Cash Treasuries vs Futures on October 15, 2014

June 18, 2015 - On the morning of October 15, 2014, between 9:35 and 9:45 New York time, yields on US Treasury securities underwent their largest single-day drop since 2009, and quickly recovered. For example, the yield on the 10-year note fell from 2.05% to 1.873% before recovering. Articles in The Wall Street Journal1 , Financial Times2 , and Bloomberg3 have suggested that these sharp price moves may have been in part due to the increasing prevalence of electronic trading, which is destabilizing the market for US Treasury cash products and futures.

Request the full whitepaper by filling out the form below.