Liquidity Lapse: Don’t Say You Weren’t Warned

Back in the summer of 2015, UBS released a note that highlighted an interesting trend. Treasury market participants, the bank observed, were eschewing the cash market in favor of futures. Specifically, UBS looked at turnover in the cash market versus futs turnover. What they discovered wasn't surprising, although it was slightly disconcerting if you care about market liquidity. Here are some excerpts and a visual from the note: For the past three months, daily average futures volume stands at