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Stats › Bearmarkten en drawdowns › March 2020 Treasuries

Treasury market depth fell between 62 and 93 per cent, and the answer depends on the baseline

MaatstafNormaalAt the peak of stressDate of peak
Thirty year bid ask spreadjust over 1/32over 5/3213 maart
The same, as a ratio1over 6 times13 maart
Ten year bid ask spreadabout 0.5 ticks1.4 ticks13 maart
Five year bid ask spread1about 1.5 times16 maart
Five and ten year depthpost crisis averageas low as 10%12 and 13 March
Thirty year depthpost crisis average38%17 March
Price impact per 100 m dollars of net order flow15 to 6 times12 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.

-93%Ten year depth against the February average
-76%Thirty year depth, same baseline
to 38%, about -62%Thirty year depth against the post crisis average
over six times its post crisis averageThirty year bid ask spread

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