Dummy q but what would tightening or widening swap spreads signify anyway? Same for SOFR/FF. No good explanation online. Swap Spreads tell us there are funding pressures as TSYs sold off? Same for SOFR FF?
what data did you use for DVP, GCF & TPR? On OFR, they have all sorts of DVP for example, DVP in less than 30 days, more than 30 days, dvp over night etc.. and why?
How did you get the estimate of NCCBR? did you go through the reports (I find even in the report there is no figures .. just a chart) or did you average other rates with weights?
Are there any relationship between sofr/ff basis, and bond swap spread? Because one is funding market indicator and the other is arbitrage trade, are they related to floating side?
Tigtening swap spread trade is not same as tightening swap spread?
Long swap spread trade means receive (long) Treasury yield and pay (long) SOFR swap rate? Short is the reverse?
"sponsored repo has yet to reach its full potential."
What is the "full potential" of sponsored repo? Is this just re: when mandatory central clearing takes effect?
Also, how do you explain a wider GCF-TPR spread (indicating dealer balance sheet less flexible) with a tighter TCGR-RRP spread (indicating excess cash in system)? That doesn't make sense to me. I'm only talking about the recent prints.
Dummy q but what would tightening or widening swap spreads signify anyway? Same for SOFR/FF. No good explanation online. Swap Spreads tell us there are funding pressures as TSYs sold off? Same for SOFR FF?
will eventually get round to explaining this
Swap Spreads primer would be highly appreciated! Still trying to get my head around the cost of leverage thing
real
real
Always grateful
Hi there, another one if you don't mind:
What is the Reserve data used in "Comfortable Reserve Levels" in "Money Market Stress Monitor" ?
bank reserves weekly https://fred.stlouisfed.org/series/WRESBAL
Hi there, may I ask
In the Non-Fed Repo Rates Complex chart
what data did you use for DVP, GCF & TPR? On OFR, they have all sorts of DVP for example, DVP in less than 30 days, more than 30 days, dvp over night etc.. and why?
How did you get the estimate of NCCBR? did you go through the reports (I find even in the report there is no figures .. just a chart) or did you average other rates with weights?
Thank you very much
NCCBR trades above DVP at a spread, i’m estimating the spread based on limited data
scroll down a little on the following page for repo rate series
https://www.financialresearch.gov/short-term-funding-monitor/market-digests/rates/chart-18/
Are there any relationship between sofr/ff basis, and bond swap spread? Because one is funding market indicator and the other is arbitrage trade, are they related to floating side?
Tigtening swap spread trade is not same as tightening swap spread?
Long swap spread trade means receive (long) Treasury yield and pay (long) SOFR swap rate? Short is the reverse?
Thanx... Great job!
Thanks as always Conks. Two quick questions:
"sponsored repo has yet to reach its full potential."
What is the "full potential" of sponsored repo? Is this just re: when mandatory central clearing takes effect?
Also, how do you explain a wider GCF-TPR spread (indicating dealer balance sheet less flexible) with a tighter TCGR-RRP spread (indicating excess cash in system)? That doesn't make sense to me. I'm only talking about the recent prints.
Thank you!