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Speech
Preparing for the Unknown
Williams, John C. (2021-11-17)
Remarks at the 2021 U.S. Treasury Market Conference (delivered via videoconference).
Speech

Speech
Opening Remarks
Neal, Michelle (2023-11-16)
Remarks at 2023 U.S. Treasury Market Conference, Federal Reserve Bank of New York, New York City.
Speech

Working Paper
The Relationship between Market Depth and Liquidity Fragility in the Treasury Market
Meldrum, Andrew C.; Sokolinskiy, Oleg (2025-02-21)
Analysis of market liquidity often focuses on measures of the current cost of trading. However, investors and policy-makers also care about what would happen to liquidity in the event of an adverse shock. If liquidity were to deteriorate rapidly at times when investors were seeking to rebalance portfolios, this could amplify the effects of shocks to the financial system even if liquidity is high most of the time. We examine the potential for such fragility of liquidity in the Treasury market. We show that a reduction in the availability of resting orders to trade ("market depth") increases ...
Finance and Economics Discussion Series , Paper 2025-014

Discussion Paper
Has Treasury Market Liquidity Improved in 2024?
Fleming, Michael J. (2024-09-23)
Standard metrics point to an improvement in Treasury market liquidity in 2024 to levels last seen before the start of the current monetary policy tightening cycle. Volatility has also trended down, consistent with the improved liquidity. While at least one market functioning metric has worsened in recent months, that measure is an indirect gauge of market liquidity and suggests a level of current functioning that is far better than at the peak seen during the global financial crisis (GFC).
Liberty Street Economics , Paper 20240923

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

Speech
Collaboration Toward Increased Resilience of the Treasury Market
Neal, Michelle (2023-09-21)
Remarks at ISDA/SIFMA AMG Derivatives Trading Forum New York: The Path to Resilient Treasury Markets, New York City.
Speech

Speech
Transcript of Lorie Logan on the Macro Musings Podcast
Logan, Lorie (2022-01-10)
A closer look at monetary policy operations, the Fed’s new Standing Repo Facility, and the future of the Fed’s balance sheet.
Speech

Working Paper
Risk-averse Dealers in a Risk-free Market - The Role of Trading Desk Risk Limits
Li, Dan; Petrasek, Lubomir; Tian, Mary (2025-05-15)
Self-imposed risk limits effectively limit dealers' appetite for risks and their capacity to intermediate in Treasury markets in times of market stress. Using granular and high frequency regulatory data on US dealers' Treasury securities trading desk positions and desk-level Value-at-Risk limits, we show that dealers are more inclined to reduce their positions as they get closer to their internal risk limit, consistent with such limit being meaningful and costly for traders to breach. Dealers actively manage their inventories away from their limits by selling longer-term securities and ...
Finance and Economics Discussion Series , Paper 2025-034

Working Paper
The Effect of Primary Dealer Constraints on Intermediation in the Treasury Market
Bräuning, Falk; Stein, Hillary (2024-07-01)
Using confidential microdata, we show that shocks to primary dealers’ risk-bearing constraints have significant effects on the US Treasury securities market. In response to tighter constraints, dealers reduce their Treasury positions, triggering a reduction in aggregate turnover and an increase in bid–ask spreads. These effects are more pronounced in securities that contribute more to the utilization of risk constraints. The impaired intermediation also affects Treasury yields, amplifying the yield response to net demand shifts. Moreover, tighter dealer constraints weaken Treasury auction ...
Working Papers , Paper 24-7

Report
Are larger Treasury issues more liquid? Evidence from bill reopenings
Fleming, Michael J. (2002)
This paper makes use of a natural experiment of the U.S. Treasury Department to examine the relationship between Treasury security issue size and liquidity. Treasury bills that were first issued with fifty-two weeks to maturity and then reopened at twenty-six weeks are shown to be more liquid than comparable maturity bills that were first issued with twenty-six weeks to maturity. The relationship is less pronounced when bills are on-the-run (the most recently auctioned bills of a given maturity) than when they are off-the-run, and persists when controlling for other factors that affect ...
Staff Reports , Paper 145

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