纽约联储-美国国债市场的流动性和交易动态（英）

Liquidity and Trading Dynamics in the Off-the-Run U.S. Treasury Market Alain Chaboud | Ellen Correia Golay | Michael Fleming | Yesol Huh | Frank Keane | Or Shachar NO. 1170 NOVEMBER 2025 Liquidity and Trading Dynamics in the Off-the-Run U.S. Treasury Market Alain Chaboud, Ellen Correia Golay, Michael Fleming, Yesol Huh, Frank Keane, and Or Shachar Federal Reserve Bank of New York Staff Reports, no. 1170 November 2025 https://doi.org/10.59576/sr.1170 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. JEL classification: G12, G18, G20 Key words: 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 York and Chaboud worked at the Board of Governors of the Federal Reserve System during the drafting of this paper. 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 assistance. They also thank the market participants they spoke with for their useful insights. This paper presents preliminary findings and is being distributed to economists and other interested readers solely to stimulate discussion and elicit comments. The views expressed in this paper are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York, the Board of Governors of the Federal Reserve System, or the Federal Reserve System. Any errors or omissions are the responsibility of the author(s). To view the authors’ disclosure statements, visit https://www.newyorkfed.org/research/staff_reports/sr1170.html. 1 Introduction The U.S. Treasury securities market is critically important for the functioning of the global financial system. Treasury securities perform several key functions – they are the method through which the U.S. government funds itself, they are instruments used in the execution o