Stats › Bear markets and drawdowns › March 2020 Treasuries
Treasury market depth fell between 62 and 93 per cent, and the answer depends on the baseline
| Measure | Normal | At the peak of stress | Date of peak |
|---|---|---|---|
| Thirty year bid ask spread | just over 1/32 | over 5/32 | 13 March |
| The same, as a ratio | 1 | over 6 times | 13 March |
| Ten year bid ask spread | about 0.5 ticks | 1.4 ticks | 13 March |
| Five year bid ask spread | 1 | about 1.5 times | 16 March |
| Five and ten year depth | post crisis average | as low as 10% | 12 and 13 March |
| Thirty year depth | post crisis average | 38% | 17 March |
| Price impact per 100 m dollars of net order flow | 1 | 5 to 6 times | 12 and 13 March |
From a central bank research note of 17 April 2020 on the electronic inter dealer broker market for on the run securities, sample 3 January 2005 to 31 March 2020, and from a 2021 inter agency staff report. Spreads are in thirty seconds of a point, not basis points. Neither source gives absolute depth in dollars or absolute price impact figures. Neither reports any significance test.
Two official bodies measured the same collapse against different reference periods. One reports ten year depth down 93 per cent from the February average, the other reports it falling to about ten per cent of its post crisis average.
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