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Liquidity and Trading Dynamics in the Off-the-Run U.S. Treasury Market

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Abstract

In this article, we study trading activity and liquidity of off-the-run U.S. Treasury securities. Off-the-run Treasuries are seasoned securities, account for about 98 percent of all Treasuries outstanding, and played a central role in the pandemic-fueled dash-for-cash in March 2020. Understanding these securities better can improve thinking around how market resilience might be improved. We document and discuss the evolution of trading activity and liquidity for these securities and how these attributes differ from on-the-run securities. We also consider several potential market structure changes that could improve the liquidity of off-the-run Treasuries, including debt buybacks, expanded central clearing, and increased data transparency.

Suggested Citation

  • Alain P. Chaboud & Michael J. Fleming & Ellen Correia Golay & Yesol Huh & Frank M. Keane & Or Shachar, 2025. "Liquidity and Trading Dynamics in the Off-the-Run U.S. Treasury Market," Staff Reports 1170, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednsr:102080
    DOI: 10.59576/sr.1170
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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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