Month-End Treasury Trading Trounces Other Days, NY Fed Finds

The US Treasury building in Washington.

Photographer: Al Drago/Bloomberg

Elevated trading volume across the Treasury market on the last day of the month is even more disproportionate than previously understood, according to new research by the Federal Reserve Bank of New York.

Over the past two years, volume in the $30 trillion US government bond market was about 58% higher than average on the last trading day of the month, the New York Fed found.