New analysis highlights just how unusual the surge in trading of US Treasuries was last month, just a minute before the release of closely watched inflation data.
(Bloomberg) — New analysis highlights just how unusual the surge in trading of US Treasuries was last month, just a minute before the release of closely watched inflation data.
The trading volume for 10-year Treasury note futures during the 60 seconds before the Dec. 13 release of November’s consumer price index was more than three times greater than in any minute immediately preceding the release of the prior 24 CPI reports, according to David Wilcox, director of US economic research at Bloomberg Economics. That’s a stretch that goes back to late 2020.
Price movements in those contracts were similarly extreme, more than three times as great as they had been in the corresponding 60 seconds before the last 24 reports.
Volume in the minute before the December release also exceeded the highest experienced in any minute in the quarter hour preceding any of those earlier reports — a total of 360 minutes.
The movements were “extremely unusual,” Wilcox said in summing up his report. The findings “do not prove that illicit trading occurred” on Dec. 13, “but they substantiate calls for regulators to take a close look at what happened that day,” he said.
Exceptional Volume on Dec. 13
In the 60 seconds leading up to the 8:30 a.m. release last month, the March futures contract on 10-year notes traded more than 13,000 times. That’s during a period when activity is typically very slim. US stock futures also spiked by more than 1%.
Whoever made those bets profited, as the data ultimately showed prices rose at a surprisingly slow pace, causing stocks and bonds to rally even higher. The incident raised suspicions that some market participants might have gained access to the data before their public distribution.
President Joe Biden’s press secretary, Karine Jean-Pierre, later that day rejected the notion that anyone in the White House might have leaked the data, and dismissed the incident as “minor market movements.”
Asked whether the White House still regards the Dec. 13 moves as minor, a spokesperson didn’t immediately comment.
Handling Practices
The Securities and Exchange Commission and the Commodity Futures Trading Commission have each declined to comment on whether the incident is under investigation.
The Bureau of Labor Statistics, which develops and publishes the information, said the handling of the November CPI report was subject to the same strict protocols as for every release of sensitive economic data. The BLS also said it had found “no evidence” its information systems had been compromised.
Aside from BLS staff, who begin compiling the report about a week before its publication, a small circle of government officials also receives advance access to the data, including some staff at the White House Council of Economic Advisers.
The CEA then shares the data with key figures across the White House, Treasury and Federal Reserve, including Treasury Secretary Janet Yellen and Fed Chair Jerome Powell. It also briefs the director of the National Economic Council, Brian Deese, and the president.
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