Liquidity events becoming more common, buy-siders claim
A hedge fund stops trading off-the-run US Treasury debt; a private equity firm sees its currency trading costs double; an asset manager routinely sells high-yield bonds at a two-point discount. Asset managers tell Taylor Harrison about liquidity risk in the post-crisis markets
Ask any asset manager about liquidity in the rates market and the conversation will, sooner or later, turn to the sudden melt-up in Treasury yields on October 15, 2014.
"There have only been a couple of times that I've seen anything remotely close to it," says Lundy Wright, a partner and portfolio manager for interest rate strategy at Weiss Multi-Strategy Advisers, a hedge fund in New York (Risk December 2014).
No less than five US regulatory agencies, including the Federal Reserve Board and
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