The recent spikes
were higher than
during the global
financial crisis.Fig. 1 To view the historical anomaly in Treasury bid-ask spreads, run {G #FFM 362 <GO>}.Fig. 2 For a spreadsheet that lets you monitor spreads, run {DOCS 2093504 <GO>}
and click the Download Document button.Kothari is a fixed-income, rates, and derivatives market and risk
specialist. Lipinski is a BQL and fixed-income advanced specialist.FO R LIV E DATA O N B I D -A S K spreads per maturity bucket: Type
“DOCS 2093504” in the command line and hit
Download Document button to open a spreadsheet that uses
Bloomberg Query Language to aggregate the average bid-ask
spreads on Treasury trades (FIG. 2).
BQL combines data retrieval with analytics to provide precise
answers to quantitative questions. It allows users to synthesize
large amounts of data and perform custom calculations in seconds.
The first column shows elevated bid-ask spreads seen on
March 13. The column to the right shows the spreads on the current
day. Users may compare additional dates by typing in the amber
date box at the top of each table. Scroll down to see a chart
comparing the bid-ask spread across all maturity buckets for
the two dates. The spreadsheet displays Treasury bid-ask spreads
in yield terms. It can be used to analyze data as far back as
four years.
The bid-ask spread on U.S. Treasuries reached 11 basis points
for notes with maturities of 7 to 10 years on March 18 in New York,
higher than the 9 basis points seen on March 13, before the Fed cut.
Refresh the sheet to update the current day’s data. Change
the start date to Feb. 18 to see that the spread was less than 1 basis
point a month earlier.
It was certainly not what Powell was hoping to see.<GO> INSIDE THE TERMINAL 47