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Discussion Paper
Understanding the “Inconvenience” of U.S. Treasury Bonds
Du, Wenxin; Hébert, Benjamin; Li, Wenhao (2023-02-06)
The U.S. Treasury market is one of the most liquid financial markets in the world, and Treasury bonds have long been considered a safe haven for global investors. It is often believed that Treasury bonds earn a “convenience yield,” in the sense that investors are willing to accept a lower yield on them compared to other investments with the same cash flows owing to Treasury bonds’ safety and liquidity. However, since the global financial crisis (GFC), long-maturity U.S. Treasury bonds have traded at a yield consistently above the interest rate swap rate of the same maturity. The ...
Liberty Street Economics , Paper 20230206

Working Paper
Balancing Before and After: Treasury Market Reform Proposals and the Connections Between Ex-Ante and Ex-Post Liquidity Tools
Clouse, James A. (2022-02-10)
This paper develops a simple framework that helps to draw out some of the potential connections between ex-ante liquidity risk management tools such as liquidity requirements or mandatory fees and ex-post liquidity tools such as a lender of last resort. A central message of this analysis is that policy actions that expand the lender of last resort function so as to better address periods of financial distress are likely to be most effective when accompanied by regulations or other mechanisms that encourage socially-responsible ex-ante liquidity risk management on the part of financial firms. ...
Finance and Economics Discussion Series , Paper 2022-004

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

Speech
Disentangling Messages from the Treasury Market
Perli, Roberto (2023-11-16)
Remarks at 2023 U.S. Treasury Market Conference, Federal Reserve Bank of New York, New York City.
Speech

Discussion Paper
Bank Supervisory Goals versus Monetary Policy Implementation
Wall, Larry D. (2021-03-29)
The global financial crisis of 2007–09 revealed substantial weaknesses in large banks' capital adequacy and liquidity. Bank regulators responded with a variety of prudential measures intended to strengthen both. However, these prudential measures resulted in conflicts with the implementation of monetary policy that helped alter the way the Federal Reserve conducts monetary policy. I review three such conflicts: regulation inhibiting interest on excess reserves arbitrage starting in 2008, regulation inhibiting banks' operations in the repo market in 2019, and regulation inhibiting their ...
Policy Hub , Paper 2021-03

Speech
A Jack of All Trades Is a Master of None
Williams, John C. (2022-11-16)
Remarks at the 2022 U.S. Treasury Market Conference, Federal Reserve Bank of New York, New York City.
Speech

Discussion Paper
Characterizing the Rising Settlement Fails in Seasoned Treasury Securities
Keane, Frank M.; Fleming, Michael J. (2016-01-04)
In a 2014 post, we described what settlement fails are, why they arise and matter, and how they can be measured. A subsequent post explored the determinants of the increased volume of U.S. Treasury security settlement fails in June 2014. Part of that episode reflected a steady increase in settlement fails of seasoned securities. In this post, we explore the characteristics of seasoned fails in recent years, in order to better understand the risks associated with such fails.
Liberty Street Economics , Paper 20160104

Speech
Federal Reserve Asset Purchases: The Pandemic Response and Considerations Ahead
Logan, Lorie (2022-03-02)
Remarks at New York University’s Stern School of Business (delivered via videoconference)As prepared for delivery.
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

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