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Treasury Market Volatility - The Unusual Price Swings of October 15, 2014 (Hardcover)
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Treasury Market Volatility - The Unusual Price Swings of October 15, 2014 (Hardcover)
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The U.S. Treasury market is the deepest and most liquid government
securities market in the world. It plays a critical and unique role
in the global economy, serving as the primary means of financing
the U.S. federal government and acting as a significant investment
instrument and hedging vehicle for global investors, among other
uses. On October 15, 2014, the market for U.S. Treasury securities,
futures, and other closely related financial instruments
experienced unusually large price swings, including a very rapid
roundtrip during a 12-minute interval. This volatility occurred
despite the absence of any particular financial or economic
developments that might explain such large moves. Such significant
and unexplained volatility in the important U.S. Treasury market
called for more substantive analysis. The staff of the Treasury
Department, the Board of Governors of the Federal Reserve System,
the Federal Reserve Bank of New York, the U.S. Securities and
Exchange Commission, and the U.S. Commodity Futures Trading
Commission worked together to analyse data from the three main
trading venues for the Treasury market in the creation of this
report. This book provides an overview of the U.S. Treasury market,
liquidity, and applicable regulations. It explores the events of
October 15, including the two defining traits of the daythe
unusually high volatility and round-trip in prices despite the lack
of an obvious driver, and the strains in liquidity conditions
especially during the event window; discusses the key findings from
the analysis of participant-level transaction data, with a
particular focus on the period leading up to and including the most
volatile period of the day, the 9:33 to 9:45 a.m. ET event window;
reviews broad changes to the structure of the Treasury market over
the past two decades; and explains the events of October 15
underscore the importance of efforts by the official and private
sectors to understand more fully the implications of the 6 evolving
Treasury market structure for liquidity, trading and risk
management practices, data access, and monitoring and surveillance.
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