Treasury Trading at the Close

Henry Dyer, Michael Fleming and Or Shachar

No 20260922, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: 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.

Keywords: Treasury securities; trading; index; close; month-end (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2026-09-22
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fednls:103802

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DOI: 10.59576/lse.20260922

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