70 posts on "Treasury"
February 16, 2016
The Workup, Technology, and Price Discovery in the Interdealer Market for U.S. Treasury Securities
The interdealer market for Treasury securities shares many features with other highly liquid markets that trade electronically using anonymous central limit order books.
February 12, 2016
Primary Dealer Participation in the Secondary U.S. Treasury Market
Michael J. Fleming, Frank M. Keane, and Ernst Schaumburg The recent Joint Staff Report on October 15, 2014, exploring an episode of unprecedented volatility in the U.S. Treasury market, revealed that primary dealers no longer account for most trading volume on the interdealer brokerage (IDB) platforms. This shift is noteworthy because dealers contribute to long-term […]
February 11, 2016
Is Treasury Market Liquidity Becoming More Concentrated?
Michael Fleming In an earlier post, we showed that Treasury market liquidity appears reasonably good by historical standards. That analysis focused on the most liquid benchmark securities, largely because data availability is best for those securities. However, some studies, such as this one and this one, report that market liquidity is concentrating in the most […]
January 4, 2016
Characterizing the Rising Settlement Fails in Seasoned Treasury Securities
Michael J. Fleming and Frank M. Keane Note: Updated versions of the charts in this post showing data through March 31, 2016, can be viewed here. In a 2014 post, we described what settlement fails are, why they arise and matter, and how they can be measured. A subsequent post explored the determinants of the […]
December 7, 2015
Dealer Positioning and Expected Returns
Tobias Adrian, Michael Fleming, and Erik Vogt Securities broker-dealers (dealers) trade securities on behalf of their customers and themselves. Recently, analysts have pointed to the decline in U.S. dealers’ corporate bond inventories as evidence that dealers’ market making capacity is impaired. However, historically such inventories also reflect dealers’ risk management and proprietary trading activities. In […]
Posted at 7:00 am in Financial Institutions, Financial Markets, Liquidity, Treasury | Permalink | Comments (2)
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 […]
August 20, 2015
The Evolution of Workups in the U.S. Treasury Securities Market
Michael J. Fleming, Ernst Schaumburg, and Ron Yang Fourth in a five-part series The market for benchmark U.S. Treasury securities is one of the deepest and most liquid in the world. Although trading in the interdealer market for these securities is over-the-counter, it features a central limit order book (CLOB) similar to that found in […]
August 19, 2015
High‑Frequency Cross‑Market Trading in U.S. Treasury Markets
Dobrislav Dobrev and Ernst Schaumburg Third in a five-part series The U.S. Treasury market is one of the deepest and most liquid markets in the world, with significant trading in both Treasury futures and benchmark securities. In this post, we examine the pattern of trading activity in these instruments and document the substantial increase in […]
August 17, 2015
Has U.S. Treasury Market Liquidity Deteriorated?
The issue of financial market liquidity has received tremendous attention lately. This partly arises from market participants’ concerns that regulatory and structural changes have reduced dealers’ market making abilities, but also from events such as the taper tantrum and the flash rally, in which Treasury prices fluctuated sharply amid seemingly little news. But is there really evidence of a sustained reduction in Treasury market liquidity?
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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