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

US Treasury

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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