The Treasuries market's harrowing swing on Oct. 15, 2014, resulted in part from banks and high-frequency traders, U.S. authorities said in a report released Monday.
In a six-minute window that morning, banks essentially pulled out of the market, providing no, or very few, offers, the U.S. Treasury and other agencies said. At the same time, high-frequency trading firms exacerbated the situation by often being on both sides of the same trade, according to the report.
The rapid buying and selling caused Treasury yields to plunge and then rise, covering a 37-basis-point range during a 12-minute period starting at 9:33 a.m. Intraday changes of greater magnitude have only happened on three occasions since 1998, and unlike October's movement, were driven by significant policy announcements.
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