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The importance of large trade size liquidity in U.S. Financial Markets

The importance of large trade size liquidity in U.S. Financial Markets

To help us with that analysis, speaker explores the current quality of liquidity in one important area that the CFTC regulates: the Treasury futures market. He will address current liquidity in the Treasury Futures and its measurement, rather than look at changes in that liquidity over time. The trading liquidity of U.S. Treasuries and their associated futures contracts is of particular interest: Treasuries are a benchmark for other U.S. and world markets, and the U.S. government’s ability to fund its debt efficiently and consistently is of vital national interest. The structure of the US treasury futures market is highly sophisticated. It encompasses participants that play important and specific roles as liquidity providers. Broker-dealers traditionally serve as market-makers to their customers. They help buyers and sellers transact by trading continuously with both sides of the market. Principal trading firms do not serve customers, but are significant traders in the Treasury markets with their reliance on technology to underpin their trading practices. We must appreciate the mix of participants in these markets in order to assess the changing nature of trading liquidity, its qualify and quantity. Author’s presentation will concentrate on one particular issue with respect to the definition and measurement of liquidity in Treasury futures contracts: large-trade size […]