Conference Announcement and Agenda
The Evolving Structure of the U.S. Treasury Market
October 20-21, 2015
The U.S. Treasury market is the deepest and most liquid government securities market in the world.  However, the events of October 15 of last year, when yields experienced an unusually high level of volatility and rapid round-trip in prices without a clear cause, highlight the need to better understand the factors that impact the liquidity of the Treasury market, especially during stressed market conditions.  Because of the Treasury market’s unique role in the global economy, its liquidity and functioning have implications for the cost of financing the government, the market’s role as a risk-free benchmark for pricing financial instruments, the costs borne by investors transacting in the Treasury market, and the implementation of monetary policy.

In order to better understand the key factors underlying the evolution of the Treasury market’s current structure and liquidity, the U.S. Department of the Treasury, the Board of Governors of the Federal Reserve System, the Federal Reserve Bank of New York, the U.S. Securities and Exchange Commission, and the U.S. Commodity Futures Trading Commission will hold a conference to explore an array of questions.  The conference will consist of a variety of panels on subjects ranging from the Joint Staff Report on October 15, automated and algorithmic trading, market making, liquidity, end investor perspectives on market structure, operational risks, repo markets, academic and practitioner perspectives on potential improvements to market structure, and regulatory requirements applicable to the government securities market.  The conference will include prominent industry and academic experts and will feature remarks by several authorities in the official sector.

Sponsors
U.S. Department of the Treasury
Board of Governors of the Federal Reserve System
Federal Reserve Bank of New York
U.S. Securities and Exchange Commission
U.S. Commodity Futures Trading Commission
Event Details

Date
October 20-21, 2015

Location
Federal Reserve Bank of New York
33 Liberty Street
New York, NY

Audience
Audience is by invitation only. Download the attendee list.

Agenda
Download the agenda.

Conference Summary
Download the conference summary.

Speakers' Remarks
William C. Dudley
President, Federal Reserve Bank of New York

The Honorable Mary Jo White
Chair, U.S. Securities and Exchange Commission

The Honorable Timothy Massad
Chairman, U.S. Commodity Futures Trading Commission

The Honorable Jerome Powell
Governor, Board of Governors of the Federal Reserve System

Antonio Weiss
Counselor to the Secretary, U.S. Department of the Treasury

Seth Carpenter
Acting Assistant Secretary for Financial Markets, U.S. Department of the Treasury

Presentations
Panel: The Joint Staff Report on October 15 and Recent Analytical Findings
Joint Staff Report: The U.S. Treasury Market on October 15 pdf
Presentation by Nate Wuerffel

A Preliminary Look at Dealer-to-Customer Markets on October 15, 2014 pdf
Presentation by Ernst Schaumburg

Treasury Event: Further Analysis pdf
Presentation by Richard Haynes

Panel: Has Liquidity Changed in the U.S. Treasury Market?
Has Liquidity Changed in the U.S. Treasury Market? pdf
Presentation by Michael Fleming, Charles Jones, Torsten Slok

Panel: Academic Round – Can the Current Structure Be Improved?
High Frequency Market Making
Presentation by Yacine Ait-Sahalia

A Market Design Perspective on the HFT Debate: The Case for Frequent Batch Auctions
Presentation by Eric Budish

Treasuries: What Lessons Might Carry Over from Other Markets?
Presentation by Joel Hasbrouck


Media

This event is open to the media (see below for guidelines), though space is limited. To register, please contact Suzanne Elio at the New York Fed, suzanne.elio@ny.frb.org or (212) 720-6449.

Guidelines
Chatham House Rule will be in effect for the entire conference, except for the welcoming, introductory, keynote and concluding remarks by senior officials, which will be on the record.

Chatham House Rule dictates that participants and the media are free to use the information received, but are not able to report on or disclose the identity or the affiliation of the speaker(s), or that of any other participant.