Deutsche Bank: Why The Fed Can't Ignore Treasury Market Illiquidity
An attempt at measuring liquidity in the Treasury market
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On October 15, Wall Street let out a collective gasp as yields on U.S. government bonds veered wildly. For minutes, sellers appeared to simply step away from the market - leaving the yield on the benchmark 10-year Treasury to plunge 33 basis points before rising to settle at 2.13 percent.
Concerns over liquidity in U.S. Treasuries have subsequently bubbled over with the International Monetary Fund, JPMorgan chief executive Jamie Dimon and plenty of others all sounding the alarm about the ability of the $12 trillion market to withstand a sell-off.