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Banks Called out for Treasuries Volatility

Government report blames banks and high-frequency traders for severe volatility in Treasuries market last Oct. 15; banks blame new liqudity rules.

By Dave Michaels, Ian Katz, and Silla Brush, Bloomberg | Updated on July 14, 2015

The Treasuries market’s harrowing swing on Oct. 15, 2014, resulted in part from banks and high-frequency traders, U.S. authorities said in a report released Monday.

In a six-minute window that morning, banks essentially pulled out of the market, providing no, or very few, offers, the U.S. Treasury and other agencies said. At the same time, high-frequency trading firms exacerbated the situation by often being on both sides of the same trade, according to the report.

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