A time of strife

Interest rate markets traded as if every day was a big news day during August. Mark Walker of RBS Global Banking & Markets looks back at swap movements and volatility spikes and asks what those meant for mortgage lenders

Most traders will tell you that August was the most volatile period in their markets since September 2001. Equity markets finished the month around 8% down from their highs in late July. At one point in mid-August equities were down 12% before recovering slightly later in the month. Credit spreads crashed wider on almost all benchmark indices as a global flight to high-quality assets took hold.

In particular, mortgage-backed (and especially US subprime-backed) assets, from bonds to commercial