Bond market volatility has increased in lockstep with uncertainties about the Omicron variant and the likely course of central bank monetary policy to combat inflation.
Less noticed, liquidity has deteriorated even in the world’s most actively traded bond market. It will now be difficult for investors who are long and wrong on rates to average out without a great deal of pain.
Heading into December, Bank of America’s MOVE index of US Treasury volatility was at highs not seen since the omnicrash on lockdowns in April 2020.
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