In this report, the Committee on Capital Markets Regulation (the “Committee”) describes the turmoil in the U.S. Treasury market during March 2020, with a focus on the unexpected rise in Treasury yields, the illiquidity in the Treasury market and the subsequent intervention by the Federal Reserve to stabilize the market. We then describe the market structure for trading U.S. Treasuries as well as trade reporting requirements and public information regarding the owners of Treasuries.

We find that policymakers and the public lack the transaction data to comprehensively determine the source of selling in March 2020 that drove the volatility in the U.S. Treasury market.

The full report can be found here.