J.P.Morgan Flag Impaired Liquidity Conditions During Latest Rally

J.P.Morgan note that "certainly, the pullback in both business and consumer confidence has stoked further concerns on how the COVID Delta variant and its spread in the U.S. will impact growth over H221, but we have found that thus far, U.S. mobility has continued to move up in the face of rising infections. We think this rally is occurring amid impaired liquidity conditions: Treasury market depth has continued to decline in recent weeks, and now at its lowest levels since early March, when yields were moving rapidly higher amid increased vol. and a series of weak Treasury auctions. Moreover, price impact has risen as well, indicating the footprint of each trade in the Treasury market is approaching the upper end of the range observed over the past year."