SOFR Swap Spreads (2Y, 5Y, 10Y, 30Y)

4 gün önce

This indicator models real-time SOFR swap spreads across 2Y, 5Y, 10Y, and 30Y maturities by comparing SOFR Swapnote Futures (ICEEUR) to corresponding Treasury yields (TVC). It calculates the spread for each tenor and overlays a 90-day moving average as a fair value model, with ±1 standard deviation bands.

Swap spreads are critical signals for funding stress, liquidity dislocations, and systemic risk, especially during events like Treasury General Account (TGA) refills or changes in repo market conditions.

Blue = 2Y, Orange = 5Y, Green = 10Y, Purple = 30Y

When spreads deviate sharply below the model line, it may indicate tightening liquidity or risk-off behavior

When spreads widen, it can signal funding relief or macro shifts

Use this to monitor stress in the yield curve, repo market, and broader macro landscape.

4 gün önce

Sürüm Notları

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