纽约联储-美国国债市场的流动性和交易动态

N O .1 1 7 0N O V E M B E R2 0 2 5 Alain Chaboud|Ellen Correia Golay|Michael Fleming|Yesol Huh|Frank Keane|Or Shachar Liquidity and Trading Dynamics in the Off-the-Run U.S. Treasury MarketAlain Chaboud, Ellen Correia Golay, Michael Fleming, Yesol Huh, Frank Keane, and Or Shachar Federal Reserve Bank of New York Staff Reports, no.1170 Abstract In this article, we study trading activity and liquidity of off-the-run U.S. Treasury securities.Off-the-runTreasuries are seasoned securities, account for about 98 percent of all Treasuries outstanding, and playeda central role in the pandemic-fueled dash-for-cash in March 2020. Understanding these securities bettercan improve thinking around howmarket resilience might be improved. We document and discuss theevolution of trading activity and liquidity for these securities and how these attributes differ from on-the- JEL classification:G12, G18, G20Keywords:Treasury market, market structure, off-the-run, liquidity, trading Correia Golay, Fleming, Keane, Shachar: Federal Reserve Bank of New York (emails:ellen.correia.golay@ny.frb.org, michael.fleming@ny.frb.org, frank.keane426@gmail.com,or.shachar@ny.frb.org).Chaboud, Huh:Board of Governors of the Federal Reserve System(emails:alain@chaboud.comm, yesol.huh@frb.gov).Keane worked at the Federal Reserve Bank of New Yorkand Chaboud worked at the Board of Governors of the Federal Reserve System during the drafting of thispaper.The authors thank Shantanu Banerjee, David Bowman, Thomas Eady, Patrick Norton, Brett Rose,and Brian Smith for helpful comments, and Isabel Krogh and Allen Liu for their excellent research This paper presents preliminary findings and is being distributed to economists and other interestedreaders solely to stimulate discussion and elicit comments. The views expressed in this paper are those ofthe author(s) and do not necessarily reflect theposition of the Federal Reserve Bank of New York,the To view the authors’ disclosure statements, visithttps://www.newyorkfed.org/research/staff_reports/sr1170.html. Introduction The U.S. Treasurysecuritiesmarketis critically important for the functioning of the global financialsystem.Treasury securities perform several key functions–theyare the method through which theU.S. government funds itself, they are instruments used in the execution of monetary policy, they The largest segment of this$27 trillionmarket is the off-the-run market, whichaccounts forabout98percent ofmarketableTreasurydebtoutstanding.While the most recently issued securities ateach tenor are called the “on-the-run” securities, the term “off-the-run” referstothose Treasurysecurities that aremore seasoned,fromsomewhatrecently issued securities,called “near on-the-runs,”toextremely seasoned securities, called “deep off-the-runs,”and many other securities in Attentiontothe liquidity and functioning of theoff-the-run market increased sharply following theevents of March 2020,whena pandemic-fueleddash-for-cash led towidespreadsalesof Treasuries(IAWG 2021).This included$287 billion of sales from foreign investors, $266 billion from mutualfunds, and $196 billion from the household sector, whichincludeshedge funds(Vissing-Jorgensen2021).The vast majority ofthese sales werein off-the-run securities.During this period, liquidity inoff-the-runs decreased notably, withspreads between on-and off-the-run securitieswideningsignificantlyand other measures of market functioning deteriorating(Fleming, Liu, Podjasek,and Following the 2020 strains,therelevant authorities in the Treasury market began a program ofanalysis and policymaking to help improve the resilience ofthismarket.This work is spearheadedby the Inter-Agency WorkingGroup forTreasury Market Surveillance (IAWG),which consists of staff fromtheU.S.Department of the Treasury, the Board of Governors of theFederalReserve System,the FederalReserveBank of New York,theSecurities and Exchange Commission, and theCommodity Futures Trading Commission.1As part of that work, IAWG staffresearchedTreasurymarket structure with an aimto identifyingpotential improvementsintheresilienceof Treasury In this paper, we investigate the drivers oftrading activity andliquidityofoff-the-runs.We analyzeoff-the-run transaction data fromtheFinancial Industry Regulatory Authority (FINRA)Trade Reporting and Compliance Engine (TRACE) and summarize findingsfrom structuredmarketoutreach to a cross-section of firms active in the off-the-run market.Wethenconsider severalpotential changes to Treasury market structure that could improve liquidity in the off-the-run Overall, wedocumentthat trading activity in Treasury securities changes notably when they movefrom being on-the-run to off-the-run, and even more so as securities become more seasoned.Trading volumes decline,trade sizes increase,trade frequency declines,and effective bid-askspreads widenasTreasurysecurities age.However, we also find thatcheapest-to-deliver securities The paper is structured as follows.Section 1 provi