)
Lloyds TSB Bank NY branch
141
50 50
$ billion
40 40
30 30
20 20
10 11 10
2
0 1 0
(2)
(10) (10) (10)
(20) (20)
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Lloyds TSB NY branch (N-MFP)

Government funds' secured exposure to Lloyds Securities Inc. (N-MFP)
142
11. What Drives LIBOR?
1,000
900
232 249
800
700 87 74
49
600
500
Other
HQLA (reserves)
106 HQLA (reverses)
300
HQLA (bonds)
1 11
5 27 14
6
30 34 2 27
15 Total change
0 1
-8 -7 -17
-1 -11 -17
-15
-54
-59 -70 -70
-13
(100) -12
(200)
Foreign members of the U.S. dollar LIBOR panel
144
600 600
$ billion
500 500
400 400
300 300
200 200
100 100
0 0
(100) (100)
(200) (200)
(300) (300)
(400) (400)
11 12 13 14 15 16 17
Prime funds unsecured exposure to the New York branches of foreign U.S. dollar LIBOR panel banks (N-MFP)
Government funds secured exposure to the New York branches and broker-dealers of foreign U.S. dollar LIBOR panel banks (N-MFP)
145
New York branches of Bank of Tokyo-Mitsubishi, Sumitomo Mitsui Bank and Norinchukin, $ billion
440
400
59 62
360
0
11
24
3
320

280
152
200
Other
Derivative payables
160 HQLA (reserves)
42
HQLA (reverses)
HQLA (bonds)
120
116

40 5
8
0 17
33 1 Total change
21 8 8 1
12
0 2
0 -5 -5 -5
-9 -4 -26
-32 -16
0
-6
(40)
(80)
Japanese members of the U.S. dollar LIBOR panel
146
200 200
$ billion
150 150
100 100
50 50
MUFG Securities and the NY branches of Sumitomo Mitsui Bank and Norinchukin Bank
0 0
(50) (50)
(100) (100)
11 12 13 14 15 16 17
Prime funds unsecured exposure to the New York branches of Japanese U.S. dollar LIBOR panel banks (N-MFP)
Government funds secured exposure to the New York branches and broker-dealers of Japanese U.S. dollar LIBOR panel banks (N-MFP)
147
New York branches of Rabobank, Credit Agricole, Deutshce Bank and Societe Generale, $ billion
400
360
96
109
320
280
42
240
200
33 Other
Derivative payables
2
160 38 HQLA (reserves)
HQLA (reverses)
HQLA (bonds)
99
40 Total change
8 31 10 31
10 0
1
3
8 9
5 1
0 6 0
1 -3 -5
-4
-2
0 -18
-18 -30 0 -30
-8
(40)
Eurozone members of the U.S. dollar LIBOR panel
148
300 300
$ billion
250 250
200 200
150 150
100 100
50 50
Deutsche Bank Securities and the NY branches of Credit Agricole and Societe Generale
0 0
(50) (50)
(100) (100)
(150) (150)
(200) (200)
11 12 13 14 15 16 17
Prime funds unsecured exposure to the New York branches of Eurozone U.S. dollar LIBOR panel banks (N-MFP)
Government funds secured exposure to the New York branches and broker-dealers of Eurozone U.S. dollar LIBOR panel banks (N-MFP)
149
New York branches of Credit Suisse and UBS, $ billion
70
60
25
33
50
2
40 0
4
30
20
Other
26
Derivative payables
3
10 HQLA (reserves)
8 HQLA (reverses)
11 12
HQLA (bonds)
0 4 3 3
0 0 1 0 Money market lending (dollars to HQ)
-1
0 0
-1
-4 0 0 Money market lending (fed funds sold)
-2
(10) 0 Capital market lending (corporate bonds, ABS, etc.)

-18 -18
(20) Total change
(30)
(40)
Swiss members of the U.S. dollar LIBOR panel
150
100 100
$ billion
80 80
60 60
40 40
20 20
Credit Suisse Securities (USA) LLC and UBS Securities LLC
0 0
(20) (20)
(40) (40)
(60) (60)
11 12 13 14 15 16 17
Prime funds unsecured exposure to the New York branches of Swiss U.S. dollar LIBOR panel banks (N-MFP)
Government funds secured exposure to the broker-dealers of Swiss U.S. dollar LIBOR panel banks (N-MFP)
151
New York branches of Barclays, Lloyds and RBS, $ billion
60
50
30
34
40

0
5 Other
HQLA (reserves)
26 HQLA (reverses)
HQLA (bonds)
0
0 0 0
-3 -2 -3
0 -2 -3 -3 Derivative receivables
-8
Total change
-9
(10)
-16
-6
-19 -19
(20)
U.K members of the U.S. dollar LIBOR panel
152
160 160
$ billion
140 140
120 120
100 100
80 80
60 60
40 40
20 20
Barclays Capital Inc., RBS Securities and Lloyds Securities

0 0
(20) (20)
(40) (40)
11 12 13 14 15 16 17
Prime funds unsecured exposure to the New York branches of British U.S. dollar LIBOR panel banks (N-MFP)
Government funds secured exposure to the broker-dealers of British U.S. dollar LIBOR panel banks (N-MFP)
153
New York branch of Royal Bank of Canada, $ billion
50
13
40 20
0
5
0
20
Other
29
Derivative payables
26
HQLA (reserves)
10 HQLA (reverses)
HQLA (bonds)
0
0 5
0 0 0
0 0 1 1
0 -1 0 Capital market lending (corporate bonds, ABS, etc.)
-2
-4
-12 Total change
-8
(10)
-11 -11
(20)
Canadian members of the U.S. dollar LIBOR panel
154
60 60
$ billion
50 50
40 40
30 30
20 20
10 10
RBC Capital Markets, LLC
0 0
(10) (10)
(20) (20)
11 12 13 14 15 16 17
Prime funds unsecured exposure to the New York branches of Canadian U.S. dollar LIBOR panel banks (N-MFP)
Government funds secured exposure to the New York broker-dealers of Canadian U.S. dollar LIBOR panel banks (N-MFP)
155
12. Appendix
600 600
$ billion 580
560
540
520
500 500
480
460
440
420
400 400
380
360
340
320
300 300
280
260
240
220
200 196 200
180
160
140
120
100 94 100
76 80
70
60
45 40
22 20
0 0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Eurozone banks (N-MFP) Prime funds' unsecured exposure to Eurozone banks (ICI)
157
250 250
$ billion 240
230
220
210
200 200
190
180
170
160
150 150
140
132 130
120
110
100 100
90
78 80
69 70
60
50 50
43 40
35
30
20
17
10
0 0
11 12 13 14 15 16 17
Prime funds' unsecured exposure to Canadian banks (N-MFP) Prime funds' unsecured exposure to Canadian banks (ICI)
158
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Dollar Funding After the Storm

December 8th, 2017

U.S. dollars to foreign real money accounts

(speculative book earning the XCCY basis to OIS or Libor)

Asset Managers Broker-Dealers Government Funds

U.S. dollars to foreign real money accounts

Source: Credit Suisse

U.S. dollars to Japanese real money accounts

(speculative book earning the XCCY basis to OIS or Libor)

Japanese Banks Broker-Dealers Government Funds

U.S. dollars to Japanese real money accounts

Source: Credit Suisse

Source: ICI, Credit Suisse

Source: ICI, Credit Suisse

200 199 200

Source: ICI, Credit Suisse

Source: ICI, Credit Suisse

Source: ICI, Credit Suisse

Source: ICI, Credit Suisse

Source: ICI, Credit Suisse

o/n TDs CDs (w/ maturities of less than 7 days)

Source: ICI, Credit Suisse

Source: ICI, Credit Suisse

Source: ICI, Credit Suisse

Source: ICI, Credit Suisse

Source: ICI, Credit Suisse

Source: ICI, Credit Suisse

Core to dealers (o/n repos) Core to the Fed (o/n RRPs)

Source: ICI, Credit Suisse

Source: ICI, Credit Suisse

1,500 1,505 1,500

1,250 1,289 1,250

Total Sovereign (including o/n RRPs w/ FRBNY)

Source: ICI, Credit Suisse

Source: ICI, Credit Suisse

150 HQLA (reserves)

Source: FFIEC002, Credit Suisse

100 103 100

(100) (107) (100)

Prime money funds' unsecurded exposure to "Les Arbitrageurs" (N-MFP)

Source: OFR, Credit Suisse

Source: FFIEC002, Credit Suisse

Source: ICI, OFR, Credit Suisse

80 Interoffice funding (dollars from HQ)

Source: FFIEC002, Credit Suisse

Prime funds' unsecured exposure to Eurozone arbitrageurs (N-MFP)

Source: OFR, Credit Suisse

Source: FFIEC002, Credit Suisse

Prime funds' unsecured exposure to Canadian arbitrageurs NY branches (N-MFP)

Source: OFR, Credit Suisse

Interoffice funding (dollars from HQ)

Source: FFIEC002, Credit Suisse

Source: ICI, OFR, Credit Suisse

15 Interoffice funding (dollars from HQ)

-2 Loans (traditional lending)

Source: FFIEC002, Credit Suisse

Source: ICI, OFR, Credit Suisse

Source: FFIEC002, Credit Suisse

Prime funds' unsecured exposure to Nordea AB (N-MFP)

Source: OFR, Credit Suisse

7 Interoffice funding (dollars from HQ)

Source: FFIEC002, Credit Suisse

Prime funds' unsecured exposure to Swedbank (N-MFP)