Henry Dyer, Michael J. Fleming, and Or Shachar argue in Liberty Street Economics that Treasury trading follows index pricing times

Henry Dyer, Michael J. Fleming, and Or Shachar argue in Liberty Street Economics that Treasury trading follows index pricing times

On September 22, 2026, Henry Dyer, Michael J. Fleming, and Or Shachar report that trading in U.S. Treasury securities has become more concentrated around fixed-income index pricing times, especially on month-end trading days. They trace a marked shift in activity from around three p.m. to around four p.m. to Bloomberg’s change of its U.S. dollar-denominated indexes’ strike time in January 2021. The authors compare trading patterns before and after that change, using on-the-run notes and bonds in the interdealer market. They find that trading spikes around day-end strikes grew, with the concentration more pronounced when indexes are rebalanced at month-end. Their conclusion is that index pricing conventions materially shape when Treasury trading occurs. The finding concerns the timing of trading in the activity they analyze; the post does not establish how much the pricing change alone accounts for the broader shift.

Publication: 480af471-70b5-3048-8454-21fc98406c37

attribution — pass: The reading correctly attributes the post to Henry Dyer, Michael J. Fleming and Or Shachar in the New York Fed's Liberty Street Economics. It keeps the findings framed as the authors' own reported results and conclusions.

Henry Dyer, Michael J. Fleming, and Or Shachar

summary — uncertain: The central terms are unexplained, and no definitions are supplied. A general reader would not know what a 'strike time' is: the time an index provider sets its closing prices. The same applies to 'fixed-income index', 'on-the-run' (most recently auctioned) and 'interdealer market'. The summary also omits why strike times matter: funds managed against indexes trade at those prices, and indexes rebalance at month-end. Smallest repair: briefly gloss strike time and on-the-run, and add the index-tracking mechanism the source gives.

index providers have discretion as to what time of day to set their closing prices

date — pass: September 22, 2026 matches originalPublished and the post's dateline. The retrieval date is disclosed. The page lists other posts in navigation and sidebar links, but the reading does not use them. There is no hindsight framing.

September 22, 2026 Treasury Trading at the Close

support — pass: Each claim matches verbatim source passages. 'Trace' in the summary leans causal, but the source itself calls its results strong evidence that pricing conventions shape timing. The reading also adds a hedge that the size of the pricing change's contribution is unquantified. The scope limitation (on-the-run, interdealer) is supported.

We further find a marked redistribution of trading activity from around 3 p.m. to around 4 p.m. when a major fixed-income index provider moved its strike time from 3 p.m. to 4 p.m.

media — pass: No media is selected and no verified candidates were supplied, so there is nothing to misidentify.