PT  - JOURNAL ARTICLE
AU  - Thomas K. Philips
AU  - Steven Friedman
TI  - The Periodic Treasury Exchange: <em>A Proposal to Increase the Depth and Liquidity of the U.S. Treasury Market</em>
AID  - 10.3905/jpm.2018.44.3.126
DP  - 2018 Jan 31
TA  - The Journal of Portfolio Management
PG  - 126--131
VI  - 44
IP  - 3
4099  - https://pm-research.com/content/44/3/126.short
4100  - https://pm-research.com/content/44/3/126.full
AB  - In recent years, the liquidity of many fixed income markets has declined as banks have stepped away from their traditional role as market makers, but the balance sheets of many electronic market makers are not large enough to support significant positions, particularly in off-the-run securities. In this article, the authors propose a mechanism by which off-the-run Treasury securities can be exchanged periodically with the Department of the Treasury for on-the-run Treasury securities, allowing market participants to better hedge their books, and therefore to transact in significantly larger sizes without fear of disrupting the market or experiencing significant losses from a widening of the basis between near-offsetting long and short positions.TOPIC: Fixed income and structured finance