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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

Report
The Netting Efficiencies of Marketwide Central Clearing
Keane, Frank M.; Fleming, Michael J. (2021-04-01)
Market disruptions in response to the COVID pandemic spurred calls for the consideration of marketwide central clearing of Treasury securities, which might better enable dealers to intermediate large customer trading flows. We assess the netting efficiencies of increased central clearing using nonpublic Treasury TRACE transactions data. We find that central clearing of all outright trades would have lowered dealers’ daily gross settlement obligations by roughly $330 billion (60 percent) in the weeks preceding and following the market disruptions of March 2020, but nearly $800 billion (70 ...
Staff Reports , Paper 964

Speech
The Important Role of the Foreign Investor in the U.S. Treasury Market
Nordstrom, Anna (2023-11-16)
Remarks at 2023 U.S. Treasury Market Conference, Federal Reserve Bank of New York, New York City.
Speech

Discussion Paper
Dealers’ Positions and the Auction Cycle
Jones, Collin; Fleming, Michael J. (2015-10-14)
The aftermath of the financial crisis and changes in technology and regulation have spurred a spirited discussion of dealers? evolving role in financial markets. One such role is to buy securities at auction and sell them off to investors over time. We assess this function using data on primary dealers? positions in benchmark Treasury securities, released by the New York Fed since April 2013 and described in this earlier Liberty Street Economics post.
Liberty Street Economics , Paper 20151014

Discussion Paper
Treasury Trading at the Close
Dyer, Henry; Fleming, Michael J.; Shachar, Or (2026-09-22)
In past work, we showed that trading in U.S. Treasury securities is becoming increasingly concentrated on the last trading day of each month. In this post, we show that trading is also becoming more concentrated around the designated pricing, or “strike,” times for fixed-income indexes. The concentration is especially pronounced on month-end trading days. We also document a marked shift in trading activity from around 3 p.m. (ET) to around 4 p.m. after a major fixed-income index provider moved its strike time from 3 p.m. to 4 p.m. in January 2021.
Liberty Street Economics , Paper 20260922

Working Paper
Unconventional monetary policy and the behavior of shorts
Planchon, Jade; McInish, Thomas H.; Neely, Christopher J. (2017-10-27)
In November 2008, the Federal Reserve announced the first of a series of unconventional monetary policies, which would include asset purchases and forward guidance, to reduce long-term interest rates. We investigate the behavior of shorts, considered sophisticated investors, before and after a set of these unconventional monetary policy announcements that spot bond markets did not fully anticipate. Short interest in agency securities systematically predicts bond price changes and other asset returns on the days of monetary announcements, particularly when growth or monetary news is released, ...
Working Papers , Paper 2017-31

Newsletter
Understanding the Federal Budget
Kaiman, Mike (2025-11-03)
Analyze the federal budget and the differences between annual deficit spending and the national debt.
Page One Economics Newsletter

Speech
A Solution to Every Puzzle
Williams, John C. (2020-09-29)
Remarks at the 2020 U.S. Treasury Market Conference (delivered via videoconference).
Speech

Understanding the “Swoosh”-Shaped Yield Curve for Treasuries
Kozlowski, Julian; Sullivan, Nicholas (2025-10-09)
An analysis of the yield curve for Treasuries suggests that while the market sees a gradual decline in short-term interest rates, it also expects rates to rise in the long run.
On the Economy

Discussion Paper
How the Fed Changes the Size of Its Balance Sheet
Leonard, Deborah; Martin, Antoine; Potter, Simon M. (2017-07-10)
The size of the Federal Reserve’s balance sheet increased greatly between 2009 and 2014 owing to large-scale asset purchases. The balance sheet has stayed at a high level since then through the ongoing reinvestment of principal repayments on securities that the Fed holds. When the Federal Open Market Committee (FOMC) decides to reduce the size of the Fed’s balance sheet, it is expected to do so by gradually reducing the pace of reinvestments, as outlined in the June 2017 addendum to the FOMC’s Policy Normalization Principles and Plans. How do asset purchases increase the size of the ...
Liberty Street Economics , Paper 20170710

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