days or months. The tool uses Composite Bloomberg Bond Trader
(CBBT) data, which aggregates executable bids and asks from the
Bloomberg terminal.
Global sovereign debt suffered sharp losses on March 18,
driving benchmark 10-year Treasury yields up almost a percentage
point from their record low a week earlier, amid a rush to sell even
the highest-quality assets.
For an indication of how recent bid-ask spreads deviated
from normal market conditions, type “G #FFM 362” into the
command line and hit <GO> (FIG. 1). (To create the chart, run
{USGG10YR Index GP <GO>}, click Chart Content, click the pencil
next to the ticker, select Spread, and enter the same ticker twice,
but with bid price and ask price.)Just How Crazy Is Trading?
Track Treasury Market Liquidity
To Find Out
By SUKETU K KOTHARI and KRYSTA LIPINSKI
Rates
IN MID-MARCH, the bid-ask spreads for U.S. Treasuries—a key
measure of liquidity—widened beyond the levels seen during the
2008 financial crisis.
That was a bad sign, coming just days after the Federal Reserve
cut its benchmark rate close to zero and Fed Chair Jerome Powell
said, “We’re really going to be looking to see that financial markets
are returning to more liquid, more normal functioning.”
One way to check the “more normal functioning” goal is to
monitor bid-ask spreads, the gaps between the prices on bids to
buy bonds and the offers to sell them.
How can you do that? Use Bloomberg Query Language to
track the gap between bids and offers of on-the-run Treasuries
by maturity bucket, and compare them to points during recent
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