Month-End Treasury Trading Trounces Other Days, NY Fed Finds

Elevated trading volume across the Treasury market on the last day of the month is even more disproportionate than previously understood, according to new research by the Federal Reserve Bank of New York.

Over the past two years, volume in the $30 trillion US government bond market was about 58% higher than average on the last trading day of the month, the New York Fed found.

The reason is well-understood: bond indexes are rebalanced on that day to add eligible securities created during the month and remove ones that no longer fit the criteria. That drives trading by exchange-traded and ...