📝 Sovereign Bonds Market Depth At Worst Levels Seen Over Last Five Years: Goldman Sachs

US yield curves are becoming sticky, with much deeper inversion unlikely as markets anticipate a downshift in the Fed’s pace of hikes after the November meeting. Market microstructure continues to be exceptionally weak across sovereign debt markets, with top-of-book market depth in bond futures contracts across geographies being close to the worst levels of the past five years. This poor “supply” of liquidity means that realized volatility will likely remain high, and indeed feed on itself; high delivered volatility leads to further reduction in the supply of liquidity.

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