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Dealer Trading and Positioning in Floating Rate Notes
Michael J. Fleming and Amanda Wahlers In January 2014, the U.S. Treasury Department made its first sale of floating rate notes (FRNs), securities whose coupon rates vary over time depending on the...
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Do You Know How Your Treasury Trades Are Cleared and Settled?
Adam Copeland, Michael J. Fleming, Frank M. Keane, and Radhika Mithal The Treasury Market Practices Group (TMPG) recently released a consultative white paper on clearing and settlement processes for...
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Global Trends in Interest Rates
Marco Del Negro, Domenico Giannone, Marc Giannoni, Andrea Tambalotti, Brandyn Bok, and Eric Qian Long-term government bond yields are at their lowest levels of the past 150 years in advanced economies....
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Assessing the Price Impact of Treasury Market Workups
Michael J. Fleming and Giang Nguyen The price impact of a trade derives largely from its information content. The “workup” mechanism, a trading protocol used in the U.S. Treasury securities market, is...
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How Do Large Banks Manage Their Cash?
Jeffrey Levine and Asani Sarkar Second of two posts As the aggregate supply of reserves shrinks and large banks implement liquidity regulations, they may follow a variety of liquidity management...
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From the Vault: A Look Back at the October 15, 2014, Flash Rally
Michael J. Fleming, Peter Johansson, Frank M. Keane, and Justin Meyer Five years ago today, U.S. Treasury yields plunged and then quickly rebounded for no apparent reason amid high volatility, strained...
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How the Fed Managed the Treasury Yield Curve in the 1940s
Kenneth D. Garbade The coronavirus pandemic has prompted the Federal Reserve to pledge to purchase Treasury securities and agency mortgage-backed securities in the amount needed to support the smooth...
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How Liquid Is the New 20-Year Treasury Bond?
Michael Fleming and Francisco Ruela On May 20, the U.S. Department of the Treasury sold a 20-year bond for the first time since 1986. In announcing the reintroduction, Treasury said it would issue the...
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Explaining the Puzzling Behavior of Short-Term Money Market Rates
Antoine Martin, James J. McAndrews, Ali Palida, and David Skeie Since 2008, the Federal Reserve has dramatically increased the supply of bank reserves, effectively adopting a floor system for monetary...
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Treasury Market When-Issued Trading Activity
Michael Fleming, Or Shachar, and Peter Van Tassel When the U.S. Treasury sells a new security, the security is announced to the public, auctioned a number of days later, and then issued sometime after...
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How Competitive are U.S. Treasury Repo Markets?
Adam Copeland, R. Jay Kahn, Antoine Martin, Matthew McCormick, William Riordan, Kevin Clark, and Tim Wessel The Treasury repo market is at the center of the U.S. financial system, serving as a source...
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Did Dealers Fail to Make Markets during the Pandemic?
Jiakai Chen, Haoyang Liu, David Rubio, Asani Sarkar, and Zhaogang Song In March 2020, as the COVID-19 pandemic disrupted a range of financial markets, the ability of dealers to maintain liquid...
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At the New York Fed: Seventh Annual Conference on the U.S. Treasury Market
Michael Fleming, Frank Keane, and Daniel Weitz Fireside chat between CFTC Acting Chairman Rostin Behnam and San Francisco Fed President Mary Daly On November 17, 2021, the New York Fed hosted the...
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The Global Dash for Cash in March 2020
Jordan Barone, Alain Chaboud, Adam Copeland, Cullen Kavoussi, Frank Keane, and Seth Searls Editors’ note: When this post was first published the x-axis labels on chart 2 and 3 were incorrect, and the...
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How Can Safe Asset Markets Be Fragile?
Thomas Eisenbach and Gregory Phelan 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....
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How Liquid Has the Treasury Market Been in 2022?
Michael Fleming and Claire Nelson Policymakers and market participants are closely watching liquidity conditions in the U.S. Treasury securities market. Such conditions matter because liquidity is...
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Understanding the “Inconvenience” of U.S. Treasury Bonds
Wenxin Du, Benjamin Hébert, and Wenhao Li Editor’s note: Since this post was first published, a reference in the second paragraph to primary dealers switching positions was corrected to read “a...
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Are There Too Many Ways to Clear and Settle Secured Financing Transactions?
Adam Copeland, Frank Keane, and Jenny Phan The New York Fed’s Treasury Market Practices Group (TMPG) recently released a consultative white paper on clearing and settlement processes for secured...
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Options for Calculating Risk-Free Rates
Jules van Binsbergen, William Diamond, and Peter Van Tassel One of the most fundamental concepts in finance is the notion of a risk-free rate. This interest rate tells us how much money investors are...
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A Look at Convenience Yields around the World
William Diamond and Peter Van Tassel This post estimates “convenience yields” for government debt in ten of the G11 currencies based on analysis from a recent paper. As in our companion post, we...
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