Discover and read the best of Twitter Threads about #EFFR
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I was asked about why there are differences in #TEDSPREAD values/plotting, so here’s what you should know. The acronym “TED” is derived from #TREASURIES minus #EURODOLLARS & expresses the difference between theoretically risk free yield & yield with embedded credit risk (cont)…
…classically TED spreads are plotted using same term cash #TREASURY bills against #LIBOR yields. Most often the terms used are 1M & 3M month tenors, though overnight tenors can also be used. Of course any risk free rate can be used such as #SOFR, as in my previous post (cont)…
If you’re wanting to trade #TED spreads using futures and/or you don’t have access to an #EIKON or Bloomberg terminal for cash plots you can construct/trade a viable version of them synthetically using 2Y #TREASURY & #EURODOLLAR futures which is very common (cont)… $ZT $ED $GE
What did saying the Fed continues to put downward pressure on long end yields via “socializing” money markets mean? Combo of standing 5bps RRP rate (was always zero) & increase of IOER to 15bps. ON repo yield EXCEEDS 3MO bills. #FED #REPO #RRP #SOFR cont… 
…now MM funds have no incentive to buy bills in the free market due to standing 5bps floor. On the other side w/the IOER ceiling set @ 15bps T1 banks have built in perpetual 5bps arb borrowing @ 10bps in FF market & earning 15bps on IOER. #FED #IOER #EFFR
…I also think most would be surprised how strong the interest in RRP has become since the new rate was instituted, as well as just how many counterparties beyond T1 banks have access to the window (see current list) newyorkfed.org/markets/rrp_co… #FED #REPO #RRP
