Discussion Paper
Treasury Trading at the Close
Abstract: In past work, we showed that trading in U.S. Treasury securities is becoming increasingly concentrated on the last trading day of each month. In this post, we show that trading is also becoming more concentrated around the designated pricing, or “strike,” times for fixed-income indexes. The concentration is especially pronounced on month-end trading days. We also document a marked shift in trading activity from around 3 p.m. (ET) to around 4 p.m. after a major fixed-income index provider moved its strike time from 3 p.m. to 4 p.m. in January 2021.
JEL Classification: G12;
https://doi.org/10.59576/lse.20260922
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https://libertystreeteconomics.newyorkfed.org/2026/09/treasury-trading-at-the-close/
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Bibliographic Information
Provider: Federal Reserve Bank of New York
Part of Series: Liberty Street Economics
Publication Date: 2026-09-22
Number: 20260922