Skip to content
Subscriber Only

Treasury Market Liquidity Sours as Traders Gird for Taper Clues

  • JPMorgan data shows market depth is at lowest since March
  • Impact of each trade near the upper end of past year’s range

The ability to trade in the world’s biggest debt market is deteriorating just as traders are on high alert ahead of the Federal Reserve’s Jackson Hole symposium next week for clues on the timeline for tapering stimulus.

A key gauge of Treasury liquidity -- market depth, or the ability to trade without substantially moving prices -- has fallen to the lowest in more than five months, according to JPMorgan Chase & Co. data. Ten-year yields hover at about 1.25%, up from a six-month low of 1.13% touched on Aug. 4. Stronger-than-expected July payrolls released earlier this month gave some lift to yields though growth concerns triggered by surging coronavirus cases has since weighed on them.