Treasury Market Liquidity Takes Some Blame for Surging Yields
- Liquidity is ‘significantly depressed’ in 2-year sector: JPM
- Broader Treasury liquidity metric is worst since March 2020
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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 U.S. rates, according to JPMorgan Chase & Co. Two-year note yields leapt to the highest level since March 2020 and breakeven rates for Treasury inflation-protected securities increased to multiyear highs.