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Deposit Outflow Rate
Deposit outflow rate measures the pace at which deposits leave the banking system or individual banks, helping assess funding stability and confidence.
Net Stable Funding Ratio
Net Stable Funding Ratio — Stable funding versus long-term assets — constrains maturity transformation.
Too Big to Fail
Too big to fail is the expectation that a firm’s collapse would force a public rescue — a subsidy in funding spreads and a policy problem.
Funding Valuation Adjustment
Funding Valuation Adjustment — Funding cost adjustment in uncollateralized derivative books.
Crypto Perpetual Funding Rate
Crypto Perpetual Funding Rate — Periodic payment between longs and shorts that anchors perp to spot.
Crypto Futures CTA
Trend and carry on BTC/ETH (and maybe a few alts) using listed or crypto-native perps — a young sleeve with 24/7 gaps and funding.
General Collateral
General collateral (GC) is repo against a basket of acceptable Treasuries (or other eligible bonds) rather than a specific CUSIP — the opposite of specials.
Asset Swap Spread
Asset Swap Spread — Spread between bond yield and floating leg, linking credit and funding markets.
CDS Basis Trade
CDS Basis Trade — Arbitrage between cash bonds and CDS contracts revealing funding and counterparty frictions.
Carry Trade FX
Carry Trade FX — Funding low-yield currencies to invest in high-yielders — pro-cyclical and crash-prone.
Bank Term Funding Program Usage
BTFP usage tracks how much funding banks obtain through the Bank Term Funding Program, offering insight into balance-sheet stress and demand for official liquidity backstops.
Commercial Paper Spread
Commercial paper spreads track the cost of short-term corporate borrowing relative to safer benchmarks and help identify stress in corporate funding markets.
Discount Window Borrowing
Discount Window borrowing measures bank use of Federal Reserve emergency liquidity and serves as a signal of funding pressure and banking-sector strain.
FRA-OIS Spread
FRA-OIS spread measures the difference between interbank funding expectations and overnight indexed swap rates, often used as a gauge of banking and short-term funding stress.
Funding Liquidity Spiral
Funding Liquidity Spiral — Asset-market illiquidity and funding stress reinforcing each other.
LIBOR-OIS Spread
LIBOR-OIS spread tracks the gap between unsecured bank funding rates and overnight indexed swap rates, historically serving as a benchmark for banking-system stress.
SOFR
SOFR is the Secured Overnight Financing Rate, a key benchmark for U.S. dollar funding based on overnight Treasury repo transactions.
TED Spread
TED Spread measures the difference between interbank lending rates and short-term U.S. government bill yields, historically used as a gauge of credit and funding stress.
USD/JPY Cross-Currency Basis
USD/JPY cross-currency basis measures the extra cost of obtaining dollars through FX swap markets and is a key indicator of offshore dollar funding stress.
Cross-Currency Basis
Funding stress signal derived from FX swap pricing distortions and balance sheet constraints.
Federal Funds Rate
Federal Funds Rate — The effective overnight policy rate anchor that transmits through the entire USD funding stack and global risk appetite.
Quantitative Tightening Pace
Quantitative Tightening Pace — The speed of balance-sheet runoff and its impact on reserves, collateral markets, and term funding.
Securities Lending Fee
Securities Lending Fee — Cost to borrow stock for shorting — spikes signal specialness and squeeze risk.
Bank Term Funding Program Legacy
Bank Term Funding Program Legacy — Crisis facility allowing par advances against securities.
Repo Rate
Repo rates reflect the cost of short-term secured borrowing against collateral and are central to understanding liquidity, Treasury market functioning, and funding stress.
Convertible Arbitrage
Long the convertible and short the delta in the stock — harvest cheap implied vol / credit, with funding and squeeze risk.
Asset Swap Spread
Asset Swap Spread — Spread between bond yield and floating leg, linking credit and funding markets.
Bank Term Funding Program Legacy
Bank Term Funding Program Legacy — Crisis facility allowing par advances against securities.
Bank Term Funding Program Usage
BTFP usage tracks how much funding banks obtain through the Bank Term Funding Program, offering insight into balance-sheet stress and demand for official liquidity backstops.
Carry Trade FX
Carry Trade FX — Funding low-yield currencies to invest in high-yielders — pro-cyclical and crash-prone.
CDS Basis Trade
CDS Basis Trade — Arbitrage between cash bonds and CDS contracts revealing funding and counterparty frictions.
Commercial Paper Spread
Commercial paper spreads track the cost of short-term corporate borrowing relative to safer benchmarks and help identify stress in corporate funding markets.
Convertible Arbitrage
Long the convertible and short the delta in the stock — harvest cheap implied vol / credit, with funding and squeeze risk.
Cross-Currency Basis
Funding stress signal derived from FX swap pricing distortions and balance sheet constraints.
Crypto Futures CTA
Trend and carry on BTC/ETH (and maybe a few alts) using listed or crypto-native perps — a young sleeve with 24/7 gaps and funding.
Crypto Perpetual Funding Rate
Crypto Perpetual Funding Rate — Periodic payment between longs and shorts that anchors perp to spot.
Deposit Outflow Rate
Deposit outflow rate measures the pace at which deposits leave the banking system or individual banks, helping assess funding stability and confidence.
Discount Window Borrowing
Discount Window borrowing measures bank use of Federal Reserve emergency liquidity and serves as a signal of funding pressure and banking-sector strain.
Federal Funds Rate
Federal Funds Rate — The effective overnight policy rate anchor that transmits through the entire USD funding stack and global risk appetite.
FRA-OIS Spread
FRA-OIS spread measures the difference between interbank funding expectations and overnight indexed swap rates, often used as a gauge of banking and short-term funding stress.
Funding Liquidity Spiral
Funding Liquidity Spiral — Asset-market illiquidity and funding stress reinforcing each other.
Funding Valuation Adjustment
Funding Valuation Adjustment — Funding cost adjustment in uncollateralized derivative books.
LIBOR-OIS Spread
LIBOR-OIS spread tracks the gap between unsecured bank funding rates and overnight indexed swap rates, historically serving as a benchmark for banking-system stress.
Net Stable Funding Ratio
Net Stable Funding Ratio — Stable funding versus long-term assets — constrains maturity transformation.
Quantitative Tightening Pace
Quantitative Tightening Pace — The speed of balance-sheet runoff and its impact on reserves, collateral markets, and term funding.
Repo Rate
Repo rates reflect the cost of short-term secured borrowing against collateral and are central to understanding liquidity, Treasury market functioning, and funding stress.
SOFR
SOFR is the Secured Overnight Financing Rate, a key benchmark for U.S. dollar funding based on overnight Treasury repo transactions.
TED Spread
TED Spread measures the difference between interbank lending rates and short-term U.S. government bill yields, historically used as a gauge of credit and funding stress.
Too Big to Fail
Too big to fail is the expectation that a firm’s collapse would force a public rescue — a subsidy in funding spreads and a policy problem.
USD/JPY Cross-Currency Basis
USD/JPY cross-currency basis measures the extra cost of obtaining dollars through FX swap markets and is a key indicator of offshore dollar funding stress.