Financial markets had a very turbulent month in March as more countries around the globe went into lockdowns amid the COVID-19 pandemic. Central banks around the world cut rates and restarted quantitative easing in a coordinated effort to tackle the economic fallout from the spread of the virus. The S&P 500 lost 12.4% in March, while the Japanese equity markets declined 6%. The UK corporate bond index ended the month 7.4% down, while British government bonds gained 1.5%. GBP Solvency II risk-free rates decreased at all terms for the third month in a row as the Bank of England cut the benchmark rate to the lowest level in history. UK’s CPI inflation decreased by 10 basis points to 1.7% in February. Realised volatilities increased sharply in March as major indices experienced volatilities well above their historical averages. Volatility risk premiums increased initially during the first half of the month, but dropped sharply as implied volatilities fell more than realised volatilities during the second half of the month.
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Milliman Market Monitor London - 31 March 2020
Financial markets had a very turbulent month in March as more countries around the globe went into lockdowns amid the COVID-19 pandemic.