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J.P.Morgan Note A Larger Than Usual Deterioration In Summer Liquidity

US TSYS

J.P.Morgan note that "Treasury market liquidity remains relatively impaired. On average (based on 5 years of data), market depth tends to decline about $50mn from mid-July into Labor Day, a 20%-pt decline over that 6-week period. The seasonal decline this summer has been about twice the average seen over the last 5 years. While liquidity has rebounded somewhat from its local lows, it remains closer to levels observed around year-end, and is likely exaggerating some of the recent moves as well."

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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