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I've been talking about swap spreads for the last couple months, last week they make a huge move. To understand what it was and why it matters, let's talk about interest rate swaps and what their spreads to US Treasuries really tell us. What is this all about? In simple terms: the most direct window into shadow money and deflation potential.
Eurodollar University's Money & Macro Analysis
BIS Working Papers No 705
An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans
https://www.bis.org/publ/work705.pdf
FRBNY: Negative Swap Spreads
https://www.newyorkfed.org/medialibrary/media/research/epr/2018/epr_2018_negative-swap-spreads_boyarchenko.pdf
Twitter: https://twitter.com/JeffSnider_AIP
https://www.eurodollar.university
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What is Eurodollar University?
Jeff Snider will guide you through the realm of monetary science. Multiple episodes uploaded each week, discussing big news and key current events, the state of markets and what they are telling you, as well as historical summaries and deep background material so that you can understand what’s really going on in this eurodollar’s world.