Illya Gerasymchuk
Financial & Software Engineer
shorter-term US bonds yields react IMMEDIATELY to repo funding rate
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 ⬇️
persistently high(er) funding repo rates will push the treasury yields up
eventually, the bonds would be sold for cash
again - think of the timescale: funding rates refer to much shorter periods