Bloomberg: Two Year Anniversary of Volatility in the Treasuries Market

Rebecca Spalding and Eliza Ronalds-Hannon report that on Oct. 15, 2014, benchmark Treasury 10-year yields plunged as much as 34 basis points before reversing direction to finish the day six basis points lower at 2.14 percent. The 2015 investigative report found that so-called principal trading firms that employ high-frequency trade strategies were the primary contributors of liquidity throughout the episode, even though liquidity was broadly depressed. “When you have government policy makers trying to limit the participation of banks, you have to ask yourself, where will the liquidity come from?” said Bill Harts, chief executive officer of the Modern Markets Initiative, an HFT advocacy group. “If there’s any regulatory response at all, it’s to incent more PTF activity in these markets so that there can be more liquidity.”