Glossary (Adding As We Go)
Regular terms and phrases will be posted here…
B
Basis Trades
this refers to the cash-futures basis trade, unless otherwise stated
C
CIA (Conks Intelligence Agency)
market color and intel obtained by Conks.
CTD (Cheapest to Deliver)
the security that’s cheapest to deliver into a futures contract
E
Ex-month-end dates
days not including the last of the month, when banks aren’t reporting
D
Dealer Banks
bank holding companies (BHCs) with a dealer subsidiary. each big banking name, like JPM and Citi, is structured as a bank holding company, sometimes containing hundreds of subsidiaries with different operations, such as a dealer business
F
FV
Five-Year Note Future
G
GC
repos where the cash lender doesn’t require a specific security to be pledged to them, since they are only concerned about earning yield and not trading the security. these securities are deemed general collateral and trade at similar (GC) rates.
G-SIBs
global systemically important banks
G-SIB Surcharge
an extra capital requirement for banks that qualify as G-SIBs, which are then separated into five buckets — “Bucket 4” being the most systemically important and “Bucket 0” being the least — based on bank size, complexity, interconnectedness, flexibility, and cross-border activity.
Great Rebalancing
a Conks term for the Fed’s rebalancing of its SOMA portfolio
J
Jaws
a Conks term for the Fed’s target range
Upper Jaw = Top of the Target Range
Lower Jaw = Bottom of the Target Range
M
Month-ends
Last business day of the month (usually involving regulatory reporting dates)
Morning Fed Repos
overnight (o/n) Fed repos with morning settlement = the opening leg of the repo (where cash and collateral change hands) settles in the morning. then, after one night (i.e. the next day), the repo unwinds (where cash and collateral return to their original owners + repo interest)
O
Overnight Fed Repos
overnight (o/n) repos with the Fed = cash borrowing from the Fed secured against collateral. when it’s evident that the Fed is the counterparty, Conks will use “o/n repos”, which is generally a shorthand for overnight repos, regardless of the Fed being the counterparty or not. moreover, “the Fed’s SRF” is a shorthand for its o/n repo facility
OMOs
open market operations by the Fed, such as RRPs and repos
Overnight Fed RRPs (reverse repos)
overnight (o/n) reverse repos with the Fed = cash lending to the Fed secured against collateral from its asset portfolio (the SOMA). Conks refers to these also as “o/n Fed RRPs” or, in some cases, when it’s evident that the Fed is the counterparty, simply “o/n RRPs” — which is generally a shorthand for overnight reverse repos, regardless of the Fed being the counterparty or not. moreover, “the Fed’s RRP” is a shorthand for its o/n RRP facility
o/n FF (Overnight Fed Funds)
the average interbank lending rate in the Fed(eral) Funds market
o/n TPR
the average overnight rate in the triparty repo market
P
POMOs
permanent open market operations
Q
“Quants” (jokingly)
definitely not real quants
QE - Quantitative Easing
the Fed expands its balance sheet (↑ASSETS, ↑RESERVES), buying safe assets to absorb interest rate risk and stimulate risk assets/economy
QT - Quantitative Tightening
the Fed reduces its balance sheet (↓ASSETS, ↓RESERVES) by rolling off existing asset purchases, duration absorbed
R
RMOs
reserve management operations (covered here)
S
SERFF
Most STIR desks will call the SOFR-FF basis simply “SERFF” (sir-eff-eff or serf). This is the Bloomberg code for SOFR-FF (inverted spread because futures are quoted as 100-implied rate), i.e. SOFR minus Fed Funds, the basis (difference) between SOFR (the Fed’s repo rate benchmark) and FF (a.k.a EFFR, the Fed’s policy rate and a measure of interbank lending rates) as implied by the futures market. SOFR (CME ticker: SR1) and FF (CME ticker: ZQ) futures are quoted at 100 minus the rate implied by the futures market, meaning a positive SOFR-FF futures spread implies easier conditions. In comparison, a positive “realized spread”, the actual SOFR-EFFR spread of rates published by the Fed, means tighter conditions. futures pricing for the basis in March 26 is viewable by typing “CME:SR1H2026-CBOT:ZQH2026” on TradingView or SERFFH6 on Bloomberg. note: “H” is the CME calendar code for March.
SOFR-FF BASIS
SOFR minus Fed Funds, the basis (i.e. difference) between SOFR (the Fed’s repo rate benchmark) and FF (a.k.a EFFR, the Fed’s policy rate and a measure of interbank lending rates)
Specials
issues of bonds with repo rates trading significantly below other similar issues due to being in high demand (such as a bond that’s cheapest to deliver (CTD) into a futures contract)
SOMA
the SOMA (System Open Market Account) is the Fed’s asset portfolio, which it uses when engaging in open market operations (OMOs)
(UST) Swap Spreads
the difference between the fixed rate of an interest rate (SOFR or EFFR, but mostly SOFR) swap and the yield on U.S. Treasuries at the same maturity, which captures the difference in regulatory costs to intermediate SOFR swaps versus the cost to intermediate U.S. Treasuries
STIR
Short-Term Interest Rates
T
TBAC
Treasury Borrowing Advisory Committee
Triparty
the triparty repo market
TU
Two-Year Note Future
TY
Ten-Year Note Future
TOMOs
temporary open market operations
U
UST
U.S. Treasury Security
US (Future)
T-Bond Future
W
WN (Future)
Ultra T-Bond Future