黄金：除了名字，其他都是HQLA

Gold: an HQLA in all but nameOur analysis complements these findings by examininggold’s behaviour over the past six months, including themost recent period of extreme bond market volatility duringApril of this year. Concretely, we focus on a few key HQLAcharacteristics:•Active and sizable market– evidence of breadth anddepth through high trading volumes, narrow bid-askspreads, and diverse number of participants•Low volatility– asset prices should be relatively stable,even under stress•Flight to quality– an asset’s reliable behaviour during atime of systemic crisis that signals market participantsconfidence.Calm amid chaos: gauging gold’s nervesAssets that demonstrate stable price action and are lesssusceptible to sharp price swings, particularly to thedownside, are considered to have a low volatility factor.Historically, gold has demonstrated comparable volatility towell diversified equity and commodity indices, andsignificantly lower volatility than most if not all individualcomponents of these indices. But how does gold comparewith traditional Level 1 HQLA assets7– specifically, USTreasuries?Using intraday minute-by-minute data, we find that gold’saverage daily volatility is 0.027%. This is above the volatility ofthe 10-year on-the-run (OTR) Treasury notes at 0.016%, butin line with 30-year OTR US Treasury bonds at 0.028%.7.Level 1 HQLA refers to the highest quality assets – such as central bank reserves andsovereign bonds rated AA or higher, that require no haircut. SeeBasel III Framework.8.Trump sets 25% Steel, Aluminium Tariffs, Widening Trade War | Bloomberg9.Trump’s Tariffs Send Shockwaves Across Global Economy | MSNChart1: Gold’s volatility factor is in line with, if not morefavourable than, US Treasuries during periods of turmoilLevel 1 HQLAs (10-year and 30-year US Treasuries) and gold intraday volatility**Daily volatility computed using returns on 1-minute data increments from 6 November 2024 to 30 April 2025. Gold based on spot price (XAU) in US$/oz. US Treasuries based on “on-the-run”(OTR) 10-year and 30-year notes, respectively.Source: Bloomberg, World Gold Council0.00%0.02%0.04%0.06%0.08%0.10%0.12%6-Nov-2427-Nov-2418-Dec-248-Jan-25Intraday volatilityGoldPeriod 1:25% steel andaluminum tariff announcedPeriod 2:LiberationDayPeriod 3:Gold ATH + Chinatariffs reduced Further, to test resilience under stress, we examined threerecent periods of elevated market-wide turmoil (Chart1):•10–13 February 2025– Trump announced a 25% tariff onsteel and aluminium imports.8During this period, boththe 10-year and 30-year OTR Treasuries experienced anuncharacteristic selloff and noticeable volatility spikes,while gold remained largely unaffected.•2–11 April 2025– Trump announced global tariffs on 2April (dubbed “Liberation Day”)9that were escalated andbroadened in subsequent days but eventually paused on9 April for most trading partners (except China).10Gold’svolatility increased but was similar to that of the 10-yearOTR Treasury and below that of the 30-year during thisperiod. Further, while a good portion of US Treasuryvolatility was driven by price pullbacks as tensionsincreased – contrary to what would have been expected ina flight-to-quality period – gold prices soared and reachedrecord levels.•21–23 April 2025– Gold reached a new all-time-high(ATH) on 21 April amid broader equity market turmoil butlater fell, following subsequent statements from Trumpannouncing that tariffs on China would “come downsubstantially”.11While gold volatility spiked, it remainedbelow previous peaks observed in the 10- and 30-yearTreasuries.10.How fears of a bond market catastrophe convinced Trump to hit the pause button |CNN11.Gold drops as Trump’s softer stance on Fed and China ease fears | BNN Bloomberg29-Jan-2519-Feb-2512-Mar-252-Apr-2523-Apr-2530y OTR10y OTR 02 However, by 8 April – when volatility peaked, and Treasuryspreads widened and sold off14– gold’s spread hadnormalised and tightened further.As shown inChart3, gold’s ability to maintain or eventighten its spreads during periods of heightened volatilityunderscores its depth and resilience as a liquid asset.Liquidity in motionAnother key criterion for an asset to qualify as a HQLA is thepresence of an active and deep market. While spreadscapture one aspect of liquidity, aggregate daily tradingvolume provides another critical lens.Gold’s LBMA OTC average daily trading volume betweenNovember 2024 and April 2025 was US$145bn/day.15Thiscompares favourably to US Treasuries with durations ofbetween 7 and 10 years, which averaged US$143bn over thesame period. For longer-dated Treasuries (>20-years), theaverage daily volume was lower at US$72bn.16As depicted inChart4, gold’s trading is not only substantialbut also consistent, placing it on par with the highly liquid10-year Treasury market – often recognised as the mosttraded and liquid government bond globally.In addition, we can see that in early April the increase involumes for Treasuries was driven by selling due to tariff