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Discussion Paper
Treasury Market Liquidity Since April 2025
In this post, we examine the evolution of U.S. Treasury market liquidity over the past year, which has witnessed myriad economic and political developments. Liquidity worsened markedly one year ago as volatility increased following the announcement of higher-than-expected tariffs. Liquidity quickly improved when the tariff increases were partially rolled back and then remained fairly stable thereafter (through the end of our sample in February 2026), including after the recent Supreme Court decision striking down the emergency tariffs and the subsequent announcement of new tariffs.
Discussion Paper
End‑of‑Month Liquidity in the Treasury Market
Trading activity in benchmark U.S. Treasury securities now concentrates on the last trading day of the month. Moreover, this stepped-up activity is associated with lower transaction costs, as shown by a smaller price impact of trades. We conjecture that increased turn-of-month portfolio rebalancing by passive investment funds that manage relative to fixed-income indices helps explain these patterns.