The New Treasury Market Paradigm

  • 1 Jun 2016
  • By CME Group

Changes in banking regulations have contributed to bank balance sheet pressures, as evidenced by persistently negative swap spreads. This has led to increased demand for off-balance sheet Treasury exposure and continued growth of futures markets relative to cash Treasury securities. This paper applies external sources to examine the evolution of liquidity in both cash and futures markets as well as other important factors such as settlement fails in cash Treasuries.

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