A joint U.S. officials staff report revealed that last year's bond market "flash crash" could not be attributed to a specific cause, but rather to a number of contributing factors.
The report, which was composed by the New York Fed, the SEC, the U.S. Treasury Department and the U.S. Commodity Futures Trading Commission, said that there was an unprecedented number of short positions unwound on Oct. 15, 2014, as well as a decline in order book depth, and changes in order flow and liquidity provision.
It added that another "notable aspect of trading on October 15 was the heightened level of self-trading during portions of the event window. Self-trading, for the purpose of this report, is defined as a transaction in which the same entity takes both sides of the trade so that no change in beneficial ownership results. Self-trades appeared in both cash and futures market data at varying levels across firms and time periods.28 In the cash market for 10-year Treasury securities, for example, self-trading represents 5.6 percent of the total activity on control days, and 4.2 percent on October 15."
That day, yields on the benchmark 10-year notes plunged about 30 basis points from its previous-day close of 2.2 percent to about 1.9 percent from about 9 a.m. to 9:36 a.m. ET.
Once it reached the 1.9 percent trading levels, however, the benchmark yield spiked to trade above 2 percent once more within 15 minutes. U.S. Treasurys settled higher from their previous closing, yielding 2.12 percent.