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Discussion Paper
Information on Dealer Activity in Specific Treasury Issues Now Available
Fleming, Michael J. (2013-08-26)
The New York Fed has long collected market information from its primary dealer trading counterparts and released these data in aggregated form to the public. Until recently, such data have only been available for broad categories of securities (for example, Treasury bills as a group) and not for specific securities. In April 2013, the Fed began releasing data on some specific Treasury issues, allowing for a more refined understanding of market conditions and dealer behavior.
Liberty Street Economics , Paper 20130826

Journal Article
Trading activity and price transparency in the inflation swap market
Sporn, John; Fleming, Michael J. (2013-05)
The issues of liquidity and price transparency in derivatives markets have taken on greater import given regulatory efforts under way to improve their transparency. To date, the lack of transaction data has impeded the understanding of how the inflation swap and other derivatives markets operate. This article broadens that understanding by using a novel transaction data set to examine trading activity and price transparency in the quickly growing U.S. inflation swap market. The authors find that the market appears reasonably liquid and transparent, despite its over-the-counter nature and ...
Economic Policy Review , Volume 19 , Issue May , Pages 45-57

Discussion Paper
How Liquid Is the New 20-Year Treasury Bond?
Fleming, Michael J.; Ruela, Francisco (2020-07-01)
On May 20, the U.S. Department of the Treasury sold a 20-year bond for the first time since 1986. In announcing the reintroduction, Treasury said it would issue the bond in a regular and predictable manner and in benchmark size, thereby creating an additional liquidity point along the Treasury yield curve. But just how liquid is the new bond? In this post, we take a first look at the bond’s behavior, evaluating its trading activity and liquidity using a short sample of data since the bond’s introduction.
Liberty Street Economics , Paper 20200701

Report
Federal Reserve liquidity provision during the financial crisis of 2007-2009
Fleming, Michael J. (2012)
This paper examines the Federal Reserve's unprecedented liquidity provision during the financial crisis of 2007-2009. It first reviews how the Fed provides liquidity in normal times. It then explains how the Fed's new and expanded liquidity facilities were intended to enable the central bank to fulfill its traditional lender-of-last-resort role during the crisis while mitigating stigma, broadening the set of institutions with access to liquidity, and increasing the flexibility with which institutions could tap such liquidity. The paper then assesses the growing empirical literature on the ...
Staff Reports , Paper 563

Discussion Paper
The Failure Resolution of Lehman Brothers
Sarkar, Asani; Fleming, Michael J. (2014-04-03)
The bankruptcy of Lehman Brothers and its 209 registered subsidiaries was one of the largest and most complex in history, with more than $1 trillion of creditor claims in the United States alone, four bodies of applicable U.S. laws, and insolvency proceedings that involved over eighty international legal jurisdictions. The experience of resolving Lehman has led to an active debate regarding the effectiveness of applying the U.S. Chapter 11 Bankruptcy Code to complex financial institutions. In this post, we draw on our Economic Policy Review article to highlight the challenges of resolving ...
Liberty Street Economics , Paper 20140403

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

Discussion Paper
Did Third Avenue's Liquidation Reduce Corporate Bond Market Liquidity?
Wojtowicz, Zachary; Vogt, Erik; Fleming, Michael J.; Adrian, Tobias (2016-02-19)
The announced liquidation of Third Avenue’s high-yield Focused Credit Fund (FCF) on December 9, 2015, drew widespread attention and reportedly sent ripples through asset markets. Events of this kind have the potential to increase the demand for market liquidity, as investors revise expectations, reassess risk exposures, and fulfill the need to trade. Moreover, portfolio effects and general fears of contagion may increase the demand for liquidity in assets only remotely related to a liquidating firm’s direct holdings. In this post, we examine whether FCF’s announced liquidation affected ...
Liberty Street Economics , Paper 20160219a

Discussion Paper
The Recent Bond Market Selloff in Historical Perspective
Adrian, Tobias; Fleming, Michael J. (2013-08-05)
Long-term Treasury yields have risen sharply in recent months. The yield on the most recently issued ten-year note, for example, rose from 1.63 percent on May 2 to 2.74 percent on July 5, reaching its highest level since July 2011. Increasing yields result in realized or mark-to-market losses for fixed-income investors. In this post, we put these losses in historical perspective and investigate whether the yield changes are better explained by expectations of higher short-term rates in the future or by investors demanding greater compensation for holding long-term Treasuries.
Liberty Street Economics , Paper 20130805

Journal Article
The Federal Reserve's foreign exchange swap lines
Klagge, Nicholas; Fleming, Michael J. (2010-04)
The financial crisis that began in August 2007 disrupted U.S. dollar funding markets not only in the United States but also overseas. To address funding pressures internationally, the Federal Reserve introduced a system of reciprocal currency arrangements, or "swap lines," with other central banks. The swap line program, which ended early this year, enhanced the ability of these central banks to provide U.S. dollar funding to financial institutions in their jurisdictions.
Current Issues in Economics and Finance , Volume 16 , Issue Apr

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