Current market prices, as of yesterday’s close, plus an appendix of historical trends.

A Brief Background

The emergence of the global pandemic COVID-19 in the first quarter of 2020 has caused severe economic and capital markets shocks. In light of these market dislocations, SIFMA Research is tracking daily market metrics (prices, volumes, rates) across equities, listed options and various fixed income and securitized products markets. Additionally, we show the trends for the first quarter.

The turmoil is evidenced by the sharp price declines – yet spikes in volumes – in equities markets. U.S. equities closed the first quarter with their worst performance since the financial crisis:

• The S&P 500 closed at 2,584.59 (-21%), the DJIA at 21,917.16 (-24%), the Nasdaq at 7,700.10 (-15%) and the Russell 2000 at 1,153.10 (-31%)
• Meanwhile, the CBOE Volatility Index (VIX1) jumped to 53.54 from just 12.47 to start the year (+329%), peaking at 82.69 (+563%)
• We note that throughout this period of extreme volatility markets remain open and functioning as intended.

The pandemic also created enormous one-way flows from risk to safe assets, and the ability to absorb flows was beyond the capacity of the financial system. This created substantial liquidity constraints in many fixed income and securitized products markets. In an attempt to rectify the situation, the Fed undertook unprecedented actions to buy financial assets, unclog the pipes of the financial system and increase its capacity. This included robust purchases of UST, agency MBS and agency CMBS.

The Fed’s actions were followed by multiple phases of fiscal stimulus, enacted by Congress and the U.S. Treasury to support the economy.