Joint Staff Report: The U.S. Treasury Market on October 15, 2014

Joint Staff Report: The U.S. Treasury Market on October 15, 2014
On October 15, 2014, the market for U.S. Treasury securities, futures, and other closely related financial markets experienced an unusually high level of volatility and a very rapid round-trip in prices.  Although trading volumes were high and the market continued to function, liquidity conditions became significantly strained.  Strong evidence suggests that PTFs, as a group, also remained engaged as liquidity providers throughout the event window, implying that more than one type of PTF strategy was at work.