Discussion Paper
Breaking Down TRACE Volumes Further
Brain, Doug; De Pooter, Michiel; Dobrev, Dobrislav; Fleming, Michael J.; Johansson, Peter; Keane, Frank M.; Puglia, Michael; Rodrigues, Anthony P.; Shachar, Or (2018-11-29)
Following an earlier joint FEDS Note and Liberty Street Economics blog post that examined aggregate trading volume in the Treasury cash market across venues, this post looks at volume across security type, seasoned-ness (time since issuance), and maturity. The analysis, which again relies on transactions recorded in the Financial Industry Regulatory Authority's (FINRA) Trade Reporting and Compliance Engine (TRACE), sheds light on perceptions that some Treasury securities—in particular those that are off-the-run—may not trade very actively. We confirm that most trading volume is made up of ...
Liberty Street Economics , Paper 20181129

Discussion Paper
Unlocking the Treasury Market through TRACE
Brain, Doug; De Pooter, Michiel; Dobrev, Dobrislav; Fleming, Michael J.; Johansson, Peter; Jones, Collin; Keane, Frank M.; Puglia, Michael; Reiderman, Liza; Rodrigues, Tony; Shachar, Or (2018-09-28)
This joint FEDS Note and Liberty Street Economics blog post from staff at the Board of Governors and Federal Reserve Bank of New York aims to share initial insights on the Treasury cash transactions data reported to Financial Industry Regulatory Authority (FINRA)'s Trade Reporting and Compliance Engine (TRACE).
FEDS Notes , Paper 2018-09-28-1

Discussion Paper
Unlocking the Treasury Market through TRACE
Dobrev, Dobrislav; De Pooter, Michiel; Fleming, Michael J.; Johansson, Peter; Puglia, Michael; Jones, Collin; Keane, Frank M.; Brain, Doug; Reiderman, Liza; Rodrigues, Anthony P.; Shachar, Or (2018-09-28)
The U.S. Treasury market is widely regarded as the deepest and most liquid securities market in the world, playing a critical role in the global economy and in the Federal Reserve’s implementation of monetary policy. Despite the Treasury market’s importance, the official sector has historically had limited access to information on cash market transactions. This data gap was most acutely demonstrated in the investigation of the October 15, 2014, flash event in the Treasury market, as highlighted in the Joint Staff Report (JSR). Following the JSR, steps were taken to improve regulators’ ...
Liberty Street Economics , Paper 20180928b

Discussion Paper
Predicting Recession Probabilities Using the Slope of the Yield Curve
Johansson, Peter; Meldrum, Andrew C. (2018-03-01)
In this FEDS Note, we examine the predictions of various models and recent surveys of the probability of a recession in the near term.
FEDS Notes , Paper 2018-03-01-3

Discussion Paper
Breaking Down TRACE Volumes Further
Brain, Doug; De Pooter, Michiel; Dobrev, Dobrislav; Fleming, Michael J.; Johansson, Peter; Keane, Frank M.; Puglia, Michael; Rodrigues, Tony; Shachar, Or (2018-11-29)
This joint FEDS Note and Liberty Street Economics blog post from staff at the Board of Governors and the Federal Reserve Bank of New York aims to share further initial insights on Treasury cash transactions reported in the Financial Industry Regulatory Authority (FINRA)’s Trace Reporting and Compliance Engine (TRACE).
FEDS Notes , Paper 2018-11-29