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Executive Summary

There has been nary a dull moment in U.S. Treasury markets in 2022. While market volatility in August declined slightly (down 8%) from July, year-over-year volatility per the MOVE index was up 100% from August 2021—one of many signs that market participants still don’t agree on where interest rates, volatility and Treasury values are heading next.

Methodology

Coalition Greenwich continuously gathers data and insights from U.S. Treasury market participants, including asset managers, hedge funds, primary dealers, market makers, and trading platforms. The data, once aggregated, normalized and enhanced, is analyzed by our market structure research team who identify key areas of change and the likely direction of volume, holdings, market share, and other trends in the coming months.