Report: what really happened to Treasury Bond liquidity on October 15, 2014? (Premium Content)

The US Treasury, CFTC and others have released their findings on what happened to US Treasury Bond trading on October 14, 2015 that resulted in an unheard-of spike in prices followed by a sudden reversion. Treasury securities had a 37 bp trading range that day and a 16 bp trading range between 9:33 and 9:45 AM. As the report notes, “Intraday changes of greater magnitude have been seen on only three occasions since 1998 and, unlike October 15, all were driven by significant policy announcements.” Given the otherwise normal trading day, what happened here?

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