Trading in U.S. Treasury securities is increasingly clustering around specific closing times, with activity now heavily concentrated at 4 p.m. following a major shift in how bond indexes are priced, according to new research from the Federal Reserve Bank of New York published today. On the last trading day of each month in 2025, roughly one-fifth of all daily Treasury volume now executes in the ten minutes surrounding 4 p.m., up from 11.6 percent in 2021. The concentration follows a January 2021 decision by Bloomberg Fixed Income Indices, one of the largest index providers, to move its strike time from 3 p.m. to 4 p.m.
The data reveal a dramatic migration of trading from afternoon to late afternoon. Across all trading days, the share of volume in the ten minutes around 3 p.m. climbed from 2.3 percent in 2016 to 3.4 percent in 2020, then plunged when Bloomberg changed its strike time in early 2021. Meanwhile, the share around 4 p.m. surged immediately after the switch and has continued rising, reaching 3.5 percent in 2025. On month-end days specifically, the pattern is even sharper: activity around 3 p.m. rose from 8.1 percent in 2016 to 12.1 percent in 2020, then collapsed after the index change, while the 4 p.m. window jumped to 20.4 percent by 2025. The half-hour window between 3:45 and 4:15 p.m. now accounts for more than a quarter of all daily volume on month-end trading days, with roughly half of that occurring in just the five minutes from 3:55 to 4:00 p.m.
The authors write that their results "provide strong evidence that index pricing conventions materially shape when Treasury trading occurs." The research also complements earlier findings that overall Treasury trading volume runs about 58 percent higher on the last day of the month compared to other days, a concentration that has increased sharply over the past decade. The shift in intraday patterns is visible across the trading day: in 2016, volume spiked at 8:30 and 10 a.m. when macroeconomic data was released, after 1 p.m. auction results, and around the 3 p.m. strike, with much smaller bumps at 4 and 5 p.m. By 2025, the 4 p.m. spike had become far more pronounced, while volume shares rose for every five-minute interval from 3:10 p.m. to 5:05 p.m.
The researchers suggest the growing concentration reflects the expansion of assets managed relative to fixed-income indexes, many of which rebalance at month-end. Bloomberg's decision to move its strike time to 4 p.m. was partly intended to reduce tracking error for funds required to price portfolios using 4 p.m. prices, according to industry reports cited in the study. Unlike equity markets, the Treasury market is over-the-counter with no exchange-mandated close, giving index providers discretion over when to set closing prices. Historically, 3 p.m. was the industry standard, partly because open-outcry trading for Treasury futures ended then and the timing allowed lead time before mutual funds calculated net asset values at 4 p.m. The abrupt shift in trading activity when Bloomberg moved its strike demonstrates how heavily market participants now track index benchmarks, with the timing of index pricing directly dictating when billions of dollars in trades execute each day.