Temperature Check: Which Assets Are Overheating As Liquidity Collapses
The latest Goldman Market Stress Monitor summarizes various measures of market dislocation and stress across asset classes. It starts by showing the latest „temperature check“ which reflect where the price of a given asset class is relative to its historical percentile.
Goldman next notes that while in credit markets, conditions have largely normalized, with most of the bank’s metrics at historically normal levels, the bank notes that in the rates market, there has been a meaningful deterioration in Treasury market liquidity and market depth exacerbated the UST market sell-off, though even so, conditions remain considerably better than last March on a variety of metrics.
In equity markets, liquidity conditions also remained well below-average and deteriorated sharply late last week.
Finally, in FX markets, the bank observes that depth spreads similarly widened amid the resumption in market volatility late last week, though levels remained well-below the spike seen last year.