Trading in U.S. Treasury securities is becoming more concentrated around the designated pricing, or "strike," times for fixed-income indexes, according to new research from the New York Fed's Liberty Street Economics. The concentration is especially pronounced on the last trading day of each month, when many fixed-income indexes are rebalanced. This matters because the Treasury market is over-the-counter and has no exchange-mandated closing time, leaving index providers with discretion over when to set closing prices. That discretion, in turn, appears to be reshaping intraday liquidity patterns in one of the world's most important markets.
The mechanics are straightforward. Researchers measured the share of each day's trading volume executed in the ten-minute windows around the 3 p.m. and 4 p.m. index strikes, tracking those shares over time for all days and for month-end days. The analysis covers trading in the most recently auctioned, or on-the-run, notes and bonds in the interdealer market. Historically, 3 p.m. was the industry standard, partly because open-outcry trading for Treasury futures ended at 3 p.m. and the 3 p.m. strike allowed lead time before mutual funds' net asset value production at 4 p.m. On January 14, 2021, Bloomberg Barclays—now Bloomberg Fixed Income Indices—changed the strike time for its U.S. dollar-denominated indexes from 3 p.m. to 4 p.m., with some reports suggesting the change was intended to reduce tracking error for funds required to price portfolios using 4 p.m. prices.
The evidence shows a clear shift. The share of daily trading volume in the ten minutes around 3 p.m. increased from an average of 2.3 percent in 2016 to 3.4 percent in 2020. After the strike time change in January 2021, activity around 3 p.m. plunged, while activity around 4 p.m. surged. The share around 4 p.m. has since increased from an average of 2.5 percent in 2021 to 3.5 percent in 2025. The effect is even larger on month-end days: the share around 3 p.m. on such days rose from an average of 8.1 percent in 2016 to 12.1 percent in 2020, then plunged after the change, while the share around 4 p.m. increased from an average of 11.6 percent in 2021 to 20.4 percent in 2025.
The intraday pattern has changed accordingly. In 2016, trading volume spiked at the 8:30 and 10 a.m. macroeconomic announcement releases, when auction results were released shortly after 1 p.m., and around the 3 p.m. strike time, with much smaller spikes around 4 p.m. and 5 p.m. By 2025, the 4 p.m. spike is much more pronounced. The 3 p.m. spike is of similar magnitude across the two years, but volume shares are higher in 2025 for every interval from 3:10 p.m. to 5:05 p.m., especially in the ten minutes around 4 p.m. On month-end days, the day-end spikes are much larger in 2025, with the half-hour interval between 3:45 and 4:15 p.m. accounting for a substantial share of activity.
The findings suggest that index provider decisions can materially influence market structure and liquidity concentration. The earlier research found that overall Treasury trading volume is about 58 percent higher on the last trading day of the month than on other days, and that this concentration has increased sharply over the past decade or so, associated with improved market liquidity. The authors conjecture that the increased concentration may reflect the growth of assets managed relative to fixed-income indexes. However, the analysis is based on a single source read in full, and the dossier does not provide corroborating evidence from other studies or market participants. The exact causal mechanisms—beyond the strike time change—remain inferred rather than directly tested.
What to watch is whether the 4 p.m. concentration continues to rise, whether other index providers adjust their strike times, and whether the improved liquidity associated with month-end concentration persists or creates new vulnerabilities. The shift from 3 p.m. to 4 p.m. shows that market participants respond quickly to pricing conventions, but the long-term implications for Treasury market functioning are still unfolding.