ABSTRACT
Leverage and Margin Spirals in Fixed Income Markets During the Covid-19 Crisis [open pdf - 0B]
From the Key Takeaways: "[1] For a two-week period in mid-March 2020, government bond markets experienced uncharacteristic turbulence, sometimes selling off sharply in risk-off episodes when they would normally attract safe haven flows. [2] Evidence in the US Treasury market points to forced selling of treasury securities by investors who had attempted to exploit small yield differences through the use of leverage. [3] Even though government bonds are safe assets, large holdings by leveraged investors may detract from orderly market functioning and may necessitate interventions by the central bank."
Report Number: | BIS Bulletin No. 2; Bank for International Settlements Bulletin No. 2 |
Author: | |
Publisher: | |
Date: | 2020-04-02 |
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Copyright: | 2020 Bank for International Settlements |
Retrieved From: | Bank for International Settlements: https://www.bis.org/ |
Media Type: | application/pdf |
URL: |