Treasury Market Liquidity Takes Some Blame for Surging Yields

Bloomberg2021-10-22

U.S. Treasury market liquidity is back in the spotlight, and not in a good way. Liquidity has eroded in short-maturity issues in particular, and may be partially to blame for this week’s bloodbath in ...

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Two-year note yields leapt to the highest level since March 2020 and breakeven rates for Treasury inflation-protected securities increased to multiyear highs.\nMarket-implied expectations for Federal Reserve rate hikes may be overblown as a result, JPMorgan strategists led by Jay Barry said in an Oct. 21 note.\n“Market depth in the 2-year sector has continued to drop and is now significantly depressed compared to average levels observed over the last year,” they said. The move in yields has been “exaggerated by poor liquidity conditions,” and prices in “a faster liftoff path than might be warranted.”\nJPMorgan recommended a tactical long position in two-year notes on Oct. 18.\nThe liquidity analysis is based on the amount of bids and offers in Treasury notes and bonds between 8:30 a.m. and 10:30 a.m. New York time, when most trading activity takes place. 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