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?
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
Always grateful
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!