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Journal Article
The Federal Reserve's foreign exchange swap lines
Klagge, Nicholas; Fleming, Michael J. (2010-04)
The financial crisis that began in August 2007 disrupted U.S. dollar funding markets not only in the United States but also overseas. To address funding pressures internationally, the Federal Reserve introduced a system of reciprocal currency arrangements, or "swap lines," with other central banks. The swap line program, which ended early this year, enhanced the ability of these central banks to provide U.S. dollar funding to financial institutions in their jurisdictions.
Current Issues in Economics and Finance , Volume 16 , Issue Apr

Discussion Paper
The 2022 Spike in Corporate Security Settlement Fails
Fleming, Michael J.; Shachar, Or; Van Tassel, Peter (2023-04-10)
Settlement fails in corporate securities increased sharply in 2022, reaching levels not seen since the 2007-09 financial crisis. As a fraction of trading volume, fails that involve primary dealers reached an all-time high in the week of March 23, 2022. In this post, we investigate the 2022 spike in settlement fails for corporate securities and discuss potential drivers for this increase, including trading volume, corporate issuance, fails in bond ETFs, and operational problems.
Liberty Street Economics , Paper 20230410

Report
New evidence on the effectiveness of the proxy mechanism
Fleming, Michael J. (1995)
The proxy fight literature to date has focused exclusively on proxy fights that progress to a shareholder vote or near-shareholder vote stage. In contrast, this paper uses a sampling methodology which retains all cases where a proxy fight is threatened, whether or not a vote eventually occurs. Less than one half of threatened proxy fights ultimately result in a shareholder vote. Votes are avoided in three-fourths of dropped contests when the target firm agrees to be acquired, reaches a settlement with the dissident, or restructures to the dissident' s satisfaction. These avoided contests are ...
Research Paper , Paper 9503

Discussion Paper
Primary Dealers’ Waning Role in Treasury Auctions
Fleming, Michael J.; Myers, Sean (2013-02-20)
In this post, we quantify the macroeconomic effects of central bank announcements about future federal funds rates, or forward guidance. We estimate that a commitment to lowering future rates below market expectations can have fairly strong effects on real economic activity with only small effects on inflation.
Liberty Street Economics , Paper 20130220

Discussion Paper
Market Liquidity after the Financial Crisis
Adrian, Tobias; Shachar, Or; Fleming, Michael J. (2017-06-28)
The possible adverse effects of regulation on market liquidity in the post-crisis period continue to garner significant attention. In a recent paper, we update and unify much of our earlier work on the subject, following up on three series of earlier Liberty Street Economics posts in August 2015, October 2015, and February 2016. We find that dealer balance sheets have continued to stagnate and that various measures point to less abundant funding liquidity. Nonetheless, we do not find clear evidence of a widespread deterioration in market liquidity.
Liberty Street Economics , Paper 20170628

Report
All-to-All Trading in the U.S. Treasury Market
Keane, Frank M.; Huh, Yesol; Golay, Ellen Correia; Lee, Kyle; Windover, Carolyn; Schwarz, Krista B.; Vega, Clara; Chaboud, Alain P.; Fleming, Michael J.; Cox, Caren (2022-10-01)
Although the U.S. Treasury market remains the deepest and most liquid securities market in the world, several episodes of market dysfunction over recent years have brought the market’s resilience into focus. The adoption of all-to-all trading in the Treasury market could be one avenue to strengthening market resilience. Conceptually, all-to-all trading would allow any market participant to trade directly with any other market participant. This could be helpful in times of stress when the capacity of traditional intermediaries may be tested. In this article, we discuss what all-to-all ...
Staff Reports , Paper 1036

Discussion Paper
Has U.S. Treasury Market Liquidity Deteriorated?
Vogt, Erik; Fleming, Michael J.; Adrian, Tobias; Stackman, Daniel (2015-08-17)
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?
Liberty Street Economics , Paper 20150817

Journal Article
Explaining settlement fails
Garbade, Kenneth D.; Fleming, Michael J. (2005-09)
The Federal Reserve now makes available current and historical data on trades in U.S. Treasury and other securities that fail to settle as scheduled. An analysis of the data reveals substantial variation in the frequency of fails over the 1990-2004 period. It also suggests that surges in fails sometimes result from operational disruptions, but often reflect market participants' insufficient incentive to avoid failing.
Current Issues in Economics and Finance , Volume 11 , Issue Sep

Discussion Paper
Measuring Settlement Fails
McMorrow, Michael; Keane, Frank M.; Fleming, Michael J.; Martin, Antoine (2014-09-19)
In 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. In this post, we review what fails are, why they are of interest, and how they can be measured. In a companion post following this one, we evaluate the particular circumstances of the June 2014 fails.
Liberty Street Economics , Paper 20140919b

Report
Dealer Capacity and U.S. Treasury Market Functionality
Fleming, Michael J.; Keane, Frank M.; Duffie, Darrell; Van Tassel, Peter; Nelson, Claire; Shachar, Or (2023-08-01)
We show a significant loss in U.S. Treasury market functionality when intensive use of dealer balance sheets is needed to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the intermediation capacity of bond markets.
Staff Reports , Paper 1070

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