Search Results
Showing results 1 to 10 of approximately 113.
(refine search)
Discussion Paper
Do You Know How Your Treasury Trades Are Cleared and Settled?
Mithal, Radhika; Keane, Frank M.; Fleming, Michael J.; Copeland, Adam
(2018-09-12)
The Treasury Market Practices Group (TMPG) recently released a consultative white paper on clearing and settlement processes for secondary market trades of U.S. Treasury securities. The paper describes in detail the many ways Treasury trades are cleared and settled? information that may not be readily available to all market participants?and identifies potential risk and resiliency issues. The work is designed to facilitate discussion as to whether current practices have room for improvement. In this post, we summarize the current state of clearing and settlement for secondary market Treasury ...
Liberty Street Economics
, Paper 20180912
Journal Article
The benchmark U.S. Treasury market: recent performance and possible alternatives
Fleming, Michael J.
(2000-04)
Economic Policy Review
, Issue Apr
, Pages 129-145
Report
Intraday market making with overnight inventory costs
Vogt, Erik; Fleming, Michael J.; Zhang, Hongzhong; Capponi, Agostino; Adrian, Tobias
(2016-10-01)
The U.S. Treasury market is highly intermediated by nonbank principal trading firms (PTFs). Limited capital forces PTFs to end the trading day roughly flat. We construct a continuous time market making model to analyze the trade-off faced by a profit-maximizing firm with overnight inventory costs, and develop closed-form representations of the optimal price policy functions. Our model reveals that bid-ask spreads widen as the end of the trading day approaches, and that increases in order arrival rates do not always lead to higher price volatility. Our empirical analysis shows that ...
Staff Reports
, Paper 799
Discussion Paper
Which Dealers Borrowed from the Fed’s Lender-of-Last-Resort Facilities?
Sarkar, Asani; Hrung, Warren B.; Fleming, Michael J.; Acharya, Viral V.
(2017-05-10)
During the 2007-08 financial crisis, the Fed established lending facilities designed to improve market functioning by providing liquidity to nondepository financial institutions—the first lending targeted to this group since the 1930s. What was the financial condition of the dealers that borrowed from these facilities? Were they healthy institutions behaving opportunistically or were they genuinely distressed? In published research, we find that dealers in a weaker financial condition were more likely to participate than healthier ones and tended to borrow more. Our findings reinforce the ...
Liberty Street Economics
, Paper 20170510
Report
Federal Reserve liquidity provision during the financial crisis of 2007-2009
Fleming, Michael J.
(2012)
This paper examines the Federal Reserve's unprecedented liquidity provision during the financial crisis of 2007-2009. It first reviews how the Fed provides liquidity in normal times. It then explains how the Fed's new and expanded liquidity facilities were intended to enable the central bank to fulfill its traditional lender-of-last-resort role during the crisis while mitigating stigma, broadening the set of institutions with access to liquidity, and increasing the flexibility with which institutions could tap such liquidity. The paper then assesses the growing empirical literature on the ...
Staff Reports
, Paper 563
Discussion Paper
Changes in the Returns to Market Making
Vogt, Erik; Fleming, Michael J.; Adrian, Tobias; Shachar, Or; Stackman, Daniel
(2015-10-07)
Since the financial crisis, major U.S. banking institutions have increased their capital ratios in response to tighter capital requirements. Some market analysts have asserted that the higher capital and liquidity requirements are driving up the costs of market making and reducing market liquidity. If regulations were, in fact, increasing the cost of market making, one would expect to see a rise in the expected returns to that activity. In this post, we estimate market-making returns in equity and corporate bond markets to assess the impact of regulations.
Liberty Street Economics
, Paper 20151007
Journal Article
The round-the-clock market for U.S. Treasury securities
Fleming, Michael J.
(1997-07)
U.S. Treasury securities are traded in London and Tokyo as well as in New York, creating a virtual round-the-clock market. The author describes that market by examining trading volume, price volatility, and bid-ask spreads over the global trading day. He finds that trading volume and price volatility are highly concentrated in New York trading hours. Bid-ask spreads are found to be wider overseas than in New York and wider in Tokyo than in London. Despite the lower liquidity of the overseas locations, the author finds that overseas price changes in U.S. Treasury securities are unbiased ...
Economic Policy Review
, Volume 3
, Issue Jul
, Pages 9-32
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
Discussion Paper
Treasury Market Liquidity during the COVID-19 Crisis
Fleming, Michael J.; Ruela, Francisco
(2020-04-17)
A key objective of recent Federal Reserve policy actions is to address the deterioration in financial market functioning. The U.S. Treasury securities market, in particular, has been the subject of Fed and market participants’ concerns, and the venue for some of the Fed’s initiatives. In this post, we evaluate a basic metric of market functioning for Treasury securities— market liquidity—through the first month of the Fed’s extraordinary actions. Our particular focus is on how liquidity in March 2020 compares to that observed over the past fifteen years, a period that includes the ...
Liberty Street Economics
, Paper 20200417
Discussion Paper
How Much Value Was Destroyed by the Lehman Bankruptcy?
Sarkar, Asani; Denison, Erin; Fleming, Michael J.
(2019-01-14)
Lehman Brothers Holdings Inc. (LBHI) filed for Chapter 11 bankruptcy protection on September 15, 2008, initiating one of the largest and most complex bankruptcy proceedings in history. Recovery prospects for creditors, who submitted about $1.2 trillion of claims against the Lehman estate, were quite bleak. This week, we will publish a series of four posts that provide an assessment of the value lost to Lehman, its creditors, and other stakeholders now that the bankruptcy proceedings are winding down. Where appropriate, we also consider the liquidation of Lehman?s investment banking affiliate, ...
Liberty Street Economics
, Paper 20190114b
FILTER BY year
FILTER BY Bank
FILTER BY Series
Liberty Street Economics 60 items
Staff Reports 29 items
Economic Policy Review 9 items
Current Issues in Economics and Finance 7 items
FEDS Notes 3 items
Research Paper 3 items
Proceedings 1 items
Working Papers in Applied Economic Theory 1 items
show more (3)
show less
FILTER BY Content Type
Discussion Paper 63 items
Report 32 items
Journal Article 16 items
Conference Paper 1 items
Working Paper 1 items
FILTER BY Author
Adrian, Tobias 20 items
Keane, Frank M. 16 items
Sarkar, Asani 16 items
Vogt, Erik 11 items
Shachar, Or 10 items
Nguyen, Giang 8 items
Denison, Erin 7 items
Hrung, Warren B. 6 items
Remolona, Eli M. 5 items
Schaumburg, Ernst 5 items
Stackman, Daniel 5 items
Brain, Doug 4 items
De Pooter, Michiel 4 items
Dobrev, Dobrislav 4 items
Garbade, Kenneth D. 4 items
Jackson, John 4 items
Johansson, Peter 4 items
Li, Ada 4 items
Puglia, Michael 4 items
Ruela, Francisco 4 items
Jones, Collin 3 items
Podjasek, Rich 3 items
Rodrigues, Anthony P. 3 items
Schurmeier, Jake 3 items
Acharya, Viral V. 2 items
Chen, Kathryn 2 items
Goldberg, Jonathan 2 items
Klagge, Nicholas 2 items
Krishnan, Neel 2 items
Leonard, Deborah 2 items
Lewis, Morgan 2 items
Liu, Haoyang 2 items
Lopez, Jose A. 2 items
Martin, Antoine 2 items
McMorrow, Michael 2 items
Mizrach, Bruce 2 items
Natalucci, Fabio M. 2 items
Reiderman, Liza 2 items
Remache, Julie 2 items
Rodrigues, Tony 2 items
Sporn, John 2 items
Van Tassel, Peter 2 items
Wojtowicz, Zachary 2 items
Zobel, Patricia 2 items
Bai, Jennie 1 items
Bassett, William F. 1 items
Bukhari, Meryam 1 items
Cambron, Alyssa 1 items
Capponi, Agostino 1 items
Chaboud, Alain P. 1 items
Choi, Dong Beom 1 items
Copeland, Adam 1 items
Cox, Caren 1 items
Dunne, Peter G. 1 items
Eisenbach, Thomas M. 1 items
Engle, Robert 1 items
Fuster, Andreas 1 items
Ghysels, Eric 1 items
Golay, Ellen Correia 1 items
Horan, Casidhe 1 items
Huh, Yesol 1 items
Lee, Kyle 1 items
Long, Grant 1 items
McCarthy, Jonathan 1 items
Mithal, Radhika 1 items
Molloy, Linsey 1 items
Moon, John J. 1 items
Myers, Sean 1 items
Nelson, Claire 1 items
Rosenberg, Joshua V. 1 items
Saggar, Seema 1 items
Sareen, Samita 1 items
Schwarz, Krista B. 1 items
Vega, Clara 1 items
Wahlers, Amanda 1 items
Weiss, Emma 1 items
Windover, Carolyn 1 items
Wu, Jason J. 1 items
Yang, Ron 1 items
Zhang, Hongzhong 1 items
Zholos, Andrey 1 items
de Fontnouvelle, Patrick 1 items
http://fedora:8080/fcrepo/rest/objects/authors/ 1 items
show more (79)
show less
FILTER BY Jel Classification
G1 40 items
G12 17 items
G2 10 items
G14 9 items
G01 6 items
G33 6 items
G1;G2 5 items
E52 4 items
H63 4 items
E43 3 items
E44 3 items
G18 3 items
G23 3 items
G28 3 items
E63 2 items
H00 2 items
C32 1 items
C58 1 items
D44 1 items
D47 1 items
E5 1 items
E53 1 items
E58 1 items
G10 1 items
G15 1 items
G17 1 items
G20 1 items
G21 1 items
G24 1 items
G2;G1 1 items
G2;G3 1 items
H0 1 items
H1 1 items
R3 1 items
show more (29)
show less
FILTER BY Keywords
liquidity 23 items
Treasury market 15 items
Government securities 14 items
Treasury securities 13 items
Treasury bills 11 items
dealers 11 items
Liquidity (Economics) 8 items
trading volume 8 items
market liquidity 7 items
price impact 7 items
COVID-19 6 items
Federal Reserve 6 items
positions 5 items
Interest rates 5 items
Transparency 5 items
Lehman bankruptcy 4 items
Swaps (Finance) 4 items
Treasury 4 items
Treasury bonds 4 items
Treasury notes 4 items
Auctions 4 items
Regulation 4 items
Settlement Fails 4 items
bid-ask spreads 4 items
crisis 4 items
Economic indicators 3 items
Federal Reserve System 3 items
Trade Reporting and Compliance Engine 3 items
lenders of last resort 3 items
market making 3 items
trading activity 3 items
Treasury security 3 items
chapter 11 3 items
Bank liquidity 2 items
Bonds 2 items
DTCC 2 items
Derivative securities 2 items
Dodd Frank Act 2 items
Financial markets 2 items
Hedging (Finance) 2 items
Inflation (Finance) 2 items
Information theory 2 items
Open market operations 2 items
Repurchase agreements 2 items
Risk 2 items
Stock - Prices 2 items
Workup 2 items
agency mortgage-backed securities 2 items
announcements 2 items
asset purchases 2 items
central banking 2 items
coronavirus 2 items
corporate bonds 2 items
crises 2 items
financial crisis 2 items
hedging 2 items
information 2 items
information share 2 items
insolvency 2 items
liquidity risk 2 items
market structure 2 items
monetary policy 2 items
pandemic 2 items
price efficiency 2 items
security brokers and dealers 2 items
stigma 2 items
tick size 2 items
volatility 2 items
Dealer 2 items
Lender of Last Resort 2 items
Liquidity Facilities 2 items
Settlement 2 items
Transactions 2 items
20-year bond 1 items
Bankruptcy 1 items
Banks and banking, Central 1 items
Bid-ask spread 1 items
Budget 1 items
Business failures 1 items
Business forecasting 1 items
CDS market 1 items
CDS prices 1 items
Cafeteria benefit plans 1 items
Consolidation and merger of corporations 1 items
Corporations 1 items
Credit derivatives 1 items
Debts, Public 1 items
Derivative 1 items
Disclosure of information 1 items
Discount 1 items
Electronic trading of securities 1 items
FINRA 1 items
FR 2004 1 items
Federal Reserve Bank of New York 1 items
Federal Reserve banks - Profits 1 items
Financial crises 1 items
Floating rate notes 1 items
Forecasting 1 items
Foreign exchange 1 items
India 1 items
Inflation-indexed bonds 1 items
Interest rate derivatives 1 items
International liquidity 1 items
Investments 1 items
Issue size 1 items
Lehman Brothers 1 items
Lehman bankruptcy resolution Chapter 11 1 items
Mortgage-backed securities 1 items
Over-the-counter markets 1 items
Quote sizes 1 items
Regulatory reform 1 items
Retirement 1 items
Securities 1 items
Securities Lending 1 items
Settlement fail 1 items
Stock market 1 items
Trading 1 items
Treasuries 1 items
Treasury Market Practices Group 1 items
Treasury markets 1 items
Troubled Asset Relief Program 1 items
U.S. Treasury 1 items
War - Economic aspects 1 items
all-to-all 1 items
asset managers 1 items
balance sheet growth 1 items
benchmark 1 items
bifurcation 1 items
bond 1 items
bond market 1 items
bond markets 1 items
central clearing 1 items
clearing 1 items
corporate bond market liquidity 1 items
costs 1 items
creditor recovery 1 items
customer employee losses 1 items
dark pool 1 items
depth 1 items
derivatives 1 items
direct costs 1 items
earnings 1 items
election 1 items
electronification 1 items
fails 1 items
fails charge 1 items
financial intermediation 1 items
financing 1 items
fire sale 1 items
fixed income 1 items
fixed-income markets 1 items
funding 1 items
government bonds 1 items
illiqudity 1 items
illiquidity 1 items
index 1 items
inventory 1 items
issuance 1 items
large trades 1 items
limit order book 1 items
limit orders 1 items
liquidity provision 1 items
low latency 1 items
market efficiency 1 items
market microstructure theory 1 items
microstructure 1 items
mortgage-backed security 1 items
mutual funds 1 items
on-the-run 1 items
order flow 1 items
price discovery 1 items
primary dealers 1 items
principal trading firms 1 items
reintroduction 1 items
repo 1 items
reserve asset 1 items
reserves management 1 items
returns 1 items
selloff 1 items
size discovery 1 items
standardization 1 items
stock 1 items
term premia 1 items
term premiums 1 items
value destruction 1 items
volatility risk 1 items
when issued 1 items
wholesale funding 1 items
show more (204)
show less