19 posts on "Treasury market"
November 8, 2019
At the New York Fed: Fifth Annual Conference on the U.S. Treasury Market
The New York Fed recently co-sponsored the fifth annual Conference on the U.S. Treasury Market with the U.S. Department of the Treasury, the Federal Reserve Board, the U.S. Securities and Exchange Commission, and the U.S. Commodity Futures Trading Commission. This year’s agenda covered a variety of topics, including issues related to LIBOR transition, data transparency and reporting requirements, and market structure and risk.
Posted at 6:59 am in Financial Markets | Permalink
October 15, 2019
From the Vault: A Look Back at the October 15, 2014, Flash Rally
Fleming, Johansson, Keane, and Meyer present a synopsis of work from the Liberty Street Economics archive on a 2014 flash episode when U.S. Treasury yields plunged and rebounded for no obvious reason.
February 1, 2019
At the New York Fed: Fourth Annual Conference on the Evolving Structure of the U.S. Treasury Market
The New York Fed recently hosted the fourth annual Conference on the Evolving Structure of the U.S. Treasury Market. The one-day event was co-sponsored with the U.S. Department of the Treasury, the Federal Reserve Board, the U.S. Securities and Exchange Commission (SEC), and the U.S. Commodity Futures Trading Commission (CFTC). This year’s agenda, which included a series of keynote addresses and expert panels, focused on four key topics: 1) analytical approaches to debt issuance, 2) clearing and settlement, 3) developments in cash and repo markets, and 4) analysis of transactions data. Previous conferences were held in November 2017, October 2016, and October 2015.
Posted at 7:00 am in Financial Markets | Permalink
December 5, 2018
Price Impact of Trades and Limit Orders in the U.S. Treasury Securities Market
It’s long been known that asset prices respond not only to public information, such as macroeconomic announcements, but also to private information revealed through trading. More recently, with the growth of high-frequency trading, academics have argued that limit orders—orders to buy or sell a security at a specific price or better—also contain information. In this post, we examine the information content of trades and limit orders in the U.S. Treasury securities market, following this paper, recently published in the Journal of Financial Markets and earlier as a New York Fed staff report.
October 26, 2018
U.S. Treasury Market Action on Election Night 2016
As the midterm elections approach, it’s worth revisiting the striking financial market response to the last federal elections, in 2016. U.S. equity market futures and Treasury yields first plunged on election night 2016, as the presidential election results turned out closer than expected, but quickly rebounded after President Trump’s victory became clear, ultimately ending the day higher. In this post, I take a close look at the unusual U.S. Treasury market behavior that night, focusing on the market conditions and trading flows amid which the sharp yield changes took place.
Posted at 7:00 am in Financial Markets | Permalink
September 26, 2017
The Treasury Market Practices Group: A Consequential First Decade
The Treasury Market Practices Group (TMPG) was formed in February 2007 in response to the appearance of some questionable trading practices in the secondary market for U.S. Treasury securities.
December 2, 2016
At the N.Y. Fed: Second Annual Conference on the Evolving Structure of the U.S. Treasury Market
The New York Fed recently hosted a second conference on the evolving structure of the Treasury market, co-sponsored with the U.S. Department of the Treasury, the Federal Reserve Board, the U.S. Securities and Exchange Commission (SEC), and the U.S. Commodity Futures Trading Commission (CFTC). The conference reviewed developments in the Treasury market since the Joint Staff Report on the “flash rally” of October 15, 2014, and the preceding year’s conference on the evolving structure of the Treasury market, including advances related to transaction data reporting and official perspectives on rules and regulations.
December 4, 2015
At the New York Fed: Conference on the Evolving Structure of the U.S. Treasury Market
Michael Fleming, Frank Keane, Michael McMorrow, Ernst Schaumburg, and Nathaniel Wuerffel The New York Fed recently hosted a two-day conference on the evolving structure of the U.S. Treasury market, co-sponsored with the U.S. Department of the Treasury, the Federal Reserve Board, the U.S. Securities and Exchange Commission, and the U.S. Commodity Futures Trading Commission. The […]
July 20, 2015
Just Released: The U.S. Treasury Market on October 15, 2014
The $12.7 trillion U.S. Treasury market plays a critical role in the global economy, serving as the primary means of financing the U.S. government, a risk-free benchmark for other financial instruments, and a key venue for the Federal Reserve’s implementation of monetary policy.
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