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US Rates: Digging into Treasury market liquidity trends
Jun 21, 2024
Rates strategists Jay Barry and Phoebe White discuss trends in Treasury market liquidity, including increased trading volumes and improved market depth. They note a rise in off-the-run dispersion and dealer inventories. Overall, Treasury market functioning appears to be stabilizing at post-pandemic averages.
15:21
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Quick takeaways
- Market depth is improving, but off-the-run dispersion has increased.
- Dealer inventories are rising, signaling potential market dynamics shift.
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Market Stability and Reversal
Recent market movements, including the reversal of earlier observed patterns like the cheapening of the 20-year sector and the widening of swap spreads, have indicated a semblance of stability. Notable shifts such as the reversal of the cheapening of the 20-year sector and the modest widening of swap spreads suggest a positive trend. Despite some persistent measures of illiquidity, overall market depth appears to be increasing while implied vols have started moving lower, signaling improved stability.
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