1 mo-Fed funds Spread vs.  3 months-1 month Spread

Reversal on the second, as the primary will increase, because the chance of a default on June 1 will increase.

Determine 1: 1 month treasury invoice unfold – fed funds (blue) and three month treasury invoice unfold – 1 month (tan), each in %. Supply: Treasury and Fed through FRED, and writer’s calculations.

I interpret the rise within the Fed funds unfold in 1 month as a sign of the chance related to default.

For CDS spreads, see this text.

This entry was posted on by Menzie Chinn.

#moFed #funds #Unfold #months1 #month #Unfold

By moh

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