The week ending March 20, 2020, saw the worst week in stock markets since the financial crisis of 2008. The S&P 500 price index fell 15%, but that wasn’t the only headline in financial markets. The week saw large amounts of volatility, with the CBOE Volatility Index (VIX) peaking at close to 83 on March 16. In the U.S. Treasury market, 10-year bond yields trading in a 65bps wide range through the week, and 30-year bond yields traded in a similar range. Investment grade credit markets were stressed with spreads on the aggregate and long duration index, increasing approximately 100bps to 302bps and 334bps, respectively. High yield came under pressure with spreads moving to 976bps. This was truly a challenging week for risk assets and all market participants as they grappled with pricing second order effects from the economic fallout of this terrible virus.
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Market data sourced from Factset
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