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3 posts on "Treasury security"
September 8, 2022

How Can Safe Asset Markets Be Fragile?

Thomas Eisenbach and Gregory Phelan

Photo: carton on eggs with one egg cracked

The market for U.S. Treasury securities experienced extreme stress in March 2020, when prices dropped precipitously (yields spiked) over a period of about two weeks. This was highly unusual, as Treasury prices typically increase during times of stress. Using a theoretical model, we show that markets for safe assets can be fragile due to strategic interactions among investors who hold Treasury securities for their liquidity characteristics. Worried about having to sell at potentially worse prices in the future, such investors may sell preemptively, leading to self-fulfilling “market runs” that are similar to traditional bank runs in some respects.

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Posted at 7:00 am in Federal Reserve, Financial Markets, Liquidity, Treasury | Permalink
July 1, 2020

How Liquid Is the New 20-Year Treasury Bond?

Michael Fleming and Francisco Ruela

Fleming and Ruela take a first look at the U.S. government’s new 20-year bond, using a short sample of available data to describe its trading activity and liquidity.

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Posted at 7:00 am in Dealers, Financial Markets, Pandemic, Treasury | Permalink
September 19, 2014

Measuring Settlement Fails

Michael J. Fleming, Frank M. Keane, Antoine Martin, and Michael McMorrow

n June 2014, settlement fails of U.S. Treasury securities reached their highest level since the implementation of the Treasury fails charge in May 2009, attracting significant attention from market participants.

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Posted at 7:00 am in Financial Institutions, Financial Markets | Permalink | Comments (4)

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Liberty Street Economics features insight and analysis from New York Fed economists working at the intersection of research and policy. Launched in 2011, the blog takes its name from the Bank’s headquarters at 33 Liberty Street in Manhattan’s Financial District.

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