We examine the effects of foreign trading of U.S. Treasuries on the market's microstructure. Two intervals, the first characterized by heavy run-ups in foreign ownership (1/1994–6/1997), and the second by multiple indicators of peaking of foreign ownership (7/1997–2000), are followed. Our findings reveal systematic effects associated with foreign trading. For instance, reductions in liquidity and trade sizes, and increases in informational asymmetry and dealer risk aversion, accompany falling demand for Treasury debt. Moreover, in this environment, foreign trading volume plays a larger explanatory role about the market's microstructure, than in an environment of rising demand. We also find dealer reactions to foreign transactions vary across the term-structure.