Discussion Paper
Breaking Down TRACE Volumes Further
De Pooter, Michiel; Shachar, Or; Rodrigues, Tony; Keane, Frank M.; Dobrev, Dobrislav; Johansson, Peter; Puglia, Michael; Fleming, Michael J.; Brain, Doug (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

Discussion Paper
Unlocking the Treasury Market through TRACE
De Pooter, Michiel; Jones, Collin; Shachar, Or; Reiderman, Liza; Rodrigues, Tony; Keane, Frank M.; Dobrev, Dobrislav; Johansson, Peter; Puglia, Michael; Fleming, Michael J.; Brain, Doug (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

Journal Article
The Term Securities Lending Facility: origin, design, and effects
Hrung, Warren B.; Keane, Frank M.; Fleming, Michael J. (2009-02)
The Federal Reserve launched the Term Securities Lending Facility (TSLF) in 2008 to promote liquidity in the funding markets and improve the operation of the broader financial markets. The facility increases the ability of dealers to obtain cash in the private market by enabling them to pledge securities temporarily as collateral for Treasuries, which are relatively easy to finance. The TSLF thus reduces the need for dealers to sell assets into illiquid markets as well as lessens the likelihood of a loss of confidence among lenders.
Current Issues in Economics and Finance , Volume 15 , Issue Feb

Journal Article
Securities loans collateralized by cash: reinvestment risk, run risk, and incentive issues
Keane, Frank M. (2013-05)
Securities loans collateralized by cash are by far the most popular form of securities-lending transaction. But when the cash collateral associated with these transactions is actively reinvested by a lender?s agent, potential risks emerge. This study argues that the standard compensation scheme for securities-lending agents, which typically provides for agents to share in gains but not losses, creates incentives for them to take excessive risk. It also highlights the need for greater scrutiny and understanding of cash reinvestment practices?especially in light of the AIG experience, which ...
Current Issues in Economics and Finance , Volume 19 , Issue May

Journal Article
Mortgage refinancing and the concentration of mortgage coupons
Mosser, Patricia C.; Keane, Frank M.; Bennett, Paul (1999-03)
Because of the concentrated distribution of interest rates on outstanding mortgages, modest interest rate declines in 1997 and 1998 made refinancing a smart choice for a record number of homeowners. In addition, the strong economy and the age of mortgage loans likely contributed to the surge in refinancing activity.
Current Issues in Economics and Finance , Volume 5 , Issue Mar

Journal Article
Repo rate patterns for new Treasury notes
Keane, Frank M. (1996-09)
Despite the enormous popularity of the market for repurchase agreements, the behavior of interest rates on "repo" transactions is not well understood. An analysis of new data for 1992-95 reveals that repo rates on recently issued Treasury notes rise and fall in a regular pattern as the Treasury auction cycle progresses.
Current Issues in Economics and Finance , Volume 2 , Issue Sep

Journal Article
Price risk intermediation in the over-the-counter derivatives markets: interpretation of a global survey
Benadon, Catherine; Keane, Frank M.; Kambhu, John (1996-04)
In April 1995, central banks in twenty-six countries conducted a global survey of the financial derivatives markets' size and structure. The authors' analysis of the survey results suggests that at the time of the survey, dealers in the aggregate assumed only small exposures to price risks in meeting end-user demands. In addition, despite the derivatives markets' large size, potential price shocks there would still be appreciably smaller in scale than price shocks in the cash markets. Thus, the overall effect of derivatives markets may be to modify and redistribute exposures to price risks in ...
Economic Policy Review , Volume 2 , Issue Apr , Pages 1-15

Journal Article
The introduction of the TMPG fails charge for U.S. Treasury securities
Stokes, Amanda; Keane, Frank M.; Logan, Lorie; Wolgemuth, Jennifer; Garbade, Kenneth D. (2010-10)
The TMPG fails charge for U.S. Treasury securities provides that a buyer of Treasury securities can claim monetary compensation from the seller if the seller fails to deliver the securities on a timely basis. The charge was introduced in May 2009 and replaced an existing market convention of simply postponing?without any explicit penalty and at an unchanged invoice price?a seller?s obligation to deliver Treasury securities if the seller fails to deliver the securities on a scheduled settlement date. This article explains how a proliferation of settlement fails following the insolvency of ...
Economic Policy Review , Volume 16 , Issue Oct , Pages 45-71

Journal Article
The Global Dash for Cash: Why Sovereign Bond Market Functioning Varied across Jurisdictions in March 2020
Searls, Seth; Keane, Frank M.; Chaboud, Alain P.; Copeland, Adam; Kavoussi, Cullen; Barone, Jordan (2023-12-01)
In March 2020, the economic disruptions associated with the COVID-19 pandemic prompted a global dash for cash by investors. This selling pressure occurred across advanced-economy sovereign bond markets and caused a deterioration in market functioning, leading to central bank interventions. The authors show that these market disruptions occurred disproportionately in the U.S. Treasury market and were due to investors’ selling pressures being far more pronounced and broad-based. Furthermore, the authors assess differences in key drivers of the market disruptions across sovereign bond markets, ...
Economic Policy Review , Volume 29 , Issue 3 , Pages 1-29

Journal Article
All-to-All Trading in the U.S. Treasury Market
Windover, Carolyn; Lee, Kyle; Schwarz, Krista B.; Vega, Clara; Chaboud, Alain P.; Huh, Yesol; Keane, Frank M.; Correia Golay, Ellen; Cox, Caren; Fleming, Michael J. (2025-02-01)
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 ...
Economic Policy Review , Volume 31 , Issue 2 , Pages 1-27