Like nearly every other financial market, the Treasury market is in a state of transition. The structure of the Treasury market has evolved significantly over the past two decades, as described in the Joint Staff Report.Advancements in technology, and the associated growth in high-speed electronic trading, have contributed to changes in intermediation and the provision of liquidity in the Treasury market. Most notably, principal trading firms (PTFs) are increasingly prevalent and now account for the majority of trading and standing quotes in the order book in both futures and the inter-dealer cash market. By contrast, bank dealers still account for a majority of secondary cash market trading overall, but they comprise well under half of the trading and quoting activity in the inter-dealer cash market. This post starts with a review of several traditional measures used to assess the state of liquidity in the Treasury market […]