Swaps liquidity slumps as Treasury stress spreads
Big buy-side participants report “worst day” for market depth in 10 years, as spreads widen and prices gap
Liquidity continued to worsen in US dollar interest rate swap markets yesterday – another day of savage volatility, in which the US Treasury market was also under stress. Three large buy-side swaps users reported pricing dislocations, widening spreads and a dwindling number of dealers willing to provide quotes.
At the start of the week, market-makers told Risk.net liquidity was as bad in some instruments as it had been during the 2008 financial crisis. On March 9, the 30-year swap rate swung
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