美国银行曾在报告中指出，2014年10月15日，美国国债市场“闪崩”当天，债市的波动性指标MOVE在没有重大事件的状态下从前一日的76升至101，10年国债买卖价差从0.18%上升到0.26%，但在一两天后即迅速回落正常水平。美银认为这是电子化、自动化和高频交易造成技术上及操作性相关流动性压力的典型案例。这类交易广泛应用于交易决策和执行本身可以提高效率，降低成本，收缩买卖价差，但也使二级市场更容易形成波动和消耗流动性，特别是在市场动荡时更容易放大市场波动。Powell mentioned the opportunity of the annual conference - the rare liquidity 'flash crash' in the US Treasury market in October 2014. It was because of that event that regulators such as the Fed realized the significant changes in the structure of the US Treasury market, how electronic trading has a big impact on the market, and how crucial the cooperation and communication among various regulatory institutions are.
The 10th U.S. Treasury Market Conference was held on Thursday, September 26th in Eastern Time, organised by the New York Fed. Federal Reserve Chairman Powell was unable to attend in person but prerecorded a video for the opening speech of the meeting.
In his speech, Powell mentioned the opportunity presented by the U.S. Treasury Market Annual Meeting - nearly a decade after the rare liquidity 'flash crash' in the U.S. Treasury market, stating that the event had rung alarm bells leading to significant changes in the market structure. The impact of electronic trading on the market, the importance of cooperation and communication among various regulatory agencies were also highlighted.
Bank of America had previously pointed out in a report that on October 15, 2014, the day of the 'flash crash' in the U.S. Treasury market, the market's volatility indicator MOVE rose from 76 in the previous day to 101, and the 10-year Treasury bond bid-ask spread increased from 0.18% to 0.26% without any major events. However, it quickly returned to normal levels one or two days later. BofA considered this as a typical case of technological and operational liquidity pressure caused by electronic, automated, and high-frequency trading. Such trading widely used for decision-making and execution purposes can enhance efficiency, lower costs, narrow bid-ask spreads, but also make the secondary market more prone to volatility and liquidity consumption, especially amplifying market fluctuations in times of turbulence.
Below is the full text of Powell's speech, with notes added by Wall Street News:
"Hello everyone, welcome to the 10th U.S. Treasury Market Annual Meeting. The term '10th' may come as a surprise to some, but it also fills us with immense pride. It's surprising because it seems like not long ago that the first such gathering took place, and I am honored to be involved in organizing the conference. However, the passage of time is also something we can be proud of, as this meeting has been going strong for many years, and I hope it will continue in the future.
Since we first convened our meetings in 2015, significant changes have occurred in the economy - but the necessity of discussing and studying the U.S. Treasury market has not changed. It is well known that this market is the deepest and most liquid market in the world. In addition to meeting the financing needs of the U.S. federal government, it also plays a crucial role in effectively implementing monetary policy.
The events that unfolded in the Treasury market a decade ago next month, and the subsequent reports released by the cross-agency working group, brought us together to participate in the first U.S. Treasury Market Annual Meeting. That 'flash crash' served as an alert because we had never seen such significant price fluctuations in the Treasury market in such a short period of time before. The report from the cross-agency working group helped us understand the magnitude of the changes in the Treasury market structure and the role played by high-speed electronic trading firms. It also emphasized the value of cooperation and communication among the five agencies of the working group, which was once again evidenced during the chaos caused by the COVID-19 pandemic.
Today I am delighted to see all the members of the working groups attending the meeting. You will directly listen to many senior leaders, including the (meeting) host, President Williams of the New York Fed, Vice Chairman Bullard of the Federal Reserve responsible for financial regulation, and Secretary Yellen of the U.S. Treasury. Of course, during the first meeting, Yellen acted as the Chair of the Federal Reserve.
As I pointed out in my speech at this (meeting) event in 2015, our country's entire financial framework is built around the ability to quickly and effectively convert government debt into cash flow. I said at the time, 'These markets need to be maintained at a high level of operation, and it is our collective responsibility to ensure that they function this way.' I am still wholeheartedly committed to achieving this goal.
I wish everyone a productive and educational meeting. I am sorry that I cannot personally attend your meeting. The discussions today are important, and I hope you can continue. As our dedication over the past decade to this event has shown, I believe we can do it.
Editor/ping