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Can CGBs emulate US Treasuries as initial margin on cross-border derivatives trades?
Industry insiders describe a frontier business with few rules – and plenty of questionable practices
Liquidity in Treasuries saw a sharp deterioration on February 25, with bid/offer spreads across the whole curve tripling. Belly flies such as 2/5/10s cheapened over 17bp, seven times greater than in a typical session. This had a knock-on effect on off-the-run Treasuries. The head of rates at a US buy-side firm says one popularly traded deep off-the-run 30-year bond that regularly trades two ticks wide blew out to 12-13 ticks wide on February 25.Read the full article
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