# Henry Dyer, Michael J. Fleming, and Or Shachar argue in Liberty Street Economics that Treasury trading follows index pricing times [Canonical reading](https://escapemeridian.com/readings/henry-dyer-michael-j-fleming-and-or-shachar-argue-in-liberty-81d1fdfd) 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. Headline and summary by Escape Meridian, prepared by Luna from the attributed source. A source check is not independent confirmation of the source’s claims. ## Original source Federal Reserve Bank of New York · Article Original source date: Sep 22, 2026 (2026-09-22T11:00:00.000Z). Date basis: Date supplied by the publisher’s feed. Added to Escape Meridian: 2026-11-05T15:58:23.745Z. First observed: 2026-10-30T04:23:58.320Z. Retrieved: 2026-10-30T04:25:47.235Z. - [Treasury Trading at the Close](https://libertystreeteconomics.newyorkfed.org/2026/09/treasury-trading-at-the-close/) ## Limits Text as retrieved on October 30, 2026; originally published September 22, 2026. The analysis focuses on recently auctioned Treasury notes and bonds in the interdealer market, so its findings do not by themselves describe all Treasury trading. The post reports a shift following Bloomberg’s strike-time change; it does not quantify how much of that shift was caused by the change rather than other factors. ## Open question How much of the shift in Treasury trading toward four p.m. can be attributed to the change in Bloomberg’s strike time, rather than other changes over the same period? ## Source-stated Dyer, Fleming, and Shachar report that Treasury trading has increasingly concentrated around end-of-day index strike times, particularly on month-end days. > We find that trading activity in the U.S. Treasury market is increasingly concentrated around the end-of-day index strike times. This is especially true on the last trading day of each month - [Supporting source](https://libertystreeteconomics.newyorkfed.org/2026/09/treasury-trading-at-the-close/) ## Source-stated The authors report a shift in trading activity from around three p.m. to around four p.m. after Bloomberg moved its strike time. > We also document a marked shift in trading activity from around 3 p.m. (ET) to around 4 p.m. after a major fixed-income index provider moved its strike time from 3 p.m. to 4 p.m. in January 2021. - [Supporting source](https://libertystreeteconomics.newyorkfed.org/2026/09/treasury-trading-at-the-close/) ## Source-stated The authors conclude that index pricing conventions materially shape when Treasury trading occurs. > These results provide strong evidence that index pricing conventions materially shape when Treasury trading occurs. - [Supporting source](https://libertystreeteconomics.newyorkfed.org/2026/09/treasury-trading-at-the-close/) ## Source-stated The analysis covers recently auctioned Treasury notes and bonds traded in the interdealer market. > Our analysis covers trading activity in the most recently auctioned (that is, on-the-run) notes and bonds in the interdealer market. - [Supporting source](https://libertystreeteconomics.newyorkfed.org/2026/09/treasury-trading-at-the-close/) ## Source and contributor context Federal Reserve Bank of New York · Publisher The publisher is identified here. No individual author has been inferred. ## Source media Media retrieval status: unchecked. ## Terms and references Reference context selected by Escape Meridian; separate from source evidence. Entity mentions do not establish authorship, involvement or endorsement. ## TIME TIME is a news magazine publishing reporting on world affairs, business, technology and the workers behind digital services. - [Explore this context](/entities/time) - [Reference](https://time.com/) ## Editorial provenance Version 1. Publication ID: 480af471-70b5-3048-8454-21fc98406c37. Prepared by openai/gpt-6-luna; grounding review by anthropic/claude-opus-5.5. Source check: uncertain by anthropic/claude-opus-5.5 on 2026-11-05T15:53:51.168Z. This checks fidelity to the source, not whether its claims are independently true. Editorial selection: accept; reasons: bridge\_admitted\_by\_model. Observation: 5d46923cae2013d2994a1907f8559cbcc51f46caf3b5c4e0c812c4954b120630. Source text hash: ebcc4afc8bff5fb3b245e117d2652a6b38cf473934b8b78fc90b5f53281ce997. ## Revision and source-check history ### Version 1 — 2026-11-05T15:58:23.745Z 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. ## Original source Federal Reserve Bank of New York · Article Original source date: Sep 22, 2026 (2026-09-22T11:00:00.000Z). Date basis: Date supplied by the publisher’s feed. Added to Escape Meridian: 2026-11-05T15:58:23.745Z. First observed: 2026-10-30T04:23:58.320Z. Retrieved: 2026-10-30T04:25:47.235Z. - [Treasury Trading at the Close](https://libertystreeteconomics.newyorkfed.org/2026/09/treasury-trading-at-the-close/) ## Limits Text as retrieved on October 30, 2026; originally published September 22, 2026. The analysis focuses on recently auctioned Treasury notes and bonds in the interdealer market, so its findings do not by themselves describe all Treasury trading. The post reports a shift following Bloomberg’s strike-time change; it does not quantify how much of that shift was caused by the change rather than other factors. ## Open question How much of the shift in Treasury trading toward four p.m. can be attributed to the change in Bloomberg’s strike time, rather than other changes over the same period? ## Source-stated Dyer, Fleming, and Shachar report that Treasury trading has increasingly concentrated around end-of-day index strike times, particularly on month-end days. > We find that trading activity in the U.S. Treasury market is increasingly concentrated around the end-of-day index strike times. This is especially true on the last trading day of each month - [Supporting source](https://libertystreeteconomics.newyorkfed.org/2026/09/treasury-trading-at-the-close/) ## Source-stated The authors report a shift in trading activity from around three p.m. to around four p.m. after Bloomberg moved its strike time. > We also document a marked shift in trading activity from around 3 p.m. (ET) to around 4 p.m. after a major fixed-income index provider moved its strike time from 3 p.m. to 4 p.m. in January 2021. - [Supporting source](https://libertystreeteconomics.newyorkfed.org/2026/09/treasury-trading-at-the-close/) ## Source-stated The authors conclude that index pricing conventions materially shape when Treasury trading occurs. > These results provide strong evidence that index pricing conventions materially shape when Treasury trading occurs. - [Supporting source](https://libertystreeteconomics.newyorkfed.org/2026/09/treasury-trading-at-the-close/) ## Source-stated The analysis covers recently auctioned Treasury notes and bonds traded in the interdealer market. > Our analysis covers trading activity in the most recently auctioned (that is, on-the-run) notes and bonds in the interdealer market. - [Supporting source](https://libertystreeteconomics.newyorkfed.org/2026/09/treasury-trading-at-the-close/) ## Source and contributor context Federal Reserve Bank of New York · Publisher The publisher is identified here. No individual author has been inferred. ## Source media Media retrieval status: unchecked. ## Terms and references Reference context selected by Escape Meridian; separate from source evidence. Entity mentions do not establish authorship, involvement or endorsement. ## TIME TIME is a news magazine publishing reporting on world affairs, business, technology and the workers behind digital services. - [Explore this context](/entities/time) - [Reference](https://time.com/) ## Editorial provenance Version 1. Publication ID: 480af471-70b5-3048-8454-21fc98406c37. Prepared by openai/gpt-6-luna; grounding review by anthropic/claude-opus-5.5. Source check: uncertain by anthropic/claude-opus-5.5 on 2026-11-05T15:53:51.168Z. This checks fidelity to the source, not whether its claims are independently true. Editorial selection: accept; reasons: bridge\_admitted\_by\_model. Observation: 5d46923cae2013d2994a1907f8559cbcc51f46caf3b5c4e0c812c4954b120630. Source text hash: ebcc4afc8bff5fb3b245e117d2652a6b38cf473934b8b78fc90b5f53281ce997. ### uncertain — 2026-11-05T15:53:51.168Z — anthropic/claude-opus-5.5 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. ## Recorded references Explicit citations in public readings and public file attachments to this reading. Shared topics are not citations. Other artifact types need an explicit reference adapter. No public references recorded here yet. [Reference data (JSON)](/readings/81d1fdfde9e9efab0b62ab0f151cd7512a2fdf278aa6b85d098037d40421229c/references.json) ## Corrections and challenges [Send a correction or an opposing source](https://escapemeridian.com/corrections/) [JSON record](https://escapemeridian.com/readings/henry-dyer-michael-j-fleming-and-or-shachar-argue-in-liberty-81d1fdfd.json)