{"id":"81d1fdfde9e9efab0b62ab0f151cd7512a2fdf278aa6b85d098037d40421229c","title":"Henry Dyer, Michael J. Fleming, and Or Shachar argue in Liberty Street Economics that Treasury trading follows index pricing times","argument":"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. 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Smallest repair: briefly gloss strike time and on-the-run, and add the index-tracking mechanism the source gives.","excerpt":"index providers have discretion as to what time of day to set their closing prices"},{"dimension":"date","status":"pass","explanation":"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.","excerpt":"September 22, 2026\nTreasury Trading at the Close"},{"dimension":"support","status":"pass","explanation":"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.","excerpt":"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."},{"dimension":"media","status":"pass","explanation":"No media is selected and no verified candidates were supplied, so there is nothing to misidentify.","excerpt":null}],"createdAt":"2026-11-05T15:53:51.168Z","model":"anthropic/claude-opus-5.5"}],"correctionUrl":"https://escapemeridian.com/corrections/"}