in a monthly maturity/tenor timescale - the repo funding rate has very direct effects
Illya Gerasymchuk
in a monthly maturity/tenor timescale - the repo funding rate has very direct effects
this makes sense - if your bond is maturing in ≈1 month, every day is significant
so you see more immediate effects from federal reserve's SRF operations / repo funding fee increases
shorter-term US bonds yields react IMMEDIATELY to repo funding rate
notice the huge green candle on June 30th - the same day of FED's SRF $11B volume
June 30th is when the FED SRF volume recorded ≈$11B
this is a 1 month treasury bill ⬇️
